Report NEP-RMG-2014-02-21

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:

• Matija Piv{s}korec & Nino Antulov-Fantulin & Petra Kralj Novak & Igor Mozetiv{c} & Miha Grv{c}ar & Irena Vodenska & Tomislav v{S}muc, 2014. "News Cohesiveness: an Indicator of Systemic Risk in Financial Markets," Papers 1402.3483, arXiv.org.
• Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2014. "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers 13-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
• Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2014. "Portfolio optimization using forward-looking information," CFR Working Papers 11-10 [rev.], University of Cologne, Centre for Financial Research (CFR).
• Dominique Guegan & Bertrand K Hassani, 2014. "Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions," Documents de travail du Centre d'Economie de la Sorbonne 14008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Micha{l} Barski, 2014. "On the shortfall risk control -- a refinement of the quantile hedging method," Papers 1402.3725, arXiv.org, revised Dec 2015.
• Dominique Guegan & Bertrand K Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Documents de travail du Centre d'Economie de la Sorbonne 14006, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Jianjun Gao & Ke Zhou & Duan Li & Xiren Cao, 2014. "Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time," Papers 1402.3464, arXiv.org.
• Annika Birch & Tomaso Aste, 2014. "Systemic Losses Due to Counter Party Risk in a Stylized Banking System," Papers 1402.3688, arXiv.org.
• Item repec:ipg:wpaper:2014-095 is not listed on IDEAS anymore

• Bin Zou & Abel Cadenillas, 2014. "Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization," Papers 1402.3560, arXiv.org, revised Mar 2014.
• Item repec:ipg:wpaper:2014-089 is not listed on IDEAS anymore

• Item repec:ipg:wpaper:2014-094 is not listed on IDEAS anymore

• Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2014. "Multivariate risk sharing and the derivation of individually rational Pareto optima," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00942114, HAL.
• Gogas, Periklis & Papadimitriou, Theophilos & Agrapetidou, Anna, 2014. "Forecasting Bank Credit Ratings," DUTH Research Papers in Economics 9-2014, Democritus University of Thrace, Department of Economics.
• Amélie Charles & Olivier Darné, 2014. "Volatility persistence in crude oil markets," Post-Print hal-00940312, HAL.
• Item repec:ipg:wpaper:2014-050 is not listed on IDEAS anymore

• Andersson, Henrik & Risa Hole, Arne & Svensson, Mikael, 2014. "Valuation of small and multiple health risks: A critical analysis of SP data applied to food and water safety," Karlstad University Working Papers in Economics 11, Karlstad University, Department of Economics.
• Item repec:ipg:wpaper:2014-066 is not listed on IDEAS anymore

• M. Koz{l}owska & T. Gubiec & T. R. Werner & M. Denys & A. Sienkiewicz & R. Kutner & Z. Struzik, 2014. "Empirical symptoms of catastrophic bifurcation transitions on financial markets: A phenomenological approach," Papers 1402.4047, arXiv.org.
• Item repec:ipg:wpaper:2014-090 is not listed on IDEAS anymore