Report NEP-RMG-2015-12-01

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:

• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Documentos de Trabajo del ICAE 2015-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015. "Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC," Documentos de Trabajo del ICAE 2015-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Francq, Christian & Zakoian, Jean-Michel, 2015. "Joint inference on market and estimation risks in dynamic portfolios," MPRA Paper 68100, University Library of Munich, Germany.
• Chkili, Walid, 2015. "Gold-oil prices co-movements and portfolio diversification implications," MPRA Paper 68110, University Library of Munich, Germany.
• Marcelo Brutti Righi, 2015. "A composition between risk and deviation measures," Papers 1511.06943, arXiv.org, revised May 2018.
• Jaeger, Carlo, 2015. "The coming breakthrough in risk research," Economics Discussion Papers 2015-65, Kiel Institute for the World Economy (IfW Kiel).
• Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.
• Hannah Cheng Juan Zhan & William Rea & Alethea Rea, 2015. "An Application of Correlation Clustering to Portfolio Diversification," Papers 1511.07945, arXiv.org.
• Item repec:hhs:bofitp:2015_030 is not listed on IDEAS anymore

• Victoria Dobrynskaya, 2015. "Upside and Downside Risks in Momentum Returns," HSE Working papers WP BRP 50/FE/2015, National Research University Higher School of Economics.
• Yves Dominicy, 2014. "Quantile-based inference and estimation of heavy-tailed distributions," ULB Institutional Repository 2013/209311, ULB -- Universite Libre de Bruxelles.
• Peydró, José-Luis & Sette, Enrico & Polo, Andrea & Ippolito, Filippo, 2015. "Double Bank Runs and Liquidity Risk Management," CEPR Discussion Papers 10948, C.E.P.R. Discussion Papers.
• Olivier Lopez & Xavier Milhaud & Pierre-Emmanuel Thérond, 2015. "Tree-based censored regression with applications to insurance," Working Papers hal-01141228, HAL.