Report NEP-RMG-2018-10-15

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:

• Svetlana Litvinova & Mervyn J Silvapulle, 2018. "Bootstrapping tail statistics: Tail quantile process, Hill estimator, and confidence intervals for highquantiles of heavy tailed distributions," Monash Econometrics and Business Statistics Working Papers 12/18, Monash University, Department of Econometrics and Business Statistics.
• Schwenke, Eric & Davis, Todd, 2018. "Western Kentucky Corn and Storage Soybean Storage Returns and Risk Management Potential," 2018 Annual Meeting, February 2-6, 2018, Jacksonville, Florida 266702, Southern Agricultural Economics Association.
• Helder Rojas & David Dias, 2018. "Transmission of Macroeconomic Shocks to Risk Parameters: Their uses in Stress Testing," Papers 1809.07401, arXiv.org, revised May 2019.
• Ramadiah, Amanah & Caccioli, Fabio & Fricke, Daniel, 2018. "Reconstructing and stress testing credit networks," ESRB Working Paper Series 84, European Systemic Risk Board.
• Soumyatanu Mukherjee & Udo Broll, 2018. "Firms in international trade under undesirable background risk," Discussion Papers 2018-11, University of Nottingham, GEP.
• Kei Nakagawa & Takumi Uchida & Tomohisa Aoshima, 2018. "Deep Factor Model," Papers 1810.01278, arXiv.org.
• Fischer, Thomas & Lundtofte , Frederik, 2018. "Unequal Returns: Using the Atkinson Index to Measure Financial Risk," Working Papers 2018:25, Lund University, Department of Economics.
• Peter Van Tassel, 2018. "Equity Volatility Term Premia," Staff Reports 867, Federal Reserve Bank of New York.
• Gong, Xuche & Feng, Hongli & Hennessy, David A., 2018. "Systemic Risk, Geography and Area Insurance," 2018 Annual Meeting, August 5-7, Washington, D.C. 274479, Agricultural and Applied Economics Association.
• Ferriani, Fabrizio & Natoli, Filippo & Veronese, Giovanni & Zeni, Federica, 2018. "Futures risk premia in the era of shale oil," MPRA Paper 89097, University Library of Munich, Germany.
• Simon Oh & Jessica A. Wachter, 2018. "Cross-sectional Skewness," NBER Working Papers 25113, National Bureau of Economic Research, Inc.
• Massimo Guidolin & Alexei G. Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1887, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Julián Andrada-Félixa & Adrian Fernandez-Perez & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2018. "“Time connectedness of fear”," IREA Working Papers 201818, University of Barcelona, Research Institute of Applied Economics, revised Sep 2018.
• Misha Perepelitsa, 2018. "A model of adaptive, market behavior generating positive returns, volatility and system risk," Papers 1809.09601, arXiv.org.
• Inoue, Hitoshi & Nakashima, Kiyotaka & Takahashi, Koji, 2018. "The Emergence of A Parallel World: The Misperception Problem for Bank Balance Sheet Risk and Lending Behavior," MPRA Paper 89088, University Library of Munich, Germany.
• Carlos Carvalho & Jared D. Fisher & Davide Pettenuzzo, 2018. "Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models," Working Papers 123, Brandeis University, Department of Economics and International Business School.
• Nikolai Dokuchaev, 2018. "On a gap between rational annuitization price for producer and price for customer," Papers 1809.08960, arXiv.org.
• Damian Damianov & Cheng Yan & Xiangdong Wang, 2018. "Measures of mortgage default risk and local house price dynamics ," ERES eres2018_163, European Real Estate Society (ERES).
• Nalan Basturk & Agnieszka Borowska & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2018. "Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies," Working Paper 2018/10, Norges Bank.
• Stephen Roulac & Alastair Adair & Stanley McGreal, 2018. "Inside value creation and destruction: opportunism and risk management in development deal making strategies," ERES eres2018_340, European Real Estate Society (ERES).