Report NEP-RMG-2014-09-05

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:

• Maciej J. Capi'nski, 2014. "Hedging Conditional Value at Risk with Options," Papers 1408.6673, arXiv.org, revised Apr 2015.
• Galen Sher & Giuseppe Loiacono, 2013. "Maturity Transformation and Interest Rate Risk in Large European Bank Loan Portfolios," EcoMod2013 5442, EcoMod.
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Volatility jumps and their economic determinants," CREATES Research Papers 2014-27, Department of Economics and Business Economics, Aarhus University.
• Cedric Okou & Eric Jacquier, 2014. "Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs," CIRANO Working Papers 2014s-36, CIRANO.
• Anindya Goswami & Jeeten Patel & Poorva Sevgaonkar, 2014. "The optimal hedging in a semi-Markov modulated market," Papers 1408.5266, arXiv.org.
• Huyen Pham, 2014. "Long time asymptotics for optimal investment," Papers 1408.6455, arXiv.org.