Report NEP-RMG-2018-08-20

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 & Tiantian Mao & Ruodu Wang, 2017. "Quantile-Based Risk Sharing with Heterogeneous Beliefs," Swiss Finance Institute Research Paper Series 17-65, Swiss Finance Institute, revised Jan 2018.
• Shinji Kakinaka & Ken Umeno, 2018. "Characterizing Cryptocurrency market with Levy's stable distributions," Papers 1807.05360, arXiv.org, revised Nov 2019.
• Frantiv{s}ek v{C}ech & Jozef Barun'ik, 2018. "Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities," Papers 1807.11823, arXiv.org.
• Elyas Elyasani & Luca Gambarelli & Silvia Muzzioli, 2016. "The risk asymmetry index," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0061, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Yuxia Huang & Chuancun Yin, 2018. "A unifying approach to constrained and unconstrained optimal reinsurance," Papers 1807.06892, arXiv.org.
• Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018. "Modeling Systemic Risk with Markov Switching Graphical SUR Models," Working Papers 626, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
• Diane Pierret & Roberto Steri, 2017. "Stressed Banks," Swiss Finance Institute Research Paper Series 17-58, Swiss Finance Institute.
• Sun, Baojing, 2017. "Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the Underlying Weather Index," Working Papers 257083, University of Victoria, Resource Economics and Policy.
• Jamal Bouoiyour & Refk Selmi, 2019. "Brexit and CDS spillovers across UK and Europe," Post-Print hal-01736525, HAL.
• Magdalena Tywoniuk, 2017. "CDS Central Counterparty Clearing Liquidation: Road to Recovery or Invitation to Predation?," Swiss Finance Institute Research Paper Series 17-45, Swiss Finance Institute.
• Stefano Cosma & Francesca Pancotto & Paola Vezzani, 2018. "Customer Complaining and Probability of Default in Consumer Credit," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0068, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• BENGUI, Julien & PHAN, Toan, 2018. "Asset pledgeability and endogenously leveraged bubbles," Cahiers de recherche 2018-04, Universite de Montreal, Departement de sciences economiques.
• Marinela Adriana Finta & José Renato Haas Ornelas, 2018. "Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia," Working Papers Series 479, Central Bank of Brazil, Research Department.
• Neil Bhutta & Benjamin J. Keys, 2018. "Eyes Wide Shut? The Moral Hazard of Mortgage Insurers during the Housing Boom," NBER Working Papers 24844, National Bureau of Economic Research, Inc.
• McKendree, Melissa G.S. & Tonsor, Glynn T. & Schulz, Lee L., 2017. "Feedlot Risk Management and Benchmarking Survey Summary," Staff Paper Series 264530, Michigan State University, Department of Agricultural, Food, and Resource Economics.
• Hansjoerg Albrecher & Daniel Bauer & Paul Embrechts & Damir Filipović & Pablo Koch-Medina & Ralf Korn & Stéphane Loisel & Antoon Pelsser & Frank Schiller & Hato Schmeiser & Joël Wagner, 2017. "Asset-Liability Management for Long-Term Insurance Business," Swiss Finance Institute Research Paper Series 17-69, Swiss Finance Institute, revised Jan 2018.
• Phume, Maphelane Palesa & Bonga-Bonga, Lumengo, 2018. "Return and volatility spillovers between South African and Nigerian equity markets," MPRA Paper 87638, University Library of Munich, Germany.
• Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "Valuation Risk Revalued," Working Papers 1808, Federal Reserve Bank of Dallas.
• Jakub Hajda, 2017. "Fundamental Risk and Capital Structure," Swiss Finance Institute Research Paper Series 17-50, Swiss Finance Institute.
• Massimiliano Affinito & Matteo Piazza, 2018. "Always look on the bright side? Central counterparties and interbank markets during the financial crisis," Temi di discussione (Economic working papers) 1181, Bank of Italy, Economic Research and International Relations Area.
• S. Valeyre & D. S. Grebenkov & S. Aboura, 2018. "Emergence of correlations between securities at short time scales," Papers 1807.05015, arXiv.org.
• Tho Pham & Oleksandr Talavera & Andriy Tsapin, 2018. "Branch Network Structure and Lending Behaviour," Working Papers 03/2018, National Bank of Ukraine.