Report NEP-RMG-2019-09-16

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:

• Claudia Ceci & Katia Colaneri & Rdiger Frey & Verena Kock, 2019, "Value adjustments and dynamic hedging of reinsurance counterparty risk," Papers, arXiv.org, number 1909.04354, Sep.
• Anne-Sophie Krah & Zoran Nikoli'c & Ralf Korn, 2019, "Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies," Papers, arXiv.org, number 1909.02182, Sep.
• Alogoskoufis, Spyros & Langfield, Sam, 2019, "Regulating the doom loop," Working Paper Series, European Central Bank, number 2313, Sep.
• Mi Chuanmin & Xu Runjie & Lin Qingtong, 2019, "Systemic Risk Clustering of China Internet Financial Based on t-SNE Machine Learning Algorithm," Papers, arXiv.org, number 1909.03808, Aug.
• Christian Francq & Jean-Michel Zakoian, 2019, "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Papers, arXiv.org, number 1909.04661, Sep.
• Matteo Bonato & Rangan Gupta & Chi Keung Marco Lau & Shixuan Wang, 2019, "Moments-Based Spillovers across Gold and Oil Markets," Working Papers, University of Pretoria, Department of Economics, number 201966, Aug.
• Michail Anthropelos & Tim J. Boonen, 2019, "Nash Equilibria in Optimal Reinsurance Bargaining," Papers, arXiv.org, number 1909.01739, Sep, revised Mar 2020.
• Michi Nishihara & Takashi Shibata, 2019, "The effects of asset liquidity on dynamic bankruptcy decisions," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 19-12, Sep.
• Jodlowski, Margaret C., , "Behind every farmer: Women's off-farm income and risk management for US farms," 2019 Annual Meeting, July 21-23, Atlanta, Georgia, Agricultural and Applied Economics Association, number 290975, DOI: 10.22004/ag.econ.290975.
• Elie Bouri & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2019, "Gold, Platinum and the Predictability of Bond Risk Premia," Working Papers, University of Pretoria, Department of Economics, number 201967, Aug.
• Youngsoo Kim & Jung Chul Park, 2019, "Presidential Power and Stock Returns," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 8710820, Jul.
• Item repec:dnb:dnbwpp:653 is not listed on IDEAS anymore

• Cheikh Mbaye & Abass Sagna & Fr'ed'eric Vrins, 2019, "Conditional survival probabilities under partial information: a recursive quantization approach with applications," Papers, arXiv.org, number 1909.01970, Sep.
• Raphael A. Auer & Steven Ongena, 2019, "The Countercyclical Capital Buffer and the Composition of Bank Lending," CESifo Working Paper Series, CESifo, number 7815.
• Qi Wang & Jos'e E. Figueroa-L'opez & Todd Kuffner, 2019, "Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise," Papers, arXiv.org, number 1909.04853, Sep.
• Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2019, "Detecting stock market bubbles based on the cross-sectional dispersion of stock prices," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-463, Sep.
• Ilona Tomaszewska, 2019, "Underwriting factors in motor insurance," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 9011481, Jun.
• Hobbs, Andrew, , "Household Decisionmaking Under Risk: Evidence from Samburu County, Kenya," 2019 Annual Meeting, July 21-23, Atlanta, Georgia, Agricultural and Applied Economics Association, number 291024, DOI: 10.22004/ag.econ.291024.
• Kim, Kevin N., , "Impact of the Basel III Bank Regulation on Agricultural Lending," 2019 Annual Meeting, July 21-23, Atlanta, Georgia, Agricultural and Applied Economics Association, number 290747, DOI: 10.22004/ag.econ.290747.
• Connor, Lawson, , "Long Term Impacts of Cover Crops on Corn Yield Risk and Implied Changes to Crop Insurance Premiums," 2019 Annual Meeting, July 21-23, Atlanta, Georgia, Agricultural and Applied Economics Association, number 291150, DOI: 10.22004/ag.econ.291150.
• Cheikh Mbaye & Fr'ed'eric Vrins, 2019, "An arbitrage-free conic martingale model with application to credit risk," Papers, arXiv.org, number 1909.02474, Sep.
• Noor Ulain Rizvi & Smita Kashiramka & Shveta Singh, 2019, "An Impact Assessment of Higher Capital Adequacy Requirements: Evidence From India," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 9011309, Jun.
• Felix Holzmeister & Matthias Stefan, 2019, "The risk elicitation puzzle revisited: Across-methods (in)consistency?," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2019-19.

Report NEP-RMG-2019-09-16

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: