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Report NEP-RMG-2019-06-17
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:
- Mathias Barkhagen & Brian Fleming & Sergio Garcia Quiles & Jacek Gondzio & Joerg Kalcsics & Jens Kroeske & Sotirios Sabanis & Arne Staal, 2019, "Optimising portfolio diversification and dimensionality," Papers, arXiv.org, number 1906.00920, Jun, revised Sep 2019.
- Ariah Klages-Mundt & Andreea Minca, 2019, "(In)Stability for the Blockchain: Deleveraging Spirals and Stablecoin Attacks," Papers, arXiv.org, number 1906.02152, Jun, revised Mar 2021.
- Pellecchia, Marco & Perciaccante, Giovambattista, 2019, "The calculation of Solvency Capital Requirement using Copulas," MPRA Paper, University Library of Munich, Germany, number 94213, May.
- Helder Rojas & David Dias, 2019, "Stress Testing Network Reconstruction via Graphical Causal Model," Papers, arXiv.org, number 1906.01468, Jun, revised Jan 2020.
- Qi Wu & Shumin Ma & Cheuk Hang Leung & Wei Liu & Nanbo Peng, 2019, "Understanding Distributional Ambiguity via Non-robust Chance Constraint," Papers, arXiv.org, number 1906.01981, Jun, revised Sep 2020.
- Wenyuan Wang & Ping Chen & Shuanming Li, 2019, "Generalized Expected Discounted Penalty Function at General Drawdown for L\'{e}vy Risk Processes," Papers, arXiv.org, number 1906.01449, Jun.
- Di Wang & Qi Wu & Wen Zhang, 2019, "Neural Learning of Online Consumer Credit Risk," Papers, arXiv.org, number 1906.01923, Jun.
- Dimitrios Anastasiou & Zacharias Bragoudakis & Ioannis Malandrakis, 2019, "Non-performing loans, governance indicators and systemic liquidity risk: evidence from Greece," Working Papers, Bank of Greece, number 260, May.
- Jin Sun & Kevin Fergusson & Eckhard Platen & Pavel V. Shevchenko, 2019, "Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach," Papers, arXiv.org, number 1906.01320, Jun.
- Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019, "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2019-24.
- Shihao Zhu & Jingtao Shi, 2019, "Optimal Reinsurance and Investment Strategies under Mean-Variance Criteria: Partial and Full Information," Papers, arXiv.org, number 1906.08410, Jun, revised Jun 2020.
- Li, Z. M. & Laeven, R. J. A. & Vellekoop, M. H., 2019, "Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1952, Jun.
- Pagano, Marco & Sánchez Serrano, Antonio & Zechner, Jozef, 2019, "Can ETFs contribute to systemic risk?," Report of the Advisory Scientific Committee, European Systemic Risk Board, number 9, Jun.
- Yukihiro Nishimura & Pierre Pestieau, 2019, "Old age or dependence. Which social insurance?," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 19-03, Apr.
- Bonga, Wellington Garikai, 2019, "Stock Market Volatility Analysis using GARCH Family Models: Evidence from Zimbabwe Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 94201, May.
- M. Dashti Moghaddam & Jiong Liu & R. A. Serota, 2019, "Implied and Realized Volatility: A Study of Distributions and the Distribution of Difference," Papers, arXiv.org, number 1906.02306, Jun.
- Efthymios Pavlidis & Ivan Paya & Alex Skouralis, 2019, "House Prices, (Un)Affordability and Systemic Risk," Working Papers, Lancaster University Management School, Economics Department, number 266072868.
- Georges Dionne & Xiaozhou Zhou, 2019, "Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 19-3, Jun.