Report NEP-RMG-2014-08-25

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:

• Dawa Sherpa, 2013. "Critical Evaluation of Basel III as Prudential Regulation and its Consequences in Developing Countries’ Credit Needs," EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey 253, Ekonomik Yaklasim Association.
• Samim Ghamami & Lisa R. Goldberg, 2014. "Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA," Finance and Economics Discussion Series 2014-54, Board of Governors of the Federal Reserve System (U.S.).
• Erhan Bayraktar & Gu Wang, 2014. "Quantile Hedging in a Semi-Static Market with Model Uncertainty," Papers 1408.4848, arXiv.org, revised Sep 2017.
• Jean-Cyprien H'eam & Erwan Koch, 2014. "Diversification and Endogenous Financial Networks," Papers 1408.4618, arXiv.org, revised Feb 2015.
• Hasan, Zubair, 2014. "Risk-sharing versus risk-transfer in finance: A critique," MPRA Paper 58006, University Library of Munich, Germany.
• Angela Gu & Patrick Zeng, 2014. "Sector-Based Factor Models for Asset Returns," Papers 1408.2794, arXiv.org.
• Pinto Prades, Jose Luis & Brey Sanchez, Raul, 2014. "Age effects in mortality risk valuation," Health Economics Working Paper Series 201401, Glasgow Caledonian University, Yunus Centre.
• Xiaolan Zhang, 2014. "Who Bears Firm-Level Risk? Implications for Cash Flow Volatility," 2014 Meeting Papers 184, Society for Economic Dynamics.
• World Bank, 2013. "Weather Data Grids for Agriculture Risk Management : The Case of Honduras and Guatemala," World Bank Publications - Reports 16501, The World Bank Group.
• Urban J. Jermann & Vivian Z. Yue, 2014. "Interest Rate Swaps and Corporate Default," Emory Economics 1406, Department of Economics, Emory University (Atlanta).
• Zhaogang Song & Dacheng Xiu, 2014. "A Tale of Two Option Markets: Pricing Kernels and Volatility Risk," Finance and Economics Discussion Series 2014-58, Board of Governors of the Federal Reserve System (U.S.).
• Tommaso Proietti, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," CEIS Research Paper 319, Tor Vergata University, CEIS, revised 30 Jul 2014.
• Tony Randle & Heinz P. Rudolph, 2014. "Pension Risk and Risk Based Supervision in Defined Contribution Pension Funds," World Bank Publications - Reports 17791, The World Bank Group.