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Report NEP-RMG-2019-07-15
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:
- Tobias Fissler & Jana Hlavinov'a & Birgit Rudloff, 2019, "Elicitability and Identifiability of Systemic Risk Measures," Papers, arXiv.org, number 1907.01306, Jul, revised Oct 2019.
- Oliver Kley & Claudia Klüppelberg & Sandra Paterlini, 2019, "Modelling Extremal Dependence for Operational Risk by a Bipartite Graph," DEM Working Papers, Department of Economics and Management, number 2019/2.
- Rampini, Adriano A. & Viswanathan, S. & Vuillemey, Guillaume, 2019, "Risk Management in Financial Institutions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13787, Jun.
- Maria Arduca & Pablo Koch-Medina & Cosimo Munari, 2019, "Dual representations for systemic risk measures based on acceptance sets," Papers, arXiv.org, number 1906.10933, Jun, revised Oct 2019.
- Pascal Traccucci & Luc Dumontier & Guillaume Garchery & Benjamin Jacot, 2019, "A Triptych Approach for Reverse Stress Testing of Complex Portfolios," Papers, arXiv.org, number 1906.11186, Jun.
- Falk Bräuning & José Fillat, 2019, "Stress testing effects on portfolio similarities among large US Banks," Current Policy Perspectives, Federal Reserve Bank of Boston, number 19-1, Apr.
- Samuel Drapeau & Mekonnen Tadese, 2019, "Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall," Papers, arXiv.org, number 1906.09729, Jun, revised Jun 2020.
- Triantafyllou, Athanasios & Dotsis, George & Sarris, Alexandros, 2019, "Assessing the vulnerability to price spikes in agricultural commodity markets," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 24921, Jul.
- Massimo Guidolin & Alexei Orlov, 2018, "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1890.
- Ernest Dautovic, 2019, "Has Regulatory Capital Made Banks Safer? Skin in the Game vs Moral Hazard," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 19.03, Jun.
- Marco Bee & Julien Hambuckers & Luca Trapin, 2019, "An improved approach for estimating large losses in insurance analytics and operational risk using the g-and-h distribution," DEM Working Papers, Department of Economics and Management, number 2019/11.
- Jennie Bai & Turan G. Bali & Quan Wen, 2019, "Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 25995, Jun.
- Fabrizio Cipollini & Giampiero M. Gallo & Edoardo Otranto, 2019, "Realized Volatility Forecasting: Robustness to Measurement Errors," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2019_04, Jul.
- Martin Forde & Stefan Gerhold & Benjamin Smith, 2019, "Small-time, large-time and $H\to 0$ asymptotics for the Rough Heston model," Papers, arXiv.org, number 1906.09034, Jun, revised Oct 2020.
- Nick Whiteley, 2019, "Dynamic time series clustering via volatility change-points," Papers, arXiv.org, number 1906.10372, Jun.