Report NEP-RMG-2017-05-14

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:

• Zi-Yi Guo, 2017. "A Stochastic Factor Model for Risk Management of Commodity Derivatives," Proceedings of Economics and Finance Conferences 4507452, International Institute of Social and Economic Sciences.
• Jin Sun & Pavel V. Shevchenko & Man Chung Fung, 2017. "A note on the impact of management fees on the pricing of variable annuity guarantees," Papers 1705.03787, arXiv.org, revised May 2017.
• Jie Sun & Xinmin Yang & Qiang Yao & Min Zhang, 2017. "Risk Minimization, Regret Minimization and Progressive Hedging Algorithms," Papers 1705.00340, arXiv.org, revised Jun 2020.
• Oliver Linton & Jianbin Wu, 2017. "A coupled component GARCH model for intraday and overnight volatility," CeMMAP working papers CWP05/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Pierre-Richard Agénor & Luiz A. Pereira da Silva, 2017. "Capital Requirements, Risk-Taking and Welfare in a Growing Economy," IDB Publications (Working Papers) 98078, Inter-American Development Bank.
• Beck, Thorsten & De Jonghe, Olivier & Mulier, Klaas, 2017. "Bank sectoral concentration and (systemic) risk: Evidence from a worldwide sample of banks," CEPR Discussion Papers 12009, C.E.P.R. Discussion Papers.
• Paul Pichler & Flora Lutz, 2017. "Liquidity risk and financial stability regulation," Vienna Economics Papers 1701, University of Vienna, Department of Economics.
• Epper, Thomas & Fehr-Duda, Helga, 2017. "A Tale of Two Tails: On the Coexistence of Overweighting and Underweighting of Rare Extreme Events," Economics Working Paper Series 1705, University of St. Gallen, School of Economics and Political Science.
• Nobuyoshi Yamori & Yoshihiro Asai, 2017. "Great East Japan Earthquake and Risk Management for Small and Medium-Sized Enterprises ―How Do Japanese SMEs Prepare against Natural Disasters?－," Discussion Paper Series DP2017-14, Research Institute for Economics & Business Administration, Kobe University.
• Bruno, Brunella & Nocera, Giacomo & Resti, Andrea, 2017. "Are risk-based capital requirements detrimental to corporate lending? Evidence from Europe," CEPR Discussion Papers 12007, C.E.P.R. Discussion Papers.
• Sonia Quiroga & Emilio Cerdá, 2017. "Exploring farmers? selection of crop protection levels as an adaptation strategy to climate risks," Proceedings of Economics and Finance Conferences 4507414, International Institute of Social and Economic Sciences.
• Luigi Troiano & Elena Mejuto Villa & Pravesh Kriplani, 2017. "An Alternative Estimation of Market Volatility based on Fuzzy Transform," Papers 1705.01348, arXiv.org.
• Buch, Claudia M. & Krause, Thomas & Tonzer, Lena, 2017. "Drivers of systemic risk: Do national and European perspectives differ?," Discussion Papers 09/2017, Deutsche Bundesbank.
• Jun Sakamoto, 2017. "An empirical study on the risk premium caused by differences in the dispersion of information among investors," Discussion Papers in Economics and Business 17-11, Osaka University, Graduate School of Economics.
• Duprey, Thibaut & Klaus, Benjamin, 2017. "How to predict financial stress? An assessment of Markov switching models," Working Paper Series 2057, European Central Bank.
• Roberto Alvarez & Erwin Hansen, 2017. "Corporate Currency Risk and Hedging in Chile: Real and Financial Effects," IDB Publications (Working Papers) 97976, Inter-American Development Bank.
• Sergio Mayordomo & Antonio Moreno & Steven Ongena & María Rodríguez-Moreno, 2017. ""Keeping it personal" or "getting real"? On the drivers and effectiveness of personal versus real loan guarantees," Working Papers 1715, Banco de España.
• Peter Carr & Roger Lee & Matthew Lorig, 2017. "Pricing Variance Swaps on Time-Changed Markov Processes," Papers 1705.01069, arXiv.org, revised Nov 2019.
• Elisa Alòs & Antoine Jacquier & Jorge A. León, 2017. "The implied volatility of forward starting options: ATM short-time level, skew and curvature," Economics Working Papers 1568, Department of Economics and Business, Universitat Pompeu Fabra.
• Rupert Way & Franc{c}ois Lafond & Fabrizio Lillo & Valentyn Panchenko & J. Doyne Farmer, 2017. "Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves," Papers 1705.03423, arXiv.org, revised Aug 2018.
• Stavros Stavroyiannis, 2017. "A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?," Papers 1705.00535, arXiv.org.
• Bora Durdu & Rochelle M. Edge & Daniel Schwindt, 2017. "Measuring the Severity of Stress-Test Scenarios," FEDS Notes 2017-05-05, Board of Governors of the Federal Reserve System (U.S.).
• Paul Calem & Ricardo Correa & Seung Jung Lee, 2017. "Prudential policies and their impact on credit in the United States," BIS Working Papers 635, Bank for International Settlements.
• Rangan Gupta & Christos Kollias & Stephanos Papadamou & Mark E. Wohar, 2017. "News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets," Working Papers 201730, University of Pretoria, Department of Economics.
• Hill, Ruth Vargas & Kumar, Neha & Magnan, Nicholas & Makhija, Simrin & de Nicola, Francesca & Spielman, David J. & Ward, Patrick S., 2017. "Insuring against droughts: Evidence on agricultural intensification and index insurance demand from a randomized evaluation in rural Bangladesh," IFPRI discussion papers 1630, International Food Policy Research Institute (IFPRI).