Report NEP-RMG-2014-06-07

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.

Subscribe to this report: email, RSS, or Mastodon.

Other reports in NEP-RMG

The following items were announced in this report:

• J. D. Opdyke, 2014. "Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness," Papers 1406.0389, arXiv.org, revised Nov 2014.
• Kevin Sheppard & Wen Xu, 2014. "Factor High-Frequency Based Volatility (HEAVY) Models," Economics Series Working Papers 710, University of Oxford, Department of Economics.
• Sinha, Pankaj & Agnihotri, Shalini, 2014. "Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization," MPRA Paper 56307, University Library of Munich, Germany, revised 26 May 2014.
• Tatiana Labopin-Richard & Fabrice Gamboa & Aur'elien Garivier & Bertrand Iooss, 2014. "Bregman superquantiles. Estimation methods and applications," Papers 1405.6677, arXiv.org, revised Jan 2016.
• Nicolo Musmeci & Tomaso Aste & Tiziana Di Matteo, 2014. "Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods," Papers 1406.0496, arXiv.org, revised Jan 2015.
• Rodriguez, Abel & Wang, Ziwei & Kottas, Athanasios, 2014. "Assessing systematic risk in the S&P500 index between 2000 and 2011: A Bayesian nonparametric approach," Santa Cruz Department of Economics, Working Paper Series qt6dh099g2, Department of Economics, UC Santa Cruz.
• Wenlang Zhang & Gaofeng Han & Steven Chan, 2014. "How Strong are the Linkages between Real Estate and Other Sectors in China?," Working Papers 112014, Hong Kong Institute for Monetary Research.
• Archil Gulisashvili & Peter Tankov, 2014. "Implied volatility of basket options at extreme strikes," Papers 1406.0394, arXiv.org.
• Sami BEN JABEUR & Youssef FAHMI, 2014. "Default Prediction for Small-Medium Enterprises in France: A comparative approach," Working Papers 2014-319, Department of Research, Ipag Business School.
• Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2014. "Estimation of the Global Minimum Variance Portfolio in High Dimensions," Papers 1406.0437, arXiv.org, revised Nov 2015.