Report NEP-RMG-2018-10-22

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:

• Dingshi Tian & Zongwu Cai & Ying Fang, 2018. "Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201807, University of Kansas, Department of Economics, revised Oct 2018.
• Emilian Belev & Richard Gold, 2018. "Replicating Expected Commercial Real Estate (CRE) Risk and Returns Using Liquid Market Instruments and CRE Market-Related Investment Risk," ERES eres2018_13, European Real Estate Society (ERES).
• Giuseppe Attanasi & Laura Concina & Caroline Kamate & Valentina Rotondi, 2018. "Firm's Protection against Disasters: Are Investment and Insurance Substitutes or Complements?," GREDEG Working Papers 2018-24, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France, revised Dec 2018.
• Lang, Jan Hannes & Peltonen, Tuomas A. & Sarlin, Peter, 2018. "A framework for early-warning modeling with an application to banks," Working Paper Series 2182, European Central Bank.
• Yusuke Uchiyama & Takanori Kadoya & Kei Nakagawa, 2018. "Complex Valued Risk Diversification," Papers 1810.04370, arXiv.org.
• Michele Mininni & Giuseppe Orlando & Giovanni Taglialatela, 2018. "Challenges in approximating the Black and Scholes call formula with hyperbolic tangents," Papers 1810.04623, arXiv.org.
• Michael T. Kiley, 2018. "Unemployment Risk," Finance and Economics Discussion Series 2018-067, Board of Governors of the Federal Reserve System (U.S.).
• Bingduo Yang & Zongwu Cai & Christian M. Hafner & Guannan Liu, 2018. "Trending Mixture Copula Models with Copula Selection," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201809, University of Kansas, Department of Economics, revised Sep 2018.
• Lok Man Michel Tong & Gianluca Marcato, 2018. "Modelling Competitive Mortgage Termination Option Strategies: Default vs Restructuring and Prepayment vs Defeasance," ERES eres2018_300, European Real Estate Society (ERES).
• Amy Lorenc & Jeffery Y. Zhang, 2018. "The Differential Impact of Bank Size on Systemic Risk," Finance and Economics Discussion Series 2018-066, Board of Governors of the Federal Reserve System (U.S.).
• Zabolotnyy, Serihiy & Wasilewski, Mirosław, 2018. "Operating and financial leverage as risk measures in agricultural companies," Problems of Agricultural Economics / Zagadnienia Ekonomiki Rolnej 276377, Institute of Agricultural and Food Economics - National Research Institute (IAFE-NRI).
• Jean-Christophe Delfim & Martin Hoesli, 2018. "Real Estate Risk Factors and Portfolio Allocation," ERES eres2018_124, European Real Estate Society (ERES).
• Kettlewell, Nathan, 2018. "Risk preference dynamics around life events," Working Papers 2018-07, University of Sydney, School of Economics.