Printed from https://ideas.repec.org/n/nep-rmg/2019-04-01.html
Report NEP-RMG-2019-04-01
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:
- Fabrizio Ferriani & Giovanni Veronese, 2019, "U.S. shale producers: a case of dynamic risk management?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1211, Mar.
- Papp, Gábor & Caccioli, Fabio & Kondor, Imre, 2019, "Bias-variance trade-off in portfolio optimization under expected shortfall with ℓ 2 regularization," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 100294, Jan.
- McAleer, M.J., 2019, "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-13, Mar.
- Daniel Poh & Stephen Roberts & Martin Tegn'er, 2019, "A Machine Learning approach to Risk Minimisation in Electricity Markets with Coregionalized Sparse Gaussian Processes," Papers, arXiv.org, number 1903.09536, Mar, revised Apr 2019.
- Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2019, "The Time Variation in Risk Appetite and Uncertainty," NBER Working Papers, National Bureau of Economic Research, Inc, number 25673, Mar.
- Cecchetti, Stephen & Berner, Richard & Schoenholtz, Kermit L., 2019, "Stress Testing Networks: The Case of Central Counterparties," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13604, Mar.
- Iori, G. & Gurgone, A., 2019, "A multi-agent methodology to assess the effectiveness of alternative systemic risk adjusted capital requirements," Working Papers, Department of Economics, City St George's, University of London, number 19/05.
- Gu, Xi & Marsh, Thomas L. & Fortenbery, Randy, 2019, "Price Linkage and Volatility Spillover of Beer Inputs," 2019 Conference (63rd), February 12-15, 2019, Melbourne, Australia, Australian Agricultural and Resource Economics Society (AARES), number 285042, Feb, DOI: 10.22004/ag.econ.285042.
- Lis Sintha, 2019, "Bankruptcy Prediction Model of Banks in Indonesia Based on Capital Adequacy Ratio," GATR Journals, Global Academy of Training and Research (GATR) Enterprise, number jfbr152, Mar.
- Mehmet Selman Colak, 2019, "A New Index Score for the Assessment of Firm Financial Risks," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1904.
- Tahsin Deniz Akturk & c{C}au{g}{i}n Ararat, 2019, "Portfolio optimization with two coherent risk measures," Papers, arXiv.org, number 1903.10454, Mar, revised Jul 2020.
- Min Hua & Wei Song & Oleksandr Talavera, 2019, "Recession CEOs and bank risk taking," Discussion Papers, Department of Economics, University of Birmingham, number 19-04, Mar.
- Thomas Dohmen & Simone Quercia & Jana Willrodt, 2019, "Willingness to Take Risk: The Role of Risk Conception and Optimism," SOEPpapers on Multidisciplinary Panel Data Research, DIW Berlin, The German Socio-Economic Panel (SOEP), number 1026.
- Taylor, Alan M. & Jordà , Òscar & Schularick, Moritz, 2019, "The Total Risk Premium Puzzle," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13595, Mar.
- Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2019, "The Total Risk Premium Puzzle?," Working Paper Series, Federal Reserve Bank of San Francisco, number 2019-10, Mar, DOI: 10.24148/wp2019-10.
- Yener Altunbaş & John Thornton & Tianshu Zhao, 2019, "The ‘risk dividend’ in banks’ internal capital markets," Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales), number 19004, Feb.
- Zea Bermudez, Patrícia de & Marín Díazaraque, Juan Miguel & Lopes Moreira da Veiga, María Helena, 2019, "Data cloning estimation for asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 28214, Mar.
- James Andreoni & Amalia Di Girolamo & John List & Claire Mackevicius & Anya Samek, 2019, "Risk Preferences of Children and Adolescents in Relation to Gender, Cognitive Skills, Soft Skills, and Executive Functions," Artefactual Field Experiments, The Field Experiments Website, number 00668.
- Xudong An & Lawrence R. Cordell, 2019, "Mortgage Loss Severities: What Keeps Them So High?," Working Papers, Federal Reserve Bank of Philadelphia, number 19-19, Mar, DOI: 10.21799/frbp.wp.2019.19.
- Giordana, Gaston & Ziegelmeyer, Michael, 2019, "Stress testing household balance sheets in Luxembourg," Working Paper Series, European Central Bank, number 2254, Mar.
- Ravi Bansal & Shane Miller & Dongho Song & Amir Yaron, 2019, "The Term Structure of Equity Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 25690, Mar.
- Mundt, Philipp & Oh, Ilfan, 2019, "Asymmetric competition, risk, and return distribution," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 145.
- Asai, M. & Gupta, R. & McAleer, M.J., 2019, "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-16, Mar.
- Yener Altunbaş & John Thornton & Yurtsev Uymaz, 2019, "Money laundering and bank risk: evidence from US banks," Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales), number 19005, Feb.
- Robert Breunig & Owen Freestone, 2019, "Risk Aversion Among Australian Households," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2019-27, Mar.