Report NEP-RMG-2017-10-08

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:

• Alexandre Belloni & Mingli Chen & Victor Chernozhukov, 2016. "Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk," Papers 1607.00286, arXiv.org, revised Oct 2019.
• Igor Halperin, 2017. "Keep It Real: Tail Probabilities of Compound Heavy-Tailed Distributions," Papers 1710.01227, arXiv.org.
• J'er^ome Spielmann, 2017. "Classification of the Bounds on the Probability of Ruin for L{\'e}vy Processes with Light-tailed Jumps," Papers 1709.10295, arXiv.org, revised Feb 2018.
• Kamil Kladivko & Mihail Zervos, 2017. "Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging," Papers 1710.00897, arXiv.org.
• Jinglun Yao & Sabine Laurent & Brice B'enaben, 2017. "Managing Volatility Risk: An Application of Karhunen-Lo\`eve Decomposition and Filtered Historical Simulation," Papers 1710.00859, arXiv.org.
• Torchiani, Ingo & Heidorn, Thomas & Schmaltz, Christian, 2017. "An integrated shortfall measure for Basel III," Discussion Papers 26/2017, Deutsche Bundesbank.
• Zachariah Peterson, 2017. "Kelly's Criterion in Portfolio Optimization: A Decoupled Problem," Papers 1710.00431, arXiv.org, revised Feb 2018.
• Chung-Han Hsieh & B. Ross Barmish, 2017. "On Drawdown-Modulated Feedback Control in Stock Trading," Papers 1710.01503, arXiv.org.
• Chung-Han Hsieh & B. Ross Barmish, 2017. "On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important," Papers 1710.01501, arXiv.org, revised Aug 2018.
• Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2017. "Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks," Working Papers 201767, University of Pretoria, Department of Economics.
• Victor Chernozhukov & Iv'an Fern'andez-Val & Tetsuya Kaji, 2016. "Extremal Quantile Regression: An Overview," Papers 1612.06850, arXiv.org, revised Feb 2017.
• Chung-Han Hsieh & B. Ross Barmish, 2017. "On Kelly Betting: Some Limitations," Papers 1710.01787, arXiv.org.
• Kathrin Glau & Paul Herold & Dilip B. Madan & Christian Potz, 2017. "The Chebyshev method for the implied volatility," Papers 1710.01797, arXiv.org.
• Taupo, Tauisi, 2017. "Sustainable financing for climate and disaster resilience in Atoll Islands: Evidence from Tuvalu and Kiribati," Working Paper Series 6633, Victoria University of Wellington, School of Economics and Finance.