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Report NEP-RMG-2019-07-29
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:
- Torsten Heinrich & Juan Sabuco & J. Doyne Farmer, 2019, "A simulation of the insurance industry: The problem of risk model homogeneity," Papers, arXiv.org, number 1907.05954, Jul, revised Nov 2019.
- Zhao Zhao & Olivier Ledoit & Hui Jiang, 2019, "Risk reduction and efficiency increase in large portfolios: leverage and shrinkage," ECON - Working Papers, Department of Economics - University of Zurich, number 328, Jul, revised Jan 2020.
- Eric Benhamou & Beatrice Guez, 2018, "Incremental Sharpe and other performance ratios," Post-Print, HAL, number hal-02012443.
- Raphaël Boroumand & Stéphane Goutte & Thomas Porcher & Khaled Guesmi, 2019, "Potential benefits of optimal intra-day electricity hedging for the environment : the perspective of electricity retailers," Working Papers, HAL, number halshs-02175358, Jul.
- Tim Xiao, 2019, "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," Working Papers, HAL, number hal-02174170, Jul.
- Juárez-Luna, David, 2019, "Power generation portfolios: A parametric formulation of the efficient frontier," MPRA Paper, University Library of Munich, Germany, number 94814, Jul.
- Mohammed Kaicer & Abdelilah Kaddar, 2019, "Mathematical Analysis of Dynamic Risk Default in Microfinance," Papers, arXiv.org, number 1907.04937, Jul.
- Rob Davies & Laurence Harris & Konstantin Makrelov, 2019, "The impact of a higher leverage ratio on the South African economy," WIDER Working Paper Series, World Institute for Development Economic Research (UNU-WIDER), number wp-2019-35.
- Stark, Oded & Szczygielski, Krzysztof, 2019, "The likelihood of divorce and the riskiness of financial decisions," University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics, number 121.
- Elie Bouri & Rangan Gupta, 2019, "Predicting Bitcoin Returns: Comparing the Roles of Newspaper- and Internet Search-Based Measures of Uncertainty," Working Papers, University of Pretoria, Department of Economics, number 201955, Jul.
- M. Dashti Moghaddam & Zhiyuan Liu & R. A. Serota, 2019, "Distributions of Historic Market Data -- Relaxation and Correlations," Papers, arXiv.org, number 1907.05348, Jul, revised Feb 2020.
- Yuqing Zhang & Neil Walton, 2019, "Adaptive Pricing in Insurance: Generalized Linear Models and Gaussian Process Regression Approaches," Papers, arXiv.org, number 1907.05381, Jul.
- Ayala, Astrid & Blazsek, Szabolcs & Escribano, Álvaro, 2019, "Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 28638, Jul.
- Paul Tucker, 2019, "Is the financial system sufficiently resilient: a research programme and policy agenda," BIS Working Papers, Bank for International Settlements, number 792, Jul.