Report NEP-RMG-2018-10-01

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:

• Siemsen, Thomas & Vilsmeier, Johannes, 2018. "On a quest for robustness: About model risk, randomness and discretion in credit risk stress tests," Discussion Papers 31/2018, Deutsche Bundesbank.
• Dinghai Xu & Jingru Ji & Donghua Wang, 2018. "Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market," Working Papers 1806, University of Waterloo, Department of Economics, revised 09 Jan 2018.
• Queensley C Chukwudum, 2018. "Reinsurance Pricing of Large Motor Insurance Claims in Nigeria: An Extreme Value Analysis," Working Papers hal-01855973, HAL.
• Jon Danielsson & Lerby Ergun & Casper G. de Vries, 2018. "Challenges in Implementing Worst-Case Analysis," Staff Working Papers 18-47, Bank of Canada.
• Queensley C Chukwudum, 2018. "Extreme Value Theory and Copulas: Reinsurance in the Presence of Dependent Risks," Working Papers hal-01855971, HAL.
• Natalia Kunitsyna & Igor Britchenko & Igor Kunitsyn, 2018. "Reputational risks, value of losses and financial sustainability of commercial banks," Post-Print hal-01859319, HAL.
• Cuautle-Parra, David & Riley, John M., 2018. "Effectiveness of United States Corn Futures Contracts as Hedging Instruments for Mexican Corn Producers," 2018 Annual Meeting, February 2-6, 2018, Jacksonville, Florida 266732, Southern Agricultural Economics Association.
• Arunanondchai, Panit & Sukcharoen, Kunlapath & Leatham, David J., 2018. "Dealing with Downside Risk in Energy Markets: Futures versus Exchange-Traded Funds," 2018 Annual Meeting, February 2-6, 2018, Jacksonville, Florida 266564, Southern Agricultural Economics Association.
• Lin Fan & Peter W. Glynn & Markus Pelger, 2018. "Change-Point Testing for Risk Measures in Time Series," Papers 1809.02303, arXiv.org, revised Jul 2023.
• Kramer, B. & Ceballos, F., 2018. "Enhancing adaptive capacity through climate-smart insurance: Theory and evidence from India," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 275926, International Association of Agricultural Economists.
• Yu Feng & Erik Schlogl, 2018. "Model Risk Measurement under Wasserstein Distance," Papers 1809.03641, arXiv.org, revised Mar 2019.
• Gehrig, Thomas & Iannino, Maria Chiara, 2018. "Did the Basel process of capital regulation enhance the resiliency of European Banks?," Research Discussion Papers 16/2018, Bank of Finland.
• Peter Carr & Zhibai Zhang, 2018. "Generalizing Geometric Brownian Motion," Papers 1809.02245, arXiv.org.
• Adi Mordel, 2018. "Prudential Liquidity Regulation in Banking-A Literature Review," Discussion Papers 18-8, Bank of Canada.
• Toni Ahnert & James Chapman & Carolyn A. Wilkins, 2018. "Should Bank Capital Regulation Be Risk Sensitive?," Staff Working Papers 18-48, Bank of Canada.
• Daniela Escobar & Georg Pflug, 2018. "The distortion principle for insurance pricing: properties, identification and robustness," Papers 1809.06592, arXiv.org.
• Huettel, Silke & Murtazashvili, Irina & Weltin, Meike & Erickson, Kenneth W., 2017. "Off-farm Income: A Risk Management Strategy for Farm Households?," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258113, Agricultural and Applied Economics Association.
• Cecilia Parlatore, 2018. "Designing Stress Scenarios," 2018 Meeting Papers 1090, Society for Economic Dynamics.
• Olga A. Shvetsova & Elena A. Rodionova & Michael Z. Epstein, 2018. "Evaluation of investment projects under uncertainty: multi-criteria approach using interval data," Post-Print hal-01858557, HAL.
• Haotian Xiang, 2018. "Corporate Debt Choice and Bank Capital Regulation," 2018 Meeting Papers 327, Society for Economic Dynamics.
• Xu, Minhong & Xu, Yilan, 2017. "Environmental Hazards and Mortgage Credit Risk: Evidence from Texas Pipeline Incidents," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258019, Agricultural and Applied Economics Association.
• Jeonggyu Huh, 2018. "Measuring Systematic Risk with Neural Network Factor Model," Papers 1809.04925, arXiv.org.
• Zeytoon Nejad Moosavian, Seyyed Ali, 2017. "Flexible Modeling of Multivariate Risks in Pricing Margin Protection Insurance: Modeling Portfolio Risks with Mixtures of Mixtures," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258104, Agricultural and Applied Economics Association.
• Arthur T. Rego & Thiago R. dos Santos, 2018. "Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler," Papers 1809.01501, arXiv.org, revised Oct 2018.
• Rosch, Stephanie D., 2017. "Risk Attitudes of US Agricultural Producers," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258025, Agricultural and Applied Economics Association.