Report NEP-RMG-2019-03-25

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:

• Raphaël Oger & Frederick Benaben & Matthieu Lauras & Benoit Montreuil, 2018, "Towards Decision Support Automation for Supply Chain Risk Management among Logistics Network Stakeholders," Post-Print, HAL, number hal-01884393, Jun, DOI: 10.1016/j.ifacol.2018.08.287.
• Ahelegbey, Daniel Felix & Giudici, Paolo & Hadji-Misheva, Branka, 2019, "Factorial Network Models To Improve P2P Credit Risk Management," MPRA Paper, University Library of Munich, Germany, number 92633, Feb.
• Masoud Fekri & Babak Barazandeh, 2019, "Designing an Optimal Portfolio for Iran's Stock Market with Genetic Algorithm using Neural Network Prediction of Risk and Return Stocks," Papers, arXiv.org, number 1903.06632, Feb.
• c{C}au{g}{i}n Ararat & Nurtai Meimanjan, 2019, "Computation of systemic risk measures: a mixed-integer programming approach," Papers, arXiv.org, number 1903.08367, Mar, revised Aug 2023.
• Satoshi Kuwahara & Naoyuki Yoshino & Megumi Sagara & Farhad Taghizadeh-Hesary, 2019, "Establishment of the Credit Risk Database: Concrete Use to Evaluate the Creditworthiness of SMEs," ADBI Working Papers, Asian Development Bank Institute, number 924, Feb.
• Craig, Ben & Giuzio, Margherita & Paterlini, Sandra, 2019, "The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios," ESRB Working Paper Series, European Systemic Risk Board, number 89, Mar.
• Radanliev, Petar & De Roure, David & Nicolescu, Razvan & Huth, Michael & Mantilla Montalvo, Rafael & Cannady, Stacy & Burnap, Peter, 2018, "Future developments in cyber risk assessment for the internet of things," MPRA Paper, University Library of Munich, Germany, number 92567, Sep, revised Sep 2018.
• Hanene Ben Salah & Ali Gannoun & Mathieu Ribatet, 2018, "A New Approach in Nonparametric Estimation of Returns in Mean-DownSide Risk Portfolio frontier," Post-Print, HAL, number hal-01299561, DOI: 10.1504/IJPAM.2018.092642.
• Mehmet Balcilar & Rangan Gupta & Shixuan Wang & Mark E. Wohar, 2019, "Oil Price Uncertainty and Movements in the US Government Bond Risk Premia," Working Papers, University of Pretoria, Department of Economics, number 201919, Mar.
• Rongju Zhang & Mark Aarons & Gregoire Loeper, 2019, "Optimal FX Hedge Tenor with Liquidity Risk," Papers, arXiv.org, number 1903.06346, Mar.
• Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019, "Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis," ESRB Working Paper Series, European Systemic Risk Board, number 90, Mar.
• Gauthier de Maere d'Aertrycke & Andreas Ehrenmann & Daniel Ralph & Yves Smeers, 2018, "Risk trading in capacity equilibrium models," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG 1720, Jan.
• Nikki Kergozou & David Turner, 2019, "Using probit models of downturn risk to calibrate GDP Fan charts for New Zealand," OECD Economics Department Working Papers, OECD Publishing, number 1543, Mar, DOI: 10.1787/aa823471-en.
• Marek Capinski, 2019, "Non-traded call's volatility smiles," Papers, arXiv.org, number 1903.07875, Mar.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2019, "The Total Risk Premium Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 25653, Mar.
• Enzo Busseti, 2019, "Risk and Return models for Equity Markets and Implied Equity Risk Premium," Papers, arXiv.org, number 1903.07737, Mar.
• Zura Kakushadze & Willie Yu, 2019, "Machine Learning Risk Models," Papers, arXiv.org, number 1903.06334, Mar, revised Apr 2019.
• Gilles Boevi Koumou & Georges Dionne, 2019, "Coherent diversification measures in portfolio theory: An axiomatic foundation," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 19-2, Mar.
• Robert Cole, 2019, "Solvency trends for New Zealand licensed insurers: 2013 - 2018," Reserve Bank of New Zealand Analytical Notes series, Reserve Bank of New Zealand, number AN2019/01, Mar.
• Radanliev, Petar & De Roure, David & R.C. Nurse, Jason & Burnap, Pete & Anthi, Eirini & Ani, Uchenna & Maddox, La’Treall & Santos, Omar & Mantilla Montalvo, Rafael, 2019, "Definition of Internet of Things (IoT) Cyber Risk – Discussion on a Transformation Roadmap for Standardization of Regulations, Risk Maturity, Strategy Design and Impact Assessment," MPRA Paper, University Library of Munich, Germany, number 92569, Mar.
• Alev{s} v{C}ern'y, 2019, "Semimartingale theory of monotone mean--variance portfolio allocation," Papers, arXiv.org, number 1903.06912, Mar, revised Jan 2020.
• Item repec:lan:wpaper:257939806 is not listed on IDEAS anymore

• Nguyet Thi Minh Phi & Hanh Thi Hong Hoang & Farhad Taghizadeh-Hesary & Naoyuki Yoshino, 2019, "The Basel Capital Requirement, Lending Interest Rate, and Aggregate Economic Growth: An Empirical Study of Viet Nam," ADBI Working Papers, Asian Development Bank Institute, number 916, Jan.

Report NEP-RMG-2019-03-25

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: