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Report NEP-RMG-2021-09-06
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:
- Busch, Pascal & Cappelletti, Giuseppe & Marincas, Vlad & Meller, Barbara & Wildmann, Nadya, 2021, "How useful is market information for the identification of G-SIBs?," Occasional Paper Series, European Central Bank, number 260, Aug.
- c{C}au{g}{i}n Ararat & Mucahit Aygun, 2021, "Dual representations for quasiconvex compositions with applications to systemic risk measures," Papers, arXiv.org, number 2108.12910, Aug, revised Nov 2025.
- Nguyen, Hoang & Javed, Farrukh, 2021, "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Working Papers, Örebro University, School of Business, number 2021:15, Aug.
- R.L. Gudmundarson & M. Guerra & A. B. de Moura, 2021, "Minimizing Ruin Probability Under Dependencies for Insurance Pricing," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2021/0193, Aug.
- Marlon Moresco & Marcelo Brutti Righi, 2021, "On the link between monetary and star-shaped risk measures," Papers, arXiv.org, number 2108.13500, Aug.
- Stephen Lee, 2021, "Diversification in Real Estate Portfolios," ERES, European Real Estate Society (ERES), number eres2021_211, Jan.
- Chiara Künzle & Sven Bienert & Cay Oertel & Werner Gleißner, 2021, "Value Contribution of Diversification: An Empirical Investigation of the Individual Value of Real Estate in Portfolios," ERES, European Real Estate Society (ERES), number eres2021_82, Jan.
- Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021, "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," NBER Working Papers, National Bureau of Economic Research, Inc, number 29195, Aug.
- Karl-Friedrich Keunecke & Hunter Kuhlwein & Cay Oertel, 2021, "Volatility Modeling of Property Markets: A Note on the Distribution of GARCH Innovation," ERES, European Real Estate Society (ERES), number eres2021_75, Jan.