Report NEP-RMG-2018-02-05

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:

• Bloznelis, Daumantas, 2017. "Hedging under square loss," MPRA Paper 83442, University Library of Munich, Germany.
• Christos Ellinas & Neil Allan & Caroline Coombe, 2018. "Evaluating the role of risk networks on risk identification, classification and emergence," Papers 1801.05759, arXiv.org.
• Koijen, Ralph & Yogo, Motohiro, 2018. "The Fragility of Market Risk Insurance," CEPR Discussion Papers 12560, C.E.P.R. Discussion Papers.
• Tetsuya Takaishi, 2018. "Large-Scale Simulation of Multi-Asset Ising Financial Markets," Papers 1801.05947, arXiv.org.
• Degl’Innocenti, M & Fiordelisi, F & Girardone, C & Radić, N, 2018. "Competition and Risk-Taking in Investment banking," Essex Finance Centre Working Papers 21268, University of Essex, Essex Business School.
• Takuji Arai & Yuto Imai & Ryo Nakashima, 2018. "Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models," Papers 1801.05597, arXiv.org.
• Kyungkeun Kim & Dongwon Lee, 2017. "Equity Market Globalization and Portfolio Rebalancing," Working Papers 2017-17, Economic Research Institute, Bank of Korea.
• DiGabriele, Jim & Ojo, Marianne, 2017. "The Efficiency Wage Hypothesis and monetary policy channels of transmission: developments and progress of Basel III leverage ratios," MPRA Paper 82824, University Library of Munich, Germany.
• Jiaqi Chen & Michael Tindall, 2016. "Dynamic Methods for Analyzing Hedge-Fund Performance: A Note Using Texas Energy-Related Funds," Occasional Papers 16-2, Federal Reserve Bank of Dallas.
• Valeriya Dinger & Vlad Marincas & Francesco Vallascas, 2018. "Systemic Effects of Bank Equity Issues: Competition, Stabilization and Contagion," Working Papers 111, Institute of Empirical Economic Research, Osnabrueck University.
• David Abell & Paul S. Calem & Julapa Jagtiani & Ramain Quinn Maingi, 2018. "Redefault Risk in the Aftermath of the Mortgage Crisis: Why Did Modifications Improve More Than Self-Cures?," Working Papers 18-2, Federal Reserve Bank of Philadelphia.