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Report NEP-RMG-2019-11-04
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:
- Jonas Crevecoeur & Jens Robben & Katrien Antonio, 2019, "A hierarchical reserving model for reported non-life insurance claims," Papers, arXiv.org, number 1910.12692, Oct, revised Nov 2021.
- Item repec:imf:imfscr:19/322 is not listed on IDEAS anymore
- Huai-Long Shi & Wei-Xing Zhou, 2019, "Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market," Papers, arXiv.org, number 1910.13115, Oct, revised Oct 2022.
- Bedin, Andrea & Billio, Monica & Costola, Michele & Pelizzon, Loriana, 2019, "Credit scoring in SME asset-backed securities: An Italian case study," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 262.
- Sven Husmann & Antoniya Shivarova & Rick Steinert, 2019, "Sparsity and Stability for Minimum-Variance Portfolios," Papers, arXiv.org, number 1910.11840, Oct.
- Imke Redeker & Ralf Wunderlich, 2019, "Credit risk with asymmetric information and a switching default threshold," Papers, arXiv.org, number 1910.14413, Oct, revised Nov 2019.
- Alexander Wagner & Stan Uryasev, 2019, "Portfolio Optimization with Expectile and Omega Functions," Papers, arXiv.org, number 1910.14005, Oct.
- Alan L. Lewis, 2019, "Option-based Equity Risk Premiums," Papers, arXiv.org, number 1910.14522, Oct, revised Apr 2020.
- Halbleib, Roxana & Dimitriadis, Timo, 2019, "How informative is high-frequency data for tail risk estimation and forecasting? An intrinsic time perspectice," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy, Verein für Socialpolitik / German Economic Association, number 203669.
- Gries, Thomas & Mitschke, Alexandra, 2019, "Systemic instability of the interbank credit market: A contribution to a resilient financial system," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy, Verein für Socialpolitik / German Economic Association, number 203582.
- Mawuli Segnon & Rangan Gupta & Keagile Lesame & Mark E. Wohar, 2019, "High-Frequency Volatility Forecasting of US Housing Markets," Working Papers, University of Pretoria, Department of Economics, number 201977, Oct.
- Fels, Markus, 2019, "Risk Attitudes with State-Dependent Indivisibilities in Consumption," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy, Verein für Socialpolitik / German Economic Association, number 203489.
- Strobel, Johannes & Lee, Gabriel & Dorofeenko, Victor & Salyer, Kevin, 2019, "Time-Varying Risk Shocks and the Zero Lower Bound," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy, Verein für Socialpolitik / German Economic Association, number 203491.
- Neugebauer, Frederik, 2019, "ECB Announcements and Stock Market Volatility," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy, Verein für Socialpolitik / German Economic Association, number 203554.
- Broll, Udo & Welzel, Peter & Wong, Kit Pong, 2019, "Hedging and the regret theory of the competitive firm," CEPIE Working Papers, Technische Universität Dresden, Center of Public and International Economics (CEPIE), number 05/19.
- Vijaya Ramachandran & Junaid Sadiq Masood, 2019, "Are the Pacific Islands Insurable? Challenges and Opportunities for Disaster Risk Finance," Working Papers, Center for Global Development, number 516, Sep.
- Wang Yunyi, 2019, "The Banking Fragility Index Panorama in China," Proceedings of the 14th International RAIS Conference, August 19-20, 2019, Research Association for Interdisciplinary Studies, number 031YW, Aug.