Report NEP-RMG-2018-11-19

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:

• Hayette Gatfaoui, 2018. "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Papers 1811.02382, arXiv.org.
• Kai Schindelhauer & Chen Zhou, 2018. "Value-at-Risk prediction using option-implied risk measures," DNB Working Papers 613, Netherlands Central Bank, Research Department.
• Kim, Hyeongwoo & Shi, Wen & Kim, Hyun Hak, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," MPRA Paper 89768, University Library of Munich, Germany.
• Kim, Hyeongwoo & Shi, Wen, 2018. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," MPRA Paper 89766, University Library of Munich, Germany.
• Chang, C-L. & Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Econometric Institute Research Papers EI2018-39, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Mou, W.M. & Wong, W.-K. & McAleer, M.J., 2018. "Financial Credit Risk Evaluation Based on Core Enterprise Supply Chains," Econometric Institute Research Papers EI2018-42, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Javier G. Gómez-Pineda, 2018. "Volatility Spillovers and Systemic Risk Across Economies: Evidence from a Global Semi-Structural Model," IHEID Working Papers 13-2018, Economics Section, The Graduate Institute of International Studies.
• Galvani, Valentina, 2018. "The Value Premium During Flights," Working Papers 2018-18, University of Alberta, Department of Economics.
• Maarten van Oordt, 2018. "Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests," Staff Working Papers 18-54, Bank of Canada.
• Vidal-Tomás, David & Alfarano, Simone, 2018. "An agent based early warning indicator for financial market instability," MPRA Paper 89693, University Library of Munich, Germany.
• Franz Dietrich & Brian Jabarian, 2018. "Decision Under Normative uncertainty," Documents de travail du Centre d'Economie de la Sorbonne 18029, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Artashes Karapetyan, 2018. "To Ask or Not To Ask? Collateral versus Screening in Lending Relationships," Working Papers w201819, Banco de Portugal, Economics and Research Department.
• Martin Christopher, 2018. "The Mitigation of Risk in Resilient Supply Chains," International Transport Forum Discussion Papers 2018/19, OECD Publishing.
• Kevin J. Stiroh, 2018. "Supervisory implications of rising similarity in banking: remarks at the Financial Times U.S. Banking Forum: Charting a Course for Stability and Success, New York City," Speech 299, Federal Reserve Bank of New York.