Report NEP-RMG-2016-11-06

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:

• Dangl, Thomas & Randl, Otto & Zechner, Josef, 2016. "Risk control in asset management: Motives and concepts," CFS Working Paper Series 546, Center for Financial Studies (CFS).
• Wong, Woon K., 2016. "A GMM Skewness and Kurtosis Ratio Test for Higher Moment Dependence," Cardiff Economics Working Papers E2016/8, Cardiff University, Cardiff Business School, Economics Section.
• William R. Cline, 2016. "Systemic Implications of Problems at a Major European Bank," Policy Briefs PB16-19, Peterson Institute for International Economics.
• Schneider, Paul & Wagner, Christian & Zechner, Josef, 2016. "Low risk anomalies?," CFS Working Paper Series 550, Center for Financial Studies (CFS).
• Thibaut Lux & Antonis Papapantoleon, 2016. "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Papers 1610.09734, arXiv.org, revised Nov 2018.
• Takuji Arai & Yuto Imai, 2016. "On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models," Papers 1610.09085, arXiv.org.
• Ines Wilms & Jeroen Rombouts & Christophe Croux, 2016. "Lasso-based forecast combinations for forecasting realized variances," Working Papers of Department of Decision Sciences and Information Management, Leuven 553087, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
• Nils Detering & Thilo Meyer-Brandis & Konstantinos Panagiotou & Daniel Ritter, 2016. "Managing Default Contagion in Inhomogeneous Financial Networks," Papers 1610.09542, arXiv.org, revised Jan 2021.
• Stijn Ferrari & Mara Pirovano & Pablo Rovira Kaltwasser, 2016. "The impact of sectoral macroprudential capital requirements on mortgage loan pricing: Evidence from the Belgian risk weight add-on," Working Paper Research 306, National Bank of Belgium.
• Cociuba, Simona & Shukayev, Malik & Ueberfeldt, Alexander, 2016. "Managing Risk Taking with Interest Rate Policy and Macroprudential Regulations," Working Papers 2016-17, University of Alberta, Department of Economics.
• Moshe A. Milevsky & Thomas S. Salisbury, 2016. "Optimal retirement income tontines," Papers 1610.10078, arXiv.org.
• Simona Cociuba & Malik Shukayev & Alexander Ueberfeldt, 2016. "Managing Risk Taking with Interest Rate Policy and Macroprudential Regulations," Staff Working Papers 16-47, Bank of Canada.
• Amrita Dhillon & Andrew Pickering & Tomas Sjöström, 2016. "Sovereign Debt - Election Concerns and the Democratic Disadvantage," Discussion Papers 16/13, Department of Economics, University of York.
• Dangl, Thomas & Zechner, Josef, 2016. "Debt maturity and the dynamics of leverage," CFS Working Paper Series 547, Center for Financial Studies (CFS).
• Horneff, Vanya & Maurer, Raimond & Mitchell, Olivia S., 2016. "Putting the pension back in 401(k) plans: Optimal versus default longevity income annuities," SAFE Working Paper Series 150, Leibniz Institute for Financial Research SAFE.
• Britz, Wolfgang & Linda, Arata, "undated". "How Important Are Crop Shares In Managing Risk For Specialized Arable Farms? A Panel Estimation Of A Programming Model For Three European Regions," 56th Annual Conference, Bonn, Germany, September 28-30, 2016 244801, German Association of Agricultural Economists (GEWISOLA).