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Report NEP-RMG-2019-10-28
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:
- Kouadio, Jean Joel & Mwamba, Muteba & Bonga-Bonga, Lumengo, 2019, "Empirical evidence of systemic tail risk premium in the Johannesburg Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 96570, Oct.
- Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019, "Superkurtosis," MPRA Paper, University Library of Munich, Germany, number 96563, Oct.
- Item repec:hal:wpaper:hal-02314914 is not listed on IDEAS anymore
- Frank Bosserhoff & Mitja Stadje, 2019, "Robustness of Delta Hedging in a Jump-Diffusion Model," Papers, arXiv.org, number 1910.08946, Oct, revised Apr 2022.
- Wenyuan Wang & Xueyuan Wu & Cheng Chi, 2019, "Optimal implementation delay of taxation with trade-off for L\'{e}vy risk Processes," Papers, arXiv.org, number 1910.08158, Oct.
- Gautier Marti, 2019, "CorrGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks," Papers, arXiv.org, number 1910.09504, Oct, revised Dec 2019.
- Item repec:hal:wpaper:hal-02314899 is not listed on IDEAS anymore
- Juan Dong & Lyudmila Korobenko & Deniz Sezer, 2019, "Nonhedgeable risk and Credit Risk Pricing," Papers, arXiv.org, number 1910.08641, Oct.
- Nguyen, Linh D. & Steininger, Bertram, 2019, "The impact of underpricing of the default risk on investment: Evidence from Real Estate Investment Trusts (REITs)," Working Paper Series, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance, number 19/5, Oct.
- Dungey, Mardi & Islam, Raisul & Volkov, Vladimir, 2019, "Crisis transmission: visualizing vulnerability," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2019-07.
- Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2019, "The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks," Working Papers, Office of Financial Research, US Department of the Treasury, number 19-03, Oct.
- Zura Kakushadze, 2019, "Healthy... Distress... Default," Papers, arXiv.org, number 1910.08531, Oct, revised Oct 2019.
- Maake, Tebogo & Bonga-Bonga, Lumengo, 2019, "The relationship between carry trade and asset markets in South Africa," MPRA Paper, University Library of Munich, Germany, number 96667, Oct.