Report NEP-RMG-2018-12-17

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-RMG

The following items were announced in this report:

• Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2018. "Time-Varying Risk Aversion and Realized Gold Volatility," Working Papers 201881, University of Pretoria, Department of Economics.
• Eickmeier, Sandra & Kolb, Benedikt & Prieto, Esteban, 2018. "Macroeconomic effects of bank capital regulation," Discussion Papers 44/2018, Deutsche Bundesbank.
• Xuan Lu & Li Huang & Kangjuan Lyu, 2018. "Modelling China's Credit System with Complex Network Theory for Systematic Credit Risk Control," Papers 1812.01341, arXiv.org.
• Adrian, Tobias & Liang, Nellie & Grinberg, Federico & Malik, Sheherya, 2018. "The Term Structure of Growth-at-Risk," CEPR Discussion Papers 13349, C.E.P.R. Discussion Papers.
• David Turner & Thomas Chalaux & Hermes Morgavi, 2018. "Fan charts around GDP projections based on probit models of downturn risk," OECD Economics Department Working Papers 1521, OECD Publishing.
• Catalina Bolancé & Ricardo Cao & Montserrat Guillen, 2018. "“Flexible maximum conditional likelihood estimation for single-index models to predict accident severity with telematics data”," IREA Working Papers 201829, University of Barcelona, Research Institute of Applied Economics, revised Dec 2018.
• Olessia CAILLÉ & Daria ONORI, 2018. "Conditional Risk-Based Portfolio," LEO Working Papers / DR LEO 2629, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
• Moshe A. Milevsky, 2018. "Swimming with Wealthy Sharks: Longevity, Volatility and the Value of Risk Pooling," Papers 1811.11326, arXiv.org.
• Riccardo Colacito & Mariano Max Croce & Yang Liu & Ivan Shaliastovich, 2018. "Volatility Risk Pass-through," NBER Working Papers 25276, National Bureau of Economic Research, Inc.
• Alexander Heinemann & Sean Telg, 2018. "A Residual Bootstrap for Conditional Expected Shortfall," Papers 1811.11557, arXiv.org.
• João F. Gomes & Marco Grotteria & Jessica Wachter, 2018. "Foreseen Risks," NBER Working Papers 25277, National Bureau of Economic Research, Inc.
• Suproteem K. Sarkar & Kojin Oshiba & Daniel Giebisch & Yaron Singer, 2018. "Robust Classification of Financial Risk," Papers 1811.11079, arXiv.org.