Report NEP-RMG-2019-07-29This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.
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 1907.05954, arXiv.org, revised Nov 2019.
- Zhao Zhao & Olivier Ledoit & Hui Jiang, 2019. "Risk reduction and efficiency increase in large portfolios: leverage and shrinkage," ECON - Working Papers 328, Department of Economics - University of Zurich.
- Eric Benhamou & Beatrice Guez, 2018. "Incremental Sharpe and other performance ratios," Post-Print hal-02012443, HAL.
- 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 halshs-02175358, HAL.
- Tim Xiao, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," Working Papers hal-02174170, HAL.
- Juárez-Luna, David, 2019. "Power generation portfolios: A parametric formulation of the efficient frontier," MPRA Paper 94814, University Library of Munich, Germany.
- Mohammed Kaicer & Abdelilah Kaddar, 2019. "Mathematical Analysis of Dynamic Risk Default in Microfinance," Papers 1907.04937, arXiv.org.
- Davies Rob & Makrelov Konstantin & Harris Laurence, 2019. "The impact of a higher leverage ratio on the South African economy," WIDER Working Paper Series wp-2019-35, World Institute for Development Economic Research (UNU-WIDER).
- Stark, Oded & Szczygielski, Krzysztof, 2019. "The likelihood of divorce and the riskiness of financial decisions," University of Tuebingen Working Papers in Economics and Finance 121, University of Tuebingen, Faculty of Economics and Social Sciences.
- Elie Bouri & Rangan Gupta, 2019. "Predicting Bitcoin Returns: Comparing the Roles of Newspaper- and Internet Search-Based Measures of Uncertainty," Working Papers 201955, University of Pretoria, Department of Economics.
- M. Dashti Moghaddam & Zhiyuan Liu & R. A. Serota, 2019. "Distributions of Historic Market Data -- Relaxation and Correlations," Papers 1907.05348, arXiv.org.
- Yuqing Zhang & Neil Walton, 2019. "Adaptive Pricing in Insurance: Generalized Linear Models and Gaussian Process Regression Approaches," Papers 1907.05381, arXiv.org.
- Escribano Sáez, Álvaro & Blazsek, Szabolcs Istvan & Ayala, Astrid, 2019. "Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk," UC3M Working papers. Economics 28638, Universidad Carlos III de Madrid. Departamento de Economía.
- Paul Tucker, 2019. "Is the financial system sufficiently resilient: a research programme and policy agenda," BIS Working Papers 792, Bank for International Settlements.