Report NEP-RMG-2016-07-23

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:

• Marc S. PAOLELLA & Pawel POLAK, 2015. "Portfolio Selection with Active Risk Monitoring," Swiss Finance Institute Research Paper Series 15-17, Swiss Finance Institute.
• Hampus Engsner & Mathias Lindholm & Filip Lindskog, 2016. "Insurance valuation: a computable multi-period cost-of-capital approach," Papers 1607.04100, arXiv.org.
• Martin DUDLER & Bruno GMUER & Semyon MALAMUD, 2014. "Risk-Adjusted Time Series Momentum," Swiss Finance Institute Research Paper Series 14-71, Swiss Finance Institute, revised Jan 2015.
• Semyon MALAMUD, 2014. "Portfolio Selection with Options and Transaction Costs," Swiss Finance Institute Research Paper Series 14-08, Swiss Finance Institute.
• Jianxi Su & Edward Furman, 2016. "Multiple risk factor dependence structures: Distributional properties," Papers 1607.04739, arXiv.org.
• Giovanni BARONE-ADESI & Kostas GIANNOPOULOS & Les VOSPER, 2015. "Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund," Swiss Finance Institute Research Paper Series 15-12, Swiss Finance Institute.
• Guglielmo Maria Caporale & Mario Cerrato & Xuan Zhang, 2016. "Analysing the Determinants of Credit Risk for General Insurance Firms in the UK," Discussion Papers of DIW Berlin 1591, DIW Berlin, German Institute for Economic Research.
• Jianxi Su & Edward Furman, 2016. "A form of multivariate Pareto distribution with applications to financial risk measurement," Papers 1607.04737, arXiv.org.
• Jochen KRAUSE & Marc S. PAOLELLA, 2014. "A Fast, Accurate Method for Value at Risk and Expected Shortfall," Swiss Finance Institute Research Paper Series 14-40, Swiss Finance Institute.
• Dirk Becherer & Klebert Kentia, 2016. "Hedging under generalized good-deal bounds and model uncertainty," Papers 1607.04488, arXiv.org, revised Apr 2017.
• Noth, Felix & Tonzer, Lena, 2015. "Bank Risk Proxies and the Crisis of 2007/09: A Comparison," IWH Discussion Papers 13/2015, Halle Institute for Economic Research (IWH).
• Marc ARNOLD & Dustin SCHUETTE & Alexander WAGNER, 2014. "Pay Attention or Pay Extra: Evidence on the Compensation of Investors for the Implicit Credit Risk of Structured Products," Swiss Finance Institute Research Paper Series 14-24, Swiss Finance Institute, revised Jul 2014.
• Hong-Bae Kim, 2016. "portfolio management with Islam Equity in Korea stock market," Proceedings of International Academic Conferences 4006501, International Institute of Social and Economic Sciences.
• Tung-Lam Dao & Trung-Tu Nguyen & Cyril Deremble & Yves Lemp'eri`ere & Jean-Philippe Bouchaud & Marc Potters, 2016. "Tail protection for long investors: Trend convexity at work," Papers 1607.02410, arXiv.org.
• Rajna Gibson BRANDON & Nikolay RYABKOV, 2014. "Long/Short Equity Hedge Funds and Systematic Ambiguity," Swiss Finance Institute Research Paper Series 14-05, Swiss Finance Institute.
• Giuliana Birindelli & Paola Ferretti & Marco Savioli, 2016. "Basel 3: Does One Size Really Fit All Banks' Business Models?," Working Paper series 16-20, Rimini Centre for Economic Analysis.
• Martin Hellwig, 2016. "“Total Assets” versus “Risk Weighted Assets”: Does it matter for MREL requirements?," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2016_12, Max Planck Institute for Research on Collective Goods.
• Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2016. "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior," Papers 1607.02289, arXiv.org, revised Apr 2017.
• Krause, Thomas & Sondershaus, Talina & Tonzer, Lena, 2016. "The Role of Complexity for Bank Risk during the Financial Crisis: Evidence from a Novel Dataset," IWH Discussion Papers 17/2016, Halle Institute for Economic Research (IWH).
• Didier SORNETTE & Susanne VON DER BECKE, 2011. "Crashes and High Frequency Trading," Swiss Finance Institute Research Paper Series 11-63, Swiss Finance Institute.