Printed from https://ideas.repec.org/n/nep-rmg/2019-11-18.html
Report NEP-RMG-2019-11-18
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:
- Somnath Chatterjee & Andreas Jobst, 2019, "Market-implied systemic risk and shadow capital adequacy," Bank of England working papers, Bank of England, number 823, Sep.
- David Aikman & Jonathan Bridges & Sinem Hacioglu Hoke & Cian O’Neill & Akash Raja, 2019, "Credit, capital and crises: a GDP-at-Risk approach," Bank of England working papers, Bank of England, number 824, Sep.
- José P. Dapena & Juan A. Serur & Julián R. Siri, 2019, "A model free approach to the pricing of downside risk in argentinean stocks," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 703, Nov.
- Samuel Drapeau & Mekonnen Tadese, 2019, "Dual Representation of Expectile based Expected Shortfall and Its Properties," Papers, arXiv.org, number 1911.03245, Nov.
- Xiao, Tim, 2018, "Incremental Risk Charge Methodology," FrenXiv, Center for Open Science, number 6b3hu, Aug, DOI: 10.31219/osf.io/6b3hu.
- H Peyton Young & Mark Paddrik, 2019, "How Safe are Central Counterparties in Credit Default Swap Markets?," Economics Series Working Papers, University of Oxford, Department of Economics, number 885, Nov.
- Bang Jeon & Ji Wu & Yao Yao & Minghua Chen, 2019, "Economic uncertainty and bank risk: Evidence from emerging economies," School of Economics Working Paper Series, LeBow College of Business, Drexel University, number 2019-8, Oct.
- H Peyton Young & Mark Paddrik & Sriram Rajan, 2019, "Contagion in Derivatives Markets," Economics Series Working Papers, University of Oxford, Department of Economics, number 886, Nov.
- Johann Pfitzinger & Nico Katzke, 2019, "A constrained hierarchical risk parity algorithm with cluster-based capital allocation," Working Papers, Stellenbosch University, Department of Economics, number 14/2019.
- Fabien Perez & Guillaume Hollard & Radu Vranceanu & Delphine Dubart, 2019, "How Serious is the Measurement-Error Problem in a Popular Risk-Aversion Task?," Working Papers, HAL, number hal-02291224, Sep.
- Guofeng Sun, 2019, "China's Shadow Banking: Bank's Shadow and Traditional Shadow Banking," BIS Working Papers, Bank for International Settlements, number 822, Nov.
- Lojak, Benjamin & Makarewicz, Tomasz & Proaño Acosta, Christian, 2019, "Low interest rates, bank's search-for-yield behavior and financial portfolio management," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 153.
- Xiao, Tim, 2018, "An Economic Examination of Collateralization in Different Financial Markets," FrenXiv, Center for Open Science, number j32fu, Jun, DOI: 10.31219/osf.io/j32fu.
- Christa Cuchiero & Sara Svaluto-Ferro, 2019, "Infinite dimensional polynomial processes," Papers, arXiv.org, number 1911.02614, Nov.
- Maddalena Galardo & Maurizio Lozzi & Paolo Emilio Mistrulli, 2019, "Credit supply, uncertainty and trust: the role of social capital," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1245, Nov.
- Saman Adhami & Dominique Guégan, 2019, "Crypto assets: the role of ICO tokens within a well-diversified portfolio," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 19020, Sep.
- Gonçalves, Jorge & Kräussl, Roman & Levin, Vladimir, 2019, "Do "speed bumps" prevent accidents in financial markets?," CFS Working Paper Series, Center for Financial Studies (CFS), number 636.
- Emmanuelle Jay & Thibault Soler & Eugénie Terreaux & Jean-Philippe Ovarlez & Frédéric Pascal & Philippe De Peretti & Christophe Chorro, 2019, "Improving portfolios global performance using a cleaned and robust covariance matrix estimate," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 19022, Oct.
- Item repec:imf:imfscr:19/331 is not listed on IDEAS anymore
- Juan M. Londono & Sai Ma & Beth Anne Wilson, 2019, "Quantifying the Impact of Foreign Economic Uncertainty on the U.S. Economy," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2019-10-08, Oct, DOI: 10.17016/2380-7172.2463.
- Fernando Eguren-Martin & Andrej Sokol, 2019, "Attention to the tail(s): global financial conditions and exchange rate risks," Bank of England working papers, Bank of England, number 822, Sep.
- Timothy S. Hills & Taisuke Nakata & Sebastian Schmidt, 2019, "Effective Lower Bound Risk," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-077, Nov, DOI: 10.17016/FEDS.2019.077.