Report NEP-RMG-2014-12-03

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:

• Dominique Guegan & Bertrand Hassani, 2014. "Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions," Post-Print halshs-00969242, HAL.
• Matros, Philipp & Vilsmeier, Johannes, 2014. "The multivariate option iPoD framework: assessing systemic financial risk," Discussion Papers 20/2014, Deutsche Bundesbank.
• Dominique Guegan & Bertrand Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Post-Print halshs-00951593, HAL.
• Chao, Wang & Richard, Gerlach, 2014. "Forecasting risk via realized GARCH, incorporating the realized range," Working Papers 2014-06, University of Sydney Business School, Discipline of Business Analytics.
• Feng, Xiaoguang & Hayes, Dermot, 2014. "Diversifying Systemic Risk in Agriculture---A Copula-based Approach," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170579, Agricultural and Applied Economics Association.
• Erika Gomes-Gonc{c}alves & Henryk Gzyl & Silvia Mayoral, 2014. "Two maxentropic approaches to determine the probability density of compound risk losses," Papers 1411.5625, arXiv.org, revised Nov 2014.
• Stijn Claessens & Swati R. Ghosh & Roxana Mihet, 2014. "Macro-Prudential Policies to Mitigate Financial System Vulnerabilities," IMF Working Papers 14/155, International Monetary Fund.
• Wu, Feng & Guan, Zhengfei, 2014. "Efficient Estimation of Risk Attitude with Seminonparametric Risk Modeling," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170625, Agricultural and Applied Economics Association.
• Guan, Zhengfei & Wu, Feng, 2014. "Non-Optimal Behavior and Estimation of Risk Preferences," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170636, Agricultural and Applied Economics Association.
• Hoerova, Marie & Bekaert, Geert, 2014. "The VIX, the variance premium and stock market volatility," Working Paper Series 1675, European Central Bank.
• Jihun Han & Hyungbin Park, 2014. "The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels," Papers 1411.4606, arXiv.org, revised Sep 2015.
• Tröger, Tobias H., 2014. "How special are they? Targeting systemic risk by regulating shadow banking," IMFS Working Paper Series 83, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
• Busby, Gwenlyn M. & Geiger, Richelle & Mercer, D. Evan, 2014. "Spatial interactions in wildfire risk management decisions," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170714, Agricultural and Applied Economics Association.
• Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
• Hac`ene Djellout & Arnaud Guillin & Yacouba Samoura, 2014. "Large deviations of the realized (co-)volatility vector," Papers 1411.5159, arXiv.org.
• Xiaolin Luo & Pavel V. Shevchenko, 2014. "Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization," Papers 1411.5453, arXiv.org, revised Apr 2015.
• Zhen, Miao & Qiu, Feng & Rude, James & Unterschultz, James, 2014. "Asymmetric Price Transmission and Volatility Spillovers," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170151, Agricultural and Applied Economics Association.
• Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2014. "Matrix Exponential Stochastic Volatility with Cross Leverage," CIRJE F-Series CIRJE-F-938, CIRJE, Faculty of Economics, University of Tokyo.