Report NEP-RMG-2019-10-21

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:

• Álvaro Chamizo & Alfonso Novales, 2019. "Splitting credit risk into systemic, sectorial and idiosyncratic components," Documentos de Trabajo del ICAE 2019-30, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Luca Bellardini & Pierluigi Murro & Daniele Previtali, 2019. "The Risk Weighted Ownership Index: an ex-ante measure of banks' risk and performance," Working Papers CASMEF 1904, Dipartimento di Economia e Finanza, LUISS Guido Carli.
• Diana Paola Moreno Alarcon & Jean François Vautier & Guillaume Hernandez & Franck Guarnieri, 2019. "Systems Thinking in Risk Management by Preventive & Detective Controls as an Ago-Antagonistic Systems Approach in the French Nuclear Sector," Post-Print hal-02308657, HAL.
• Bashir, Taqadus & Khalid, Shujaat & Iqbal Khan, Kanwal & Javed, Saman, 2019. "Interest Rate Risk Management by Financial Engineering in Pakistani Non-Financial Firms," MPRA Paper 96426, University Library of Munich, Germany.
• Anirban Chakraborti & Hrishidev & Kiran Sharma & Hirdesh K. Pharasi, 2019. "Phase separation and scaling in correlation structures of financial markets," Papers 1910.06242, arXiv.org, revised Jul 2020.
• Billio, Monica & Costola, Michele & Pelizzon, Loriana & Riedel, Max, 2019. "Buildings' energy efficiency and the probability of mortgage default: The Dutch case," SAFE Working Paper Series 261, Leibniz Institute for Financial Research SAFE.
• Guha Niyogi, Gargi & Mandal, Nivedita & Das, Rituparna, 2019. "Survey of Credit Rating Methodologies of Mutual Funds: Standard and Poor’s and Moody’s," MPRA Paper 96456, University Library of Munich, Germany.
• Hansjoerg Albrecher & Pablo Azcue & Nora Muler, 2019. "Optimal ratcheting of dividends in insurance," Papers 1910.06910, arXiv.org, revised Jun 2021.
• Matteo Brachetta & Claudia Ceci, 2019. "A BSDE-based approach for the optimal reinsurance problem under partial information," Papers 1910.05999, arXiv.org, revised May 2020.
• Bersch, Johannes & Degryse, Hans & Kick, Thomas & Stein, Ingrid, 2019. "The real effects of bank distress: Evidence from bank bailouts in Germany," ZEW Discussion Papers 19-041, ZEW - Leibniz Centre for European Economic Research.
• Guiyuan Ma & Song-Ping Zhu & Ivan Guo, 2019. "Valuation of contingent claims with short selling bans under an equal-risk pricing framework," Papers 1910.04960, arXiv.org, revised Aug 2021.
• Thorburn, Karin S & Bienz, Carsten & Walz, Uwe, 2019. "Ownership, wealth, and risk taking: Evidence on private equity fund managers," CEPR Discussion Papers 13944, C.E.P.R. Discussion Papers.
• Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi, 2019. "An Improved Method to Predict Assignment of Stocks into Russell Indexes," NBER Working Papers 26370, National Bureau of Economic Research, Inc.
• Thiemann, Matthias & Tröger, Tobias, 2019. "It's the tail-risk, stupid! Precluding regulatory arbitrage in shadow banking with a normatively charged approach to supervision capitalizing on multipolar regulatory dialogues," SAFE Working Paper Series 260, Leibniz Institute for Financial Research SAFE.
• Kumar, Sudarshan & Bansal, Avijit & Chakrabarti, Anindya S., 2019. "Ripples on financial networks," IIMA Working Papers WP 2019-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
• Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2019. "A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance," LSE Research Online Documents on Economics 102043, London School of Economics and Political Science, LSE Library.
• Stark, Oded & Budzinski, Wiktor & Jakubek, Marcin, 2019. "Pure Rank Preferences and Variation in Risk-Taking Behavior," IZA Discussion Papers 12637, Institute of Labor Economics (IZA).
• Auer, Raphael & Ongena, Steven, 2019. "The countercyclical capital buffer and the composition of bank lending," CEPR Discussion Papers 13942, C.E.P.R. Discussion Papers.
• Chen, Zhengyang, 2019. "The Long-term Rate and Interest Rate Volatility in Monetary Policy Transmission," EconStor Preprints 204579, ZBW - Leibniz Information Centre for Economics.
• Tim Leung & Yang Zhou, 2019. "Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework," Papers 1910.06432, arXiv.org.