Report NEP-RMG-2018-04-09

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:

• Rihab Bedoui & Islem Kedidi, 2018. "Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models," Working Papers hal-01678050, HAL.
• Kirti, Divya, 2018. "When gambling for resurrection is too risky," ESRB Working Paper Series 69, European Systemic Risk Board.
• Xavier Milhaud & Christophe Dutang, 2018. "Lapse tables for lapse risk management in insurance: a competing risk approach," Post-Print hal-01727669, HAL.
• Jamal Bouoiyour & Refk Selmi, 2018. "Brexit and CDS spillovers across UK and Europe," Working Papers hal-01736525, HAL.
• Erwan Koch, 2018. "Spatial risk measures and rate of spatial diversification," Papers 1803.07041, arXiv.org, revised Jun 2019.
• Nikolaos Antonakakis & Juncal Cunado & George Filis & David Gabauer & Fernando Perez de Gracia, 2018. "Oil volatility, oil and gas firms and portfolio diversification," BAFES Working Papers BAFES18, Department of Accounting, Finance & Economic, Bournemouth University.
• Luca Spadafora & Francesca Sivero & Nicola Picchiotti, 2018. "Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling," Papers 1803.07021, arXiv.org, revised Mar 2018.
• Eduardo Abi Jaber & Omar El Euch, 2018. "Multi-factor approximation of rough volatility models," Working Papers hal-01697117, HAL.
• Abdelkader Derbali, 2018. "The credit portfolio management by the econometric models: A theoretical analysis," Working Papers hal-01696010, HAL.
• Lotfaliei, Babak, 2018. "The variance risk premium and capital structure," ESRB Working Paper Series 70, European Systemic Risk Board.
• Yichuan Wang & Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2017. "The Term Structure of the Price of Variance Risk," 2017 Meeting Papers 1641, Society for Economic Dynamics.
• Peter Martey Addo & Dominique Guegan & Bertrand Hassani, 2018. "Credit Risk Analysis using Machine and Deep learning models," Working Papers 2018:08, Department of Economics, University of Venice "Ca' Foscari".
• Abdelkader Derbali, 2018. "How the default probability is defined by the CreditRisk+ model?," Working Papers hal-01696011, HAL.
• Sebnem Kalemli-Ozcan & Xiaoxi Liu & Ilhyock Shim, 2018. "Exchange rate appreciations and corporate risk taking," BIS Working Papers 710, Bank for International Settlements.
• Abdelkader Derbali, 2018. "The credit portfolio management by structural models: A theoretical analysis," Working Papers hal-01696009, HAL.
• Alan White, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," Working Papers hal-01739310, HAL.
• Hałaj, Grzegorz, 2018. "Agent-based model of system-wide implications of funding risk," Working Paper Series 2121, European Central Bank.
• Paul E. Carrillo & William M. Doerner & William D. Larson, 2018. "House Price Markups and Mortgage Defaults," FHFA Staff Working Papers 18-02, Federal Housing Finance Agency.
• Abdelkader Derbali & Tarek Chebbi, 2018. "Dynamic Equicorrelation between S&P500 Index and S&P GSCI," Working Papers hal-01695995, HAL.
• Aslanidis, Nektarios, & Christiansen, Charlotte, 2018. "Flight to Safety from European Stock Markets," Working Papers 2072/306547, Universitat Rovira i Virgili, Department of Economics.