Report NEP-RMG-2019-04-15

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:

• Valeria Bignozzi & Matteo Burzoni & Cosimo Munari, 2018. "Risk Measures Based on Benchmark Loss Distributions," Swiss Finance Institute Research Paper Series 18-48, Swiss Finance Institute, revised Nov 2018.
• Florent Gallien & Serge Kassibrakis & Semyon Malamud, 2018. "Hedge or Rebalance: Optimal Risk Management with Transaction Costs," Swiss Finance Institute Research Paper Series 18-60, Swiss Finance Institute.
• Abdelbary, Amr, 2019. "Changing The Game; New Framework Of Capital Adequacy Ratio," MPRA Paper 93072, University Library of Munich, Germany.
• Yoshiharu Sato, 2019. "Model-Free Reinforcement Learning for Financial Portfolios: A Brief Survey," Papers 1904.04973, arXiv.org, revised May 2019.
• Moradia, Abha & Mehta, Ashish C., 2018. "Analyzing gold returns: Indian perspective," MPRA Paper 92989, University Library of Munich, Germany.
• Nataliya Gerasimova & Eric Jondeau, 2018. "Strategic Interaction between Hedge Funds and Prime Brokers," Swiss Finance Institute Research Paper Series 18-54, Swiss Finance Institute.
• Matteo Brachetta & Claudia Ceci, 2019. "Optimal excess-of-loss reinsurance for stochastic factor risk models," Papers 1904.05422, arXiv.org.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2019. "Absolute momentum, sustainable withdrawal rates and glidepath investing in US retirement portfolios from 1925," CAMA Working Papers 2019-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Kris Boudt & Dries Cornilly & Tim Verdonck, 2019. "Nearest Comoment Estimation With Unobserved Factors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/970, Ghent University, Faculty of Economics and Business Administration.
• Julian Holzermann, 2019. "Term Structure Modeling under Volatility Uncertainty," Papers 1904.02930, arXiv.org, revised Sep 2021.
• Pierre Henry-Labordere, 2019. "From (Martingale) Schrodinger bridges to a new class of Stochastic Volatility Models," Papers 1904.04554, arXiv.org.
• Marc Lassagne & Laurent Dehouck, 2018. "Risks and strategic opportunities of a new technology cluster: Distributed digital ledgers [Risques et opportunités stratégiques d'une nouvelle grappe technologique : Les registres distribués numér," Post-Print hal-02074330, HAL.
• Morone, Andrea & Caferra, Rocco, 2019. "Individual and social preferences under risk: laboratory evidence on the group size effect," MPRA Paper 92856, University Library of Munich, Germany.
• Minhaj Mahmud & Yasuyuki Sawada & Eiji Yamada, 2019. "Willingness to Pay for Mortality Risk Reduction from Air Quality Improvement: Evidence from Urban Bangladesh," Working Papers 190, JICA Research Institute.
• Maggiori, Matteo & Ströbel, Johannes & Giglio, Stefano & Utkus, Stephen P., 2019. "Five Facts About Beliefs and Portfolios," CEPR Discussion Papers 13657, C.E.P.R. Discussion Papers.
• Virginie Borsa, 2018. "Risk Management For Connect Project (Factory Of The Future) [La Maitrise Des Risques Dans Le Projet Connect (Usine Du Futur)]," Post-Print hal-02072700, HAL.
• Eric Rosengren, 2019. "Risk management in monetary policymaking: remarks to the National Association of Corporate Directors, New England Chapter, Boston, Massachusetts, March 5, 2019," Speech 141, Federal Reserve Bank of Boston.
• Hasan Fallahgoul & Loriano Mancini & Stoyan V. Stoyanov, 2018. "Model Risk and Disappointment Aversion," Swiss Finance Institute Research Paper Series 18-65, Swiss Finance Institute.
• James Andreoni & Amalia Di Girolamo & John A. List & Claire Mackevicius & Anya Samek, 2019. "Risk Preferences of Children and Adolescents in Relation to Gender, Cognitive Skills, Soft Skills, and Executive Functions," NBER Working Papers 25723, National Bureau of Economic Research, Inc.
• Dimitrios Bakas & Athanasios Triantafyllou, 2018. "The Impact of Uncertainty Shocks on the Volatility of Commodity Prices," NBS Discussion Papers in Economics 2018/02, Economics, Nottingham Business School, Nottingham Trent University.
• James B. Bullard, 2018. "Exchange Rate Volatility and Cryptocurrencies: a panel discussion at the 2018 BOJ-IMES Conference, Central Banking in a Changing World, Tokyo, Japan," Speech 311, Federal Reserve Bank of St. Louis.