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Report NEP-RMG-2019-06-24
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:
- Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2019, "Historical Evolution of Monthly Anomalies in International Stock Markets," Working Papers, University of Pretoria, Department of Economics, number 201950, Jun.
- Shaw, Charles, 2018, "Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads," MPRA Paper, University Library of Munich, Germany, number 94154, Dec, revised 27 May 2019.
- Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019, "Superkurtosis," MPRA Paper, University Library of Munich, Germany, number 94473, Jan.
- Ozili, Peterson K, 2019, "Basel III in Africa: Making It Work," MPRA Paper, University Library of Munich, Germany, number 94222.
- Item repec:imf:imfwpa:19/127 is not listed on IDEAS anymore
- Matthias Weber & John Duffy & Arthur Schram, 2019, "Credit Default Swap Regulation in Experimental Bond Markets," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-039/I, Jun.
- Sergio Mayordomo & Antonio Moreno & Steven Ongena & Maria Rodriguez-Moreno, 2019, "Bank Capital Requirements, Loan Guarantees and Firm Performance," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-28, Jun, revised Jun 2019.
- Barasinska, Nataliya & Haenle, Philipp & Koban, Anne & Schmidt, Alexander, 2019, "Stress testing the German mortgage market," Discussion Papers, Deutsche Bundesbank, number 17/2019.
- Andrea Berardi & Claudio Tebaldi & Fabio Trojani, 2019, "Consumer Protection and the Design of the Default Option of a Pan-European Pension Product," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-19, Mar, revised Apr 2019.
- Piotr Orłowski & Paul Schneider & Fabio Trojani, 2019, "On the Nature of Jump Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-31, Jun, revised Jun 2019.
- Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe, 2018, "Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting," MPRA Paper, University Library of Munich, Germany, number 94289, Jan.
- Xiao, Tim, 2019, "Incremental Risk Charge Methodology," MPRA Paper, University Library of Munich, Germany, number 94581, May, revised 08 May 2019.
- Afees A. Salisu & Rangan Gupta, 2019, "How do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch," Working Papers, University of Pretoria, Department of Economics, number 201946, Jun.
- Marc S. Paolella & Pawel Polak & Patrick S. Walker, 2019, "A Flexible Regime Switching Model for Asset Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-27, May, revised May 2019.
- Hansjoerg Albrecher & Antoine Bommier & Damir Filipović & Pablo Koch-Medina & Stéphane Loisel & Hato Schmeiser, 2019, "Insurance: Models, Digitalization, and Data Science," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-26, May.
- Ely, Regis Augusto & Tabak, Benjamin Miranda & Teixeira, Anderson Mutter, 2019, "Heterogeneous effects of the implementation of macroprudential policies on bank risk," MPRA Paper, University Library of Munich, Germany, number 94546, Jun.
- Piotr Orłowski & Andras Sali & Fabio Trojani, 2019, "Arbitrage Free Dispersion," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-20, Jan, revised Apr 2019.
- Jozef Barunik & Cathy Yi-Hsuan Chen & Jan Vecer, 2019, "Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists," Papers, arXiv.org, number 1906.00059, May.
- Raul Merino & Jan Posp'iv{s}il & Tom'av{s} Sobotka & Tommi Sottinen & Josep Vives, 2019, "Decomposition formula for rough Volterra stochastic volatility models," Papers, arXiv.org, number 1906.07101, Jun, revised Aug 2019.
- Paul Schneider, 2019, "A Theory of Scenario Generation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-17, Mar.
- Takuji Arai & Ryoichi Suzuki, 2019, "A Clark-Ocone type formula via Ito calculus and its application to finance," Papers, arXiv.org, number 1906.06648, Jun.
- Roberto Fontana & Elisa Luciano & Patrizia Semeraro, 2019, "Model Risk in Credit Risk," Papers, arXiv.org, number 1906.06164, Jun.
- Elie Bouri & Konstantinos Gkillas & Rangan Gupta, 2019, "Trade Uncertainties and the Hedging Abilities of Bitcoin," Working Papers, University of Pretoria, Department of Economics, number 201948, Jun.
- Fabio Alessandrini & Eric Jondeau, 2019, "ESG Investing: From Sin Stocks to Smart Beta," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-16, Mar, revised Mar 2019.