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Report NEP-RMG-2019-08-26
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:
- Xuehai Zhang, 2019, "Value at Risk and Expected Shortfall under General Semi-parametric GARCH models," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 126, Aug.
- Yuan Hu & Svetlozar T. Rachev & Frank J. Fabozzi, 2019, "Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation," Papers, arXiv.org, number 1908.05419, Aug.
- Anna Denkowska & Stanis{l}aw Wanat, 2019, "Linkages and systemic risk in the European insurance sector: Some new evidence based on dynamic spanning trees," Papers, arXiv.org, number 1908.01142, Aug, revised Aug 2019.
- Xiao,Tim, 2019, "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 201542.
- Arno Botha & Conrad Beyers & Pieter de Villiers, 2019, "A procedure for loss-optimising default definitions across simulated credit risk scenarios," Papers, arXiv.org, number 1907.12615, Jul, revised Feb 2021.
- Yali Dou & Haiyan Liu & Georgios Aivaliotis, 2019, "Dynamic Dependence Modeling in financial time series," Papers, arXiv.org, number 1908.05130, Aug.
- Elisa Alos & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2019, "CVA and vulnerable options in stochastic volatility models," Papers, arXiv.org, number 1907.12922, Jul.
- Subhojit Biswas & Diganta Mukherjee, 2019, "A Proposal for Multi-asset Generalised Variance Swaps," Papers, arXiv.org, number 1908.03899, Aug.
- Timo Dimitriadis & Julie Schnaitmann, 2019, "Forecast Encompassing Tests for the Expected Shortfall," Papers, arXiv.org, number 1908.04569, Aug, revised Aug 2020.
- Hans Fehr & Maurice Hofmann, 2019, "Tenure Choice, Portfolio Structure and Long-Term Care - Optimal Risk Management in Retirement," CESifo Working Paper Series, CESifo, number 7783.
- Subhojit Biswas & Diganta Mukherjee, 2019, "Discrete time portfolio optimisation managing value at risk under heavy tail return distribution," Papers, arXiv.org, number 1908.03907, Aug, revised Nov 2020.
- Wentao Hu, 2019, "SlideVaR: a risk measure with variable risk attitudes," Papers, arXiv.org, number 1907.11855, Jul.
- Valery Baskakov & Nikolay Sheparnev & Evgeny Yanenko, 2019, "Nonparametric modeling cash flows of insurance company," Papers, arXiv.org, number 1908.05200, Aug.
- Mohammed Bilal Girach & Shashank Oberoi & Siddhartha P. Chakrabarty, 2019, "Is being `Robust' beneficial?: A perspective from the Indian market," Papers, arXiv.org, number 1908.05002, Aug.
- Kyungsub Lee & Byoung Ki Seo, 2019, "Performance of tail hedged portfolio with third moment variation swap," Papers, arXiv.org, number 1908.05105, Aug.
- Patrice Gaillardetz & Saeb Hachem, 2019, "Risk-Control Strategies," Papers, arXiv.org, number 1908.02228, Aug.
- Frank Bosserhoff & Mitja Stadje, 2019, "Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model," Papers, arXiv.org, number 1908.05534, Aug.
- Mele, Antonio & Distaso, Walter & Vilkov, Grigory, 2019, "Correlation Risk, Strings and Asset Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13873, Jul.
- T. N. Li & A. Papanicolaou, 2019, "Statistical Arbitrage for Multiple Co-Integrated Stocks," Papers, arXiv.org, number 1908.02164, Aug, revised Feb 2022.
- Carey Caginalp & Gunduz Caginalp, 2019, "Derivation of non-classical stochastic price dynamics equations," Papers, arXiv.org, number 1908.01103, Aug, revised Aug 2020.
- Shahzad, Muhammad Faisal & Abdulai, Awudu, , "Production Risk Management in Agriculture and Farm Performance in Rural Pakistan: Role of Adaptation to Climate Change," 2019 Annual Meeting, July 21-23, Atlanta, Georgia, Agricultural and Applied Economics Association, number 291283, DOI: 10.22004/ag.econ.291283.
- Mele, Antonio & Obayashi, Yoshiki & Yang, Shihao, 2019, "The Term Structure of Government Debt Uncertainty," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13874, Jul.
- Crane-Droesch, Andrew & Marshall, Elizabeth & Rosch, Stephanie & Riddle, Anne & Cooper, Joseph & Wallander, Steven, 2019, "Climate Change and Agricultural Risk Management Into the 21st Century," Economic Research Report, United States Department of Agriculture, Economic Research Service, number 291962, Jul, DOI: 10.22004/ag.econ.291962.
- Anna Stelzer, 2019, "Predicting credit default probabilities using machine learning techniques in the face of unequal class distributions," Papers, arXiv.org, number 1907.12996, Jul.