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Report NEP-RMG-2019-09-30
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:
- Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & O. Scaillet, 2019, "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-48, Sep.
- Nicole Lux, 2019, "Relevance of loan characteristics in probability of default prediction for commercial mortgage loans," ERES, European Real Estate Society (ERES), number eres2019_86, Jan.
- Fantazzini, Dean & Zimin, Stephan, 2019, "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," MPRA Paper, University Library of Munich, Germany, number 95988.
- Fantazzini, Dean & Shangina, Tamara, 2019, "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," MPRA Paper, University Library of Munich, Germany, number 95992.
- Item repec:hal:wpaper:hal-02291548 is not listed on IDEAS anymore
- José Valentim Machado Vicente & Jaqueline Terra Moura Marins, 2019, "A Volatility Smile-Based Uncertainty Index," Working Papers Series, Central Bank of Brazil, Research Department, number 502, Sep.
- Donald J. Brown, 2019, "Affective Portfolio Analysis: Risk, Ambiguity and (IR)rationality," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2202, Sep.
- Franziska Bremus & Melina Ludolph, 2019, "The Nexus between Loan Portfolio Size and Volatility: Does Banking Regulation Matter?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1822.
- Donadelli, Michael & Jüppner, Marcus & Prosperi, Lorenzo, 2019, "Risk weighting, private lending and macroeconomic dynamics," Discussion Papers, Deutsche Bundesbank, number 30/2019.
- Ricardo Sabbadini, 2019, "Loss Aversion and Search for Yield in Emerging Markets Sovereign Debt," Working Papers Series, Central Bank of Brazil, Research Department, number 500, Sep.
- Johannes Wachs & Mih'aly Fazekas & J'anos Kert'esz, 2019, "Corruption Risk in Contracting Markets: A Network Science Perspective," Papers, arXiv.org, number 1909.08664, Sep.
- Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2019, "The value of knowing the market price of risk," Papers, arXiv.org, number 1909.07837, Sep, revised Sep 2019.
- Xiao, Tim, 2019, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 204279.
- Giacomo Candian & Mikhail Dmitriev, 2019, "Implications of Default Recovery Rates for Aggregate Fluctuations," 2019 Meeting Papers, Society for Economic Dynamics, number 1185.