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Report NEP-RMG-2019-03-18
This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-RMG
The following items were announced in this report:
- Grundke, Peter & Pliszka, Kamil & Tuchscherer, Michael, 2019, "Model and estimation risk in credit risk stress tests," Discussion Papers, Deutsche Bundesbank, number 09/2019.
- Damien Bazin & Nouri Chtourou & Amna Omri, 2019, "Risk management and policy implications for concentrating solar power technology investments in Tunisia," Post-Print, HAL, number hal-02061788, May.
- Karpouzis, Efstathios & Bouras, Chris & Kanas, Angelos, 2019, "Hedge fund activism, voice, and value creation," MPRA Paper, University Library of Munich, Germany, number 92576, Mar.
- David Landriault & Bin Li & Mohamed Amine Lkabous, 2019, "On occupation times in the red of L\'evy risk models," Papers, arXiv.org, number 1903.03721, Mar, revised Jul 2019.
- Cheikh Mbaye & Fr'ed'eric Vrins, 2019, "Affine term structure models : a time-changed approach with perfect fit to market curves," Papers, arXiv.org, number 1903.04211, Mar, revised Jan 2020.
- O'Brien, Eoin & O'Brien, Martin & Velasco, Sofia, 2018, "Measuring and mitigating cyclical systemic risk in Ireland: The application of the countercyclical capital buffer," Financial Stability Notes, Central Bank of Ireland, number 4/FS/18, Jul.
- Marcel Brautigam & Michel Dacorogna & Marie Kratz, 2019, "Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source," Papers, arXiv.org, number 1903.03969, Mar, revised Dec 2019.
- Dumitru, Ana-Maria & Holden, Thomas, 2019, "Quantifying the transmission of European sovereign default risk," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 193632.
- Suparna Biswas & Rituparna Sen, 2019, "Kernel Based Estimation of Spectral Risk Measures," Papers, arXiv.org, number 1903.03304, Mar, revised Dec 2023.
- Meital Graham-Rozen & Noam Michelson, 2018, "To Accept or Not to Accept? Considerations in Providing Credit Insurance," Bank of Israel Working Papers, Bank of Israel, number 2018.03, May.
- Emenike, Kalu O., 2018, "Stock Market Volatility Clustering and Asymmetry in Africa: A Post Global Financial Crisis Evidence," MPRA Paper, University Library of Munich, Germany, number 91653, Oct.
- Pablo D'Erasmo & Igor Livshits & Koen Schoors, 2019, "Banking Regulation With Risk Of Sovereign Default," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 19/964, Mar.
- Radanliev, Petar & De Roure, Dave & Cannady, Stacy & Mantilla Montalvo, Rafael & Nicolescu, Razvan & Huth, Michael, 2019, "Analysing IoT cyber risk for estimating IoT cyber insurance," MPRA Paper, University Library of Munich, Germany, number 92566, revised 2019.
- Kevin Denny, 2019, "Upper Bounds on Risk Aversion under Mean-variance Utility," Working Papers, School of Economics, University College Dublin, number 201902, Feb.
- José Renato Haas Ornelas & Roberto Baltieri Mauad, 2019, "Implied Volatility Term Structure and Exchange Rate Predictability," Working Papers Series, Central Bank of Brazil, Research Department, number 492, Mar.
- Mawuli Segnon & Stelios Bekiros, 2019, "Forecasting Volatility in Cryptocurrency Markets," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 7919, Mar.
- Mikhail Drugov & Dmitry Ryvkin, 2018, "Tournament Rewards and Heavy Tails," Working Papers, Center for Economic and Financial Research (CEFIR), number w0250, Oct.
- Mikhail Drugov & Dmitry Ryvkin, 2019, "The shape of luck and competition in tournaments," Working Papers, Center for Economic and Financial Research (CEFIR), number w0251, Jan.