Printed from https://ideas.repec.org/n/nep-rmg/2019-05-06.html
Report NEP-RMG-2019-05-06
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:
- Ingo Hoffmann & Christoph J. Borner, 2019, "Tail models and the statistical limit of accuracy in risk assessment," Papers, arXiv.org, number 1904.12113, Apr.
- Alessandro Calvia & Emanuela Rosazza Gianin, 2019, "Risk measures and progressive enlargement of filtration: a BSDE approach," Papers, arXiv.org, number 1904.13257, Apr, revised Mar 2020.
- Morris A. Davis & William D. Larson & Stephen D. Oliner & Benjamin Smith, 2019, "Mortgage Risk Since 1990," FHFA Staff Working Papers, Federal Housing Finance Agency, number 19-02, Feb.
- Jamie Coen & Caterina Lepore & Eric Schaanning, 2019, "Taking regulation seriously: fire sales under solvency and liquidity constraints," Bank of England working papers, Bank of England, number 793, Apr.
- Fei Sun & Xiaozhi Fan & Weitao Liu, 2019, "Set-valued risk statistics with the time value of money," Papers, arXiv.org, number 1905.00486, Apr, revised Aug 2021.
- Markus K. Brunnermeier & Simon C. Rother & Isabel Schnabel, 2019, "Asset Price Bubbles and Systemic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 25775, Apr.
- Hartman-Glaser, Barney & Hebert, Benjamin, 2019, "The Insurance is the Lemon: Failing to Index Contracts," Research Papers, Stanford University, Graduate School of Business, number 3569, Jan.
- Takuji Arai, 2019, "Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models," Papers, arXiv.org, number 1904.12260, Apr.
- Bazhenov, Timofey & Fantazzini, Dean, 2019, "Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility," MPRA Paper, University Library of Munich, Germany, number 93544, Apr.
- Önundur Páll Ragnarsson & Jón Magnús Hannesson & Loftur Hreinsson, 2019, "Financial cycles as early warning indicators - Lessons from the Nordic region," Economics, Department of Economics, Central bank of Iceland, number wp80, Mar.
- Joseph P. Hughes & Julapa Jagtiani & Choon-Geol Moon, 2019, "Consumer Lending Efficiency:Commercial Banks Versus A Fintech Lender," Working Papers, Federal Reserve Bank of Philadelphia, number 19-22, Apr, DOI: 10.21799/frbp.wp.2019.22.
- Dautović, Ernest, 2019, "Has regulatory capital made banks safer? Skin in the game vs moral hazard," ESRB Working Paper Series, European Systemic Risk Board, number 91, May.
- A Clements & D Preve, 2019, "A Practical Guide to Harnessing the HAR Volatility Model," NCER Working Paper Series, National Centre for Econometric Research, number 120, Apr.
- Konstantinos Angelopoulos & Spyridon Lazarakis & Jim Malley, 2019, "Cyclical income risk in Great Britain," CESifo Working Paper Series, CESifo, number 7594.
- Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019, "Nonparametric pricing and hedging of exotic derivatives," Papers, arXiv.org, number 1905.00711, May.