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Report NEP-RMG-2019-10-21
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:
- Álvaro Chamizo & Alfonso Novales, 2019, "Splitting credit risk into systemic, sectorial and idiosyncratic components," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-30, Sep.
- Luca Bellardini & Pierluigi Murro & Daniele Previtali, 2019, "The Risk Weighted Ownership Index: an ex-ante measure of banks' risk and performance," Working Papers CASMEF, Dipartimento di Economia e Finanza, LUISS Guido Carli, number 1904, Apr.
- Diana Paola Moreno Alarcon & Jean François Vautier & Guillaume Hernandez & Franck Guarnieri, 2019, "Systems Thinking in Risk Management by Preventive & Detective Controls as an Ago-Antagonistic Systems Approach in the French Nuclear Sector," Post-Print, HAL, number hal-02308657, Sep, DOI: 10.3850/978-981-11-2724-3_0243-cd.
- Bashir, Taqadus & Khalid, Shujaat & Iqbal Khan, Kanwal & Javed, Saman, 2019, "Interest Rate Risk Management by Financial Engineering in Pakistani Non-Financial Firms," MPRA Paper, University Library of Munich, Germany, number 96426, Sep.
- Anirban Chakraborti & Hrishidev & Kiran Sharma & Hirdesh K. Pharasi, 2019, "Phase separation and scaling in correlation structures of financial markets," Papers, arXiv.org, number 1910.06242, Oct, revised Jul 2020.
- Billio, Monica & Costola, Michele & Pelizzon, Loriana & Riedel, Max, 2019, "Buildings' energy efficiency and the probability of mortgage default: The Dutch case," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 261.
- Guha Niyogi, Gargi & Mandal, Nivedita & Das, Rituparna, 2019, "Survey of Credit Rating Methodologies of Mutual Funds: Standard and Poor’s and Moody’s," MPRA Paper, University Library of Munich, Germany, number 96456, Feb.
- Hansjoerg Albrecher & Pablo Azcue & Nora Muler, 2019, "Optimal ratcheting of dividends in insurance," Papers, arXiv.org, number 1910.06910, Oct, revised Jun 2021.
- Matteo Brachetta & Claudia Ceci, 2019, "A BSDE-based approach for the optimal reinsurance problem under partial information," Papers, arXiv.org, number 1910.05999, Oct, revised May 2020.
- Bersch, Johannes & Degryse, Hans & Kick, Thomas & Stein, Ingrid, 2019, "The real effects of bank distress: Evidence from bank bailouts in Germany," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 19-041.
- Guiyuan Ma & Song-Ping Zhu & Ivan Guo, 2019, "Valuation of contingent claims with short selling bans under an equal-risk pricing framework," Papers, arXiv.org, number 1910.04960, Oct, revised Aug 2021.
- Thorburn, Karin S & Bienz, Carsten & Walz, Uwe, 2019, "Ownership, wealth, and risk taking: Evidence on private equity fund managers," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13944, Aug.
- Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi, 2019, "An Improved Method to Predict Assignment of Stocks into Russell Indexes," NBER Working Papers, National Bureau of Economic Research, Inc, number 26370, Oct.
- Thiemann, Matthias & Tröger, Tobias, 2019, "It's the tail-risk, stupid! Precluding regulatory arbitrage in shadow banking with a normatively charged approach to supervision capitalizing on multipolar regulatory dialogues," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 260.
- Kumar, Sudarshan & Bansal, Avijit & Chakrabarti, Anindya S., 2019, "Ripples on financial networks," IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department, number WP 2019-10-01, Oct.
- Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2019, "A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 102043, Dec.
- Stark, Oded & Budzinski, Wiktor & Jakubek, Marcin, 2019, "Pure Rank Preferences and Variation in Risk-Taking Behavior," IZA Discussion Papers, Institute of Labor Economics (IZA), number 12637, Sep.
- Auer, Raphael & Ongena, Steven, 2019, "The countercyclical capital buffer and the composition of bank lending," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13942, Aug.
- Chen, Zhengyang, 2019, "The Long-term Rate and Interest Rate Volatility in Monetary Policy Transmission," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 204579.
- Tim Leung & Yang Zhou, 2019, "Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework," Papers, arXiv.org, number 1910.06432, Oct.