Report NEP-RMG-2019-08-26

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:

• Xuehai Zhang, 2019. "Value at Risk and Expected Shortfall under General Semi-parametric GARCH models," Working Papers CIE 126, Paderborn University, CIE Center for International Economics.
• Yuan Hu & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation," Papers 1908.05419, arXiv.org.
• Anna Denkowska & Stanis{l}aw Wanat, 2019. "Linkages and systemic risk in the European insurance sector: Some new evidence based on dynamic spanning trees," Papers 1908.01142, arXiv.org, revised Aug 2019.
• Xiao,Tim, 2019. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," EconStor Preprints 201542, ZBW - Leibniz Information Centre for Economics.
• Arno Botha & Conrad Beyers & Pieter de Villiers, 2019. "A procedure for loss-optimising default definitions across simulated credit risk scenarios," Papers 1907.12615, arXiv.org, revised Feb 2021.
• Yali Dou & Haiyan Liu & Georgios Aivaliotis, 2019. "Dynamic Dependence Modeling in financial time series," Papers 1908.05130, arXiv.org.
• Elisa Alos & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2019. "CVA and vulnerable options in stochastic volatility models," Papers 1907.12922, arXiv.org.
• Subhojit Biswas & Diganta Mukherjee, 2019. "A Proposal for Multi-asset Generalised Variance Swaps," Papers 1908.03899, arXiv.org.
• Timo Dimitriadis & Julie Schnaitmann, 2019. "Forecast Encompassing Tests for the Expected Shortfall," Papers 1908.04569, arXiv.org, revised Aug 2020.
• Hans Fehr & Maurice Hofmann, 2019. "Tenure Choice, Portfolio Structure and Long-Term Care - Optimal Risk Management in Retirement," CESifo Working Paper Series 7783, CESifo.
• Subhojit Biswas & Diganta Mukherjee, 2019. "Discrete time portfolio optimisation managing value at risk under heavy tail return distribution," Papers 1908.03907, arXiv.org, revised Nov 2020.
• Wentao Hu, 2019. "SlideVaR: a risk measure with variable risk attitudes," Papers 1907.11855, arXiv.org.
• Valery Baskakov & Nikolay Sheparnev & Evgeny Yanenko, 2019. "Nonparametric modeling cash flows of insurance company," Papers 1908.05200, arXiv.org.
• Mohammed Bilal Girach & Shashank Oberoi & Siddhartha P. Chakrabarty, 2019. "Is being `Robust' beneficial?: A perspective from the Indian market," Papers 1908.05002, arXiv.org.
• Kyungsub Lee & Byoung Ki Seo, 2019. "Performance of tail hedged portfolio with third moment variation swap," Papers 1908.05105, arXiv.org.
• Patrice Gaillardetz & Saeb Hachem, 2019. "Risk-Control Strategies," Papers 1908.02228, arXiv.org.
• Frank Bosserhoff & Mitja Stadje, 2019. "Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model," Papers 1908.05534, arXiv.org.
• Mele, Antonio & Distaso, Walter & Vilkov, Grigory, 2019. "Correlation Risk, Strings and Asset Prices," CEPR Discussion Papers 13873, C.E.P.R. Discussion Papers.
• T. N. Li & A. Papanicolaou, 2019. "Statistical Arbitrage for Multiple Co-Integrated Stocks," Papers 1908.02164, arXiv.org, revised Feb 2022.
• Carey Caginalp & Gunduz Caginalp, 2019. "Derivation of non-classical stochastic price dynamics equations," Papers 1908.01103, arXiv.org, revised Aug 2020.
• Shahzad, Muhammad Faisal & Abdulai, Awudu, 2019. "Production Risk Management in Agriculture and Farm Performance in Rural Pakistan: Role of Adaptation to Climate Change," 2019 Annual Meeting, July 21-23, Atlanta, Georgia 291283, Agricultural and Applied Economics Association.
• Mele, Antonio & Obayashi, Yoshiki & Yang, Shihao, 2019. "The Term Structure of Government Debt Uncertainty," CEPR Discussion Papers 13874, C.E.P.R. Discussion Papers.
• Crane-Droesch, Andrew & Marshall, Elizabeth & Rosch, Stephanie & Riddle, Anne & Cooper, Joseph & Wallander, Steven, 2019. "Climate Change and Agricultural Risk Management Into the 21st Century," Economic Research Report 291962, United States Department of Agriculture, Economic Research Service.
• Anna Stelzer, 2019. "Predicting credit default probabilities using machine learning techniques in the face of unequal class distributions," Papers 1907.12996, arXiv.org.