Report NEP-RMG-2019-01-14

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:

• G. A. Delsing & M. R. H. Mandjes & P. J. C. Spreij & E. M. M. Winands, 2018. "An optimization approach to adaptive multi-dimensional capital management," Papers 1812.08435, arXiv.org.
• Anat R. Admati & Martin F. Hellwig, 2018. "Bank Leverage, Welfare, and Regulation," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2018_13, Max Planck Institute for Research on Collective Goods.
• Laurence Carassus & Jan Obloj & Johannes Wiesel, 2018. "The robust superreplication problem: a dynamic approach," Papers 1812.11201, arXiv.org, revised Feb 2019.
• Herbetsson, Alexander, 2019. "CDS index options in Markov chain models," Working Papers in Economics 748, University of Gothenburg, Department of Economics.
• Christophe Courbage & Guillem Montoliu-Montes & Béatrice Rey, 2018. "How vulnerable is risk aversion to wealth, health and other risks? An empirical analysis for Europe," Working Papers halshs-01935846, HAL.
• Renaud Bourlès & Yann Bramoullé & Eduardo Perez-Richet, 2018. "Altruism and Risk Sharing in Networks," Working Papers halshs-01943862, HAL.
• Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2018. "Dynamic return and volatility spillovers among S&P 500, crude oil and gold," Working Papers 15-46, Eastern Mediterranean University, Department of Economics.
• Elias Cavalcante-Filho & Flavio Abdenur, Rodrigo De Losso, 2018. "Machine learning applied to accounting variables yields the risk-return metrics of private company portfolios," Working Papers, Department of Economics 2018_23, University of São Paulo (FEA-USP).
• Aknouche, Abdelhakim & Demmouche, Nacer & Touche, Nassim, 2018. "Bayesian MCMC analysis of periodic asymmetric power GARCH models," MPRA Paper 91136, University Library of Munich, Germany.
• Ludovic Tangpi, 2018. "Efficient hedging under ambiguity in continuous time," Papers 1812.10876, arXiv.org, revised Mar 2019.
• Ana Sasi-Brodesky, 2017. "Recovery rates in the Israeli corporate bond market 2008-2015," Bank of Israel Working Papers 2017.17, Bank of Israel.
• Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers 17-15R, Federal Reserve Bank of Cleveland.
• Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
• Mikhail Chernov & Lars A. Lochstoer & Stig R. H. Lundeby, 2018. "Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off," NBER Working Papers 25361, National Bureau of Economic Research, Inc.
• Han Bleichrodt & Christophe Courbage & Béatrice Rey, 2018. "The Value of a Statistical Life Under Changes in Ambiguity," Working Papers halshs-01943887, HAL.
• Hossein Nadeb & Hamzeh Torabi & Ali Dolati, 2018. "Stochastic comparisons of the largest claim amounts from two sets of interdependent heterogeneous portfolios," Papers 1812.08343, arXiv.org.
• Xue Cheng & Marina Di Giacinto & Tai-Ho Wang, 2019. "Optimal execution with dynamic risk adjustment," Papers 1901.00617, arXiv.org, revised Jul 2019.
• Shaw, Charles, 2018. "Conditional heteroskedasticity in crypto-asset returns," MPRA Paper 90437, University Library of Munich, Germany.