Report NEP-RMG-2019-06-24

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:

• Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2019. "Historical Evolution of Monthly Anomalies in International Stock Markets," Working Papers 201950, University of Pretoria, Department of Economics.
• Shaw, Charles, 2018. "Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads," MPRA Paper 94154, University Library of Munich, Germany, revised 27 May 2019.
• Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 94473, University Library of Munich, Germany.
• Ozili, Peterson K, 2019. "Basel III in Africa: Making It Work," MPRA Paper 94222, University Library of Munich, Germany.
• Caio Ferreira & Nigel Jenkinson & Christopher Wilson, 2019. "From Basel I to Basel III: Sequencing Implementation in Developing Economies," IMF Working Papers 19/127, International Monetary Fund.
• Matthias Weber & John Duffy & Arthur Schram, 2019. "Credit Default Swap Regulation in Experimental Bond Markets," Tinbergen Institute Discussion Papers 19-039/I, Tinbergen Institute.
• Sergio Mayordomo & Antonio Moreno & Steven Ongena & Maria Rodriguez-Moreno, 2019. "Bank Capital Requirements, Loan Guarantees and Firm Performance," Swiss Finance Institute Research Paper Series 19-28, Swiss Finance Institute, revised Jun 2019.
• Barasinska, Nataliya & Haenle, Philipp & Koban, Anne & Schmidt, Alexander, 2019. "Stress testing the German mortgage market," Discussion Papers 17/2019, Deutsche Bundesbank.
• Andrea Berardi & Claudio Tebaldi & Fabio Trojani, 2019. "Consumer Protection and the Design of the Default Option of a Pan-European Pension Product," Swiss Finance Institute Research Paper Series 19-19, Swiss Finance Institute, revised Apr 2019.
• Piotr Orłowski & Paul Schneider & Fabio Trojani, 2019. "On the Nature of Jump Risk Premia," Swiss Finance Institute Research Paper Series 19-31, Swiss Finance Institute, revised Jun 2019.
• Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe, 2018. "Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting," MPRA Paper 94289, University Library of Munich, Germany.
• Xiao, Tim, 2019. "Incremental Risk Charge Methodology," MPRA Paper 94581, University Library of Munich, Germany, revised 08 May 2019.
• Afees A. Salisu & Rangan Gupta, 2019. "How do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch," Working Papers 201946, University of Pretoria, Department of Economics.
• Marc S. Paolella & Pawel Polak & Patrick S. Walker, 2019. "A Flexible Regime Switching Model for Asset Returns," Swiss Finance Institute Research Paper Series 19-27, Swiss Finance Institute, revised May 2019.
• Hansjoerg Albrecher & Antoine Bommier & Damir Filipović & Pablo Koch-Medina & Stéphane Loisel & Hato Schmeiser, 2019. "Insurance: Models, Digitalization, and Data Science," Swiss Finance Institute Research Paper Series 19-26, Swiss Finance Institute.
• Ely, Regis Augusto & Tabak, Benjamin Miranda & Teixeira, Anderson Mutter, 2019. "Heterogeneous effects of the implementation of macroprudential policies on bank risk," MPRA Paper 94546, University Library of Munich, Germany.
• Piotr Orłowski & Andras Sali & Fabio Trojani, 2019. "Arbitrage Free Dispersion," Swiss Finance Institute Research Paper Series 19-20, Swiss Finance Institute, revised Apr 2019.
• Jozef Barunik & Cathy Yi-Hsuan Chen & Jan Vecer, 2019. "Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists," Papers 1906.00059, arXiv.org.
• Raul Merino & Jan Posp'iv{s}il & Tom'av{s} Sobotka & Tommi Sottinen & Josep Vives, 2019. "Decomposition formula for rough Volterra stochastic volatility models," Papers 1906.07101, arXiv.org, revised Aug 2019.
• Paul Schneider, 2019. "A Theory of Scenario Generation," Swiss Finance Institute Research Paper Series 19-17, Swiss Finance Institute.
• Takuji Arai & Ryoichi Suzuki, 2019. "A Clark-Ocone type formula via Ito calculus and its application to finance," Papers 1906.06648, arXiv.org.
• Roberto Fontana & Elisa Luciano & Patrizia Semeraro, 2019. "Model Risk in Credit Risk," Papers 1906.06164, arXiv.org.
• Elie Bouri & Konstantinos Gkillas & Rangan Gupta, 2019. "Trade Uncertainties and the Hedging Abilities of Bitcoin," Working Papers 201948, University of Pretoria, Department of Economics.
• Fabio Alessandrini & Eric Jondeau, 2019. "ESG Investing: From Sin Stocks to Smart Beta," Swiss Finance Institute Research Paper Series 19-16, Swiss Finance Institute, revised Mar 2019.