Report NEP-RMG-2013-08-31

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were announced in this report:

• Eling, Martin & Pankoke, David, 2013. "Basis Risk, Procylicality, and Systemic Risk in the Solvency II Equity Risk Module," Working Papers on Finance 1306, University of St. Gallen, School of Finance.
• Simon A. Broda, 2013. "Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors," UvA-Econometrics Working Papers 13-04, Universiteit van Amsterdam, Dept. of Econometrics.
• Hao Liu & Winfried Pohlmeier, 2013. "Risk Preferences and Estimation Risk in Portfolio Choice," Working Paper series 47_13, Rimini Centre for Economic Analysis.
• Tolga Umut Kuzubas & Inci Omercikoglu & Burak Saltoglu, 2013. "Network Centrality Measures and Systemic Risk: An Application to the Turkish Financial Crisis," Working Papers 2013/12, Bogazici University, Department of Economics.
• Ben Ammar, Semir & Eling, Martin, 2013. "Common Risk Factors of Infrastructure Firms," Working Papers on Finance 1307, University of St. Gallen, School of Finance.
• Filip Zikes & Jozef Barunik, 2013. "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," Papers 1308.4276, arXiv.org.
• Marius del Giudice Rodriguez & Thomas Wu, 2013. "The Effect of Capital Controls and Prudential FX Measures on Options-Implied Exchange Rate Stability," Working Paper Series 2013-20, Federal Reserve Bank of San Francisco.
• D. S. Grebenkov & J. Serror, 2013. "Following a Trend with an Exponential Moving Average: Analytical Results for a Gaussian Model," Papers 1308.5658, arXiv.org.
• Su, EnDer, 2013. "Stock index hedge using trend and volatility regime switch model considering hedging cost," MPRA Paper 49190, University Library of Munich, Germany.
• Su, EnDer, 2013. "Measuring and Testing Tail Dependence and Contagion Risk between Major Stock Markets," MPRA Paper 48444, University Library of Munich, Germany.
• Soumik Pal & Ting-Kam Leonard Wong, 2013. "Energy, entropy, and arbitrage," Papers 1308.5376, arXiv.org, revised Jan 2016.
• Ilya Tkachev & Alessandro Abate, 2013. "Computation of ruin probabilities for general discrete-time Markov models," Papers 1308.5152, arXiv.org.
• Kyong-Hui Kim & Myong-Guk Sin, 2013. "Efficient hedging in general Black-Scholes model," Papers 1308.6387, arXiv.org, revised Mar 2014.
• Peter Fuleky & Luigi Ventura & Qianxue Zhao, 2013. "Common correlated effects and international risk sharing," Working Papers 2013-3R, University of Hawaii Economic Research Organization, University of Hawaii at Manoa, revised Aug 2013.
• Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013. "Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section," Working Paper 2013/19, Norges Bank.
• Ammann, Manuel & Buesser, Ralf, 2013. "Variance Risk Premiums in Foreign Exchange Markets," Working Papers on Finance 1304, University of St. Gallen, School of Finance.
• Olivier Bruno & André Cartapanis & Eric Nasica, 2013. "Bank leverage, financial fragility and prudential regulation," Working Papers halshs-00853701, HAL.
• Morgan, Peter J. & Pontines, Victor, 2013. "An Asian Perspective on Global Financial Reforms," ADBI Working Papers 433, Asian Development Bank Institute.
• Marcello Basili & Luca Pratelli, 2013. "Aggregation of not necessarily independent opinions," Department of Economics University of Siena 677, Department of Economics, University of Siena.