Report NEP-RMG-2018-08-13

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:

• Paul Embrechts & Haiyan Liu & Ruodu Wang, 2017. "Quantile-Based Risk Sharing," Swiss Finance Institute Research Paper Series 17-54, Swiss Finance Institute.
• Paola Pederzoli, 2018. "Crash Risk in Individual Stocks," Swiss Finance Institute Research Paper Series 18-31, Swiss Finance Institute, revised May 2018.
• Antoine Bouveret, 2018. "Cyber Risk for the Financial Sector: A Framework for Quantitative Assessment," IMF Working Papers 18/143, International Monetary Fund.
• Pier Francesco Procacci & Tomaso Aste, 2018. "Forecasting market states," Papers 1807.05836, arXiv.org, revised May 2019.
• Eric Jondeau & Amir Khalilzadeh, 2018. "Measuring the Capital Shortfall of Large U.S. Banks," Swiss Finance Institute Research Paper Series 18-11, Swiss Finance Institute, revised Feb 2018.
• Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2018. "Risk Management-Driven Policy Rate Gap," "Marco Fanno" Working Papers 0225, Dipartimento di Scienze Economiche "Marco Fanno".
• Eric Jondeau & Jean-Guillaume Sahuc, 2018. "A General Equilibrium Appraisal of Capital Shortfall," Swiss Finance Institute Research Paper Series 18-12, Swiss Finance Institute, revised Feb 2018.
• Spelta, Alessandro & Pecora, Nicolò & Flori, Andrea & Pammolli, Fabio, 2018. "Transition drivers and crisis signaling in stock markets," MPRA Paper 88127, University Library of Munich, Germany.
• Steven D. Baker & Burton Hollifield & Emilio Osambela, 2018. "Preventing Controversial Catastrophes," Finance and Economics Discussion Series 2018-052, Board of Governors of the Federal Reserve System (U.S.).
• Marcelo Brutti Righi, 2018. "A theory for combinations of risk measures," Papers 1807.01977, arXiv.org, revised May 2023.
• Cecilia R. Caglio & Matt Darst & Eric Parolin, 2018. "Half-full or Half-empty? Financial Institutions, CDS Use, and Corporate Credit Risk," Finance and Economics Discussion Series 2018-047, Board of Governors of the Federal Reserve System (U.S.).
• Aikman, David & Bridges, Jonathan & Burgess, Stephen & Galletly, Richard & Levina, Iren & O'Neill, Cian & Varadi, Alexandra, 2018. "Measuring risks to UK financial stability," Bank of England working papers 738, Bank of England.
• Ka C. Chan & Ruth F. G. Williams & Christopher T. Lenard & Terence M. Mills, 2018. "Cancer Risk Messages: A Light Bulb Model," Papers 1807.03040, arXiv.org, revised Jul 2018.
• Jérémy Pépy & Benjamin Williams, 2018. "Assessing the impact of Basel III on bank behaviour: A micro-founded approach," Working Papers halshs-01844661, HAL.
• Stephan Schwill, 2018. "Entropy Analysis of Financial Time Series," Papers 1807.09423, arXiv.org.
• Zsolt Bihary & Peter Csoka & David Zoltan Szabo, 2018. "Spectral risk measure of holding stocks in the long run," CERS-IE WORKING PAPERS 1812, Institute of Economics, Centre for Economic and Regional Studies.
• Zachary Feinstein, 2018. "Capital Regulation under Price Impacts and Dynamic Financial Contagion," Papers 1807.02711, arXiv.org, revised Aug 2019.
• Suarez, Ronny, 2018. "Return level applied to portfolio analysis," MPRA Paper 87747, University Library of Munich, Germany.
• Eric Benhamou & Beatrice Guez, 2018. "Incremental Sharpe and other performance ratios," Papers 1807.09864, arXiv.org, revised Dec 2018.
• Ines Chaieb & Vihang R. Errunza & Hugues Langlois, 2018. "Is Liquidity Risk Priced in Partially Segmented Markets?," Swiss Finance Institute Research Paper Series 18-05, Swiss Finance Institute, revised Jun 2018.
• Severine Arnold (-Gaille) & Anca Jijiie & Eric Jondeau & Michael Rockinger, 2017. "Periodic or Generational Actuarial Tables: Which One to Choose?," Swiss Finance Institute Research Paper Series 17-71, Swiss Finance Institute.
• Eric Budish, 2018. "The Economic Limits of Bitcoin and the Blockchain," NBER Working Papers 24717, National Bureau of Economic Research, Inc.