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Report NEP-RMG-2019-09-23
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:
- Francq, Christian & Zakoian, Jean-Michel, 2019, "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," MPRA Paper, University Library of Munich, Germany, number 95965, Sep.
- Carsten Fritz & Cay Oertel, 2019, "Dependency of Real Estate and International Financial Markets – A GARCH-Copula Approach to Model Extreme Market Risk," ERES, European Real Estate Society (ERES), number eres2019_57, Jan.
- Debora Zaparova & Sandrine Spaeter, 2019, "Risk pooling and ruin probability, or why high risks are not bad risks," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2019-33.
- Fabiana Gómez & Jorge Ponce, 2018, "Systemic risk and insurance regulation," Documentos de trabajo, Banco Central del Uruguay, number 2018003.
- Matthieu Gilson, 2019, "Empirical evidence on time-varying risk attitudes," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/292556, Sep.
- Konstantinos Nikolopoulos & Fotios Petropoulos & Vasco Sanchez Rodrigues & Stephen Pettit & Anthony Beresford, 2019, "A risk-mitigation model driven from the level of forecastability of Black Swans: prepare and respond to major Earthquakes through a dynamic Temporal and Spatial Aggregation forecasting framework," Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales), number 19017, Aug.
- Jerôme Detemple & Souleymane Laminou Abdou & Franck Moraux, 2020, "American Step Options," Post-Print, HAL, number halshs-02283374, Apr, DOI: 10.1016/j.ejor.2019.09.009.
- Maximiliano Dvorkin & Emircan Yurdagul & Horacio Sapriza & Juan Sanchez, 2019, "News, sovereign debt maturity, and default risk," 2019 Meeting Papers, Society for Economic Dynamics, number 918.