Report NEP-RMG-2018-03-19

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:

• Dietmar Pfeifer & Andreas Mandle & Olena Ragulina & C^ome Girschig, 2018. "New copulas based on general partitions-of-unity (part III) - the continuous case (extended version)," Papers 1803.00957, arXiv.org, revised May 2019.
• Andreas Muhlbacher & Thomas Guhr, 2018. "Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations," Papers 1803.00261, arXiv.org.
• Michael B. Giles & Abdul-Lateef Haji-Ali, 2018. "Multilevel nested simulation for efficient risk estimation," Papers 1802.05016, arXiv.org, revised Feb 2019.
• Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2016. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," MPRA Paper 84626, University Library of Munich, Germany, revised Nov 2016.
• Jose Fique, 2017. "The MacroFinancial Risk Assessment Framework (MFRAF), Version 2.0," Technical Reports 111, Bank of Canada.
• Peter Martey Addo & Dominique Guegan & Bertrand Hassani, 2018. "Credit Risk Analysis using Machine and Deep Learning models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01719983, HAL.
• Sabur Mollah & Michael Skully & Eva Liljeblom, 2018. "Strong Boards and Risk-taking in Islamic Banks," Working Papers 2018-08, Swansea University, School of Management.
• Nijole Valinskyte & Erika Ivanauskaite & Darius Kulikauskas & Simonas Krepsta, 2018. "Leverage Ratio as a Macroprudential Policy Instrument," Bank of Lithuania Occasional Paper Series 18, Bank of Lithuania.
• Sumudu Kankanamge & Alexandre Gaillard, 2017. "Insuring entrepreneurial downside risk," 2017 Meeting Papers 1406, Society for Economic Dynamics.
• Francesca Biagini & Yinglin Zhang, 2018. "Extended Reduced-Form Framework for Non-Life Insurance," Papers 1802.07741, arXiv.org, revised Jun 2022.
• Bihary, Zsolt & Dömötör, Barbara, 2018. "How do manager incentives influence corporate hedging?," Corvinus Economics Working Papers (CEWP) 2018/01, Corvinus University of Budapest.
• Dohmen, Thomas & Falk, Armin & Huffman, David & Sunde, Uwe, 2018. "On the Relationship Between Cognitive Ability and Risk Preference," Rationality and Competition Discussion Paper Series 76, CRC TRR 190 Rationality and Competition.
• Clapham, Benjamin & Gomber, Peter & Panz, Sven, 2017. "Coordination of circuit breakers? Volume migration and volatility spillover in fagmented markets," SAFE Working Paper Series 196, Leibniz Institute for Financial Research SAFE.
• Nassim Nicholas Taleb, 2018. "How Much Data Do You Need? An Operational, Pre-Asymptotic Metric for Fat-tailedness," Papers 1802.05495, arXiv.org, revised Nov 2018.
• David Zeke, 2017. "Financial Frictions, Volatility, and Skewness," 2017 Meeting Papers 1421, Society for Economic Dynamics.