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Report NEP-RMG-2019-11-25
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:
- Korn, Olaf & Möller, Philipp M. & Schwehm, Christian, 2019, "Drawdown measures: Are they all the same?," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 19-04.
- Giuseppe Brandi & Ruggero Gramatica & Tiziana Di Matteo, 2019, "Unveil stock correlation via a new tensor-based decomposition method," Papers, arXiv.org, number 1911.06126, Nov, revised Apr 2020.
- Xiao, Tim, 2018, "Incremental Risk Charge Methodology," arabixiv.org, Center for Open Science, number qmcdz, Aug, DOI: 10.31219/osf.io/qmcdz.
- Daniel Ritter, 2019, "Mathematical Modeling of Systemic Risk in Financial Networks: Managing Default Contagion and Fire Sales," Papers, arXiv.org, number 1911.07313, Nov.
- Robert J. Barro & Gordon Y. Liao, 2019, "Tractable Rare Disaster Probability and Options-Pricing," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-073, Sep, DOI: 10.17016/FEDS.2019.073.
- Sullivan HUE & Yannick LUCOTTE & Sessi TOKPAVI, 2018, "Measuring network systemic risk contributions: A leave-one-out approach," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 2708.
- Chavleishvili, Sulkhan & Manganelli, Simone, 2019, "Forecasting and stress testing with quantile vector autoregression," Working Paper Series, European Central Bank, number 2330, Nov.
- J. Hahn & J. Hirsch, 2018, "Flood Risk and Housing Prices – How Natural Hazard Impacts Property Markets," AfRES, African Real Estate Society (AfRES), number afres2018_126, Sep.
- Bert Loudis & Ben Ranish, 2019, "CECL and the Credit Cycle," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-061, Aug, DOI: 10.17016/FEDS.2019.061.
- Yang-Ho Park, 2019, "Variance Disparity and Market Frictions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-059, Aug, DOI: 10.17016/FEDS.2019.059.
- Taneli M�kinen & Lucio Sarno & Gabriele Zinna, 2019, "Risky bank guarantees," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1232, Jul.
- Roncoroni, Alan & Battiston, Stefano & D'Errico, Marco & Hałaj, Grzegorz & Kok, Christoffer, 2019, "Interconnected banks and systemically important exposures," Working Paper Series, European Central Bank, number 2331, Nov.
- Saman Adhami & Dominique Guegan, 2019, "Crypto assets: the role of ICO tokens within a well-diversified portfolio," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-02353656, Sep.
- Marcus C. Christiansen & Boualem Djehiche, 2019, "Nonlinear reserving and multiple contract modifications in life insurance," Papers, arXiv.org, number 1911.06159, Nov, revised Mar 2020.