Report NEP-RMG-2019-10-28

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:

• Kouadio, Jean Joel & Mwamba, Muteba & Bonga-Bonga, Lumengo, 2019. "Empirical evidence of systemic tail risk premium in the Johannesburg Stock Exchange," MPRA Paper 96570, University Library of Munich, Germany.
• Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 96563, University Library of Munich, Germany.
• Romain Gauchon & Stéphane Loisel & Jean-Louis Rullière & Julien Trufin, 2019. "Optimal prevention of large risks with two types of claims," Working Papers hal-02314914, HAL.
• Frank Bosserhoff & Mitja Stadje, 2019. "Robustness of Delta Hedging in a Jump-Diffusion Model," Papers 1910.08946, arXiv.org, revised Apr 2022.
• Wenyuan Wang & Xueyuan Wu & Cheng Chi, 2019. "Optimal implementation delay of taxation with trade-off for L\'{e}vy risk Processes," Papers 1910.08158, arXiv.org.
• Gautier Marti, 2019. "CorrGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks," Papers 1910.09504, arXiv.org, revised Dec 2019.
• Romain Gauchon & Stéphane Loisel & Jean-Louis Rullière & Julien Trufin, 2019. "Optimal prevention strategies in the classical risk model," Working Papers hal-02314899, HAL.
• Juan Dong & Lyudmila Korobenko & Deniz Sezer, 2019. "Nonhedgeable risk and Credit Risk Pricing," Papers 1910.08641, arXiv.org.
• Nguyen, Linh D. & Steininger, Bertram, 2019. "The impact of underpricing of the default risk on investment: Evidence from Real Estate Investment Trusts (REITs)," Working Paper Series 19/5, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
• Dungey, Mardi & Islam, Raisul & Volkov, Vladimir, 2019. "Crisis transmission: visualizing vulnerability," Working Papers 2019-07, University of Tasmania, Tasmanian School of Business and Economics.
• Mathias Kruttli & Phillip Monin & Sumudu Watugala, 2019. "The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks," Working Papers 19-03, Office of Financial Research, US Department of the Treasury.
• Zura Kakushadze, 2019. "Healthy... Distress... Default," Papers 1910.08531, arXiv.org, revised Oct 2019.
• Maake, Tebogo & Bonga-Bonga, Lumengo, 2019. "The relationship between carry trade and asset markets in South Africa," MPRA Paper 96667, University Library of Munich, Germany.