Report NEP-RMG-2018-09-10

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:

• Tobias Adrian, 2018. "Risk Management and Regulation," IMF Departmental Papers / Policy Papers 18/13, International Monetary Fund.
• Guglielmo Maria Caporale & Timur Zekokh, 2018. "Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models," CESifo Working Paper Series 7167, CESifo.
• Edward Bace, 2018. "ALM and Credit Risk," Proceedings of International Academic Conferences 7809651, International Institute of Social and Economic Sciences.
• Das, Bikramjit & Kratz, Marie, 2017. "Diversification benefits under multivariate second order regular variation," ESSEC Working Papers WP1706, ESSEC Research Center, ESSEC Business School.
• Heinschink, Karin & Sinabell, Franz & Url, Thomas, 2017. "Elements of an index-based margin insurance – an application to wheat production in Austria," 91st Annual Conference, April 24-26, 2017, Royal Dublin Society, Dublin, Ireland 258625, Agricultural Economics Society.
• van Horen, Neeltje & Kotidis, Antonios, 2018. "Repo market functioning: The role of capital regulation," CEPR Discussion Papers 13090, C.E.P.R. Discussion Papers.
• Pablo D'Erasmo & Dean Corbae, 2018. "Capital Requirements in a Quantitative Model of Banking Industry Dynamics," 2018 Meeting Papers 1221, Society for Economic Dynamics.
• Franco Varetto, 2017. "La correlazione tra PD ed LGD nell’analisi del rischio di credito/The correlation between probability of default and loss given default in the credit risk analysis," IRCrES Working Paper 201714, CNR-IRCrES Research Institute on Sustainable Economic Growth - Moncalieri (TO) ITALY - former Institute for Economic Research on Firms and Growth - Torino (TO) ITALY.
• Barbora Malinska, 2018. "Volatility Term Structure Modeling Using Nelson-Siegel Model," Working Papers IES 2018/17, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2018.
• Doms, Juliane, 2017. "Put, call or strangle? About the challenges in designing weather index insurances to hedge performance risk in agriculture," 57th Annual Conference, Weihenstephan, Germany, September 13-15, 2017 261990, German Association of Agricultural Economists (GEWISOLA).
• Gohin, Alexandre, 2018. "Lessons from the U.S. risk management instruments for the future CAP," 162nd Seminar, April 26-27, 2018, Budapest, Hungary 271965, European Association of Agricultural Economists.
• Lesedi Mabitsela & Calisto Guambe & Rodwell Kufakunesu, 2018. "A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations," Papers 1808.04611, arXiv.org.
• Rangan Gupta, 2018. "Manager Sentiment and Stock Market Volatility," Working Papers 201853, University of Pretoria, Department of Economics.