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Report NEP-RMG-2021-08-23
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:
- Pawel Polak & Urban Ulrych, 2021, "Dynamic Currency Hedging with Ambiguity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-60, Aug.
- Yichun Chi & Zuo Quan Xu & Sheng Chao Zhuang, 2021, "Distributionally robust goal-reaching optimization in the presence of background risk," Papers, arXiv.org, number 2108.04464, Aug, revised Dec 2021.
- Dominic Joseph, 2021, "Predicting Credit Default Probabilities Using Bayesian Statistics and Monte Carlo Simulations," Papers, arXiv.org, number 2108.03389, Aug, revised Sep 2021.
- Martin Indergand & Gabriela Hrasko, 2021, "Does the market believe in loss-absorbing bank debt?," Working Papers, Swiss National Bank, number 2021-13.
- Francesca Biagini & Andrea Mazzon & Katharina Oberpriller, 2021, "Reduced-form framework for multiple ordered default times under model uncertainty," Papers, arXiv.org, number 2108.04047, Aug, revised Oct 2022.
- Ralph S. J. Koijen & Motohiro Yogo, 2021, "The Evolution from Life Insurance to Financial Engineering," NBER Working Papers, National Bureau of Economic Research, Inc, number 29030, Jul.
- Clemens Sialm & Qifei Zhu, 2021, "Currency Management by International Fixed Income Mutual Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 29082, Jul.
- Subhadeep Mukhopadhyay, 2021, "InfoGram and Admissible Machine Learning," Papers, arXiv.org, number 2108.07380, Aug, revised Aug 2021.
- Renee van Eyden & Rangan Gupta & Jacobus Nel & Elie Bouri, 2021, "Rare Disaster Risks and Volatility of the Term-Structure of US Treasury Securities: The Role of El Nino and La Nina Events," Working Papers, University of Pretoria, Department of Economics, number 202155, Aug.
- Georges Prat & Remzi Uctum, 2021, "Modeling ex-ante risk premia in the oil market," Post-Print, HAL, number hal-03318785, Jun.
- Giancarlo Corsetti & Anna Lipínska & Giovanni Lombardo, 2021, "Sharing asymmetric tail risk smoothing, asset pricing and terms of trade," BIS Working Papers, Bank for International Settlements, number 958, Aug.
- Carol Alexander & Ding Chen & Arben Imeraj, 2021, "Inverse and Quanto Inverse Options in a Black-Scholes World," Papers, arXiv.org, number 2107.12041, Jul, revised Oct 2022.
- Georges Prat & Remzi Uctum, 2021, "Term structure of interest rates: modelling the risk premium using a two horizons framework," Post-Print, HAL, number hal-03319099, DOI: 10.1016/j.jebo.2019.09.006.
- Michael J. Gropper & Camelia M. Kuhnen, 2021, "Wealth and Insurance Choices: Evidence from US Households," NBER Working Papers, National Bureau of Economic Research, Inc, number 29069, Jul.
- Yonatan Berman & Mark Kirstein, 2021, "Risk Preferences in Time Lotteries," Papers, arXiv.org, number 2108.08366, Aug.