Report NEP-RMG-2021-09-06

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.

Subscribe to this report: email, RSS, or Mastodon.

Other reports in NEP-RMG

The following items were announced in this report:

• Busch, Pascal & Cappelletti, Giuseppe & Marincas, Vlad & Meller, Barbara & Wildmann, Nadya, 2021. "How useful is market information for the identification of G-SIBs?," Occasional Paper Series 260, European Central Bank.
• c{C}au{g}{i}n Ararat & Mucahit Aygun, 2021. "Dual representations of quasiconvex compositions with applications to systemic risk," Papers 2108.12910, arXiv.org.
• Nguyen, Hoang & Javed, Farrukh, 2021. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Working Papers 2021:15, Örebro University, School of Business.
• R.L. Gudmundarson & M. Guerra & A. B. de Moura, 2021. "Minimizing Ruin Probability Under Dependencies for Insurance Pricing," Working Papers REM 2021/0193, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Marlon Moresco & Marcelo Brutti Righi, 2021. "On the link between monetary and star-shaped risk measures," Papers 2108.13500, arXiv.org.
• Stephen Lee, 2021. "Diversification in Real Estate Portfolios," ERES eres2021_211, European Real Estate Society (ERES).
• Chiara Künzle & Sven Bienert & Cay Oertel & Werner Gleißner, 2021. "Value Contribution of Diversification: An Empirical Investigation of the Individual Value of Real Estate in Portfolios," ERES eres2021_82, European Real Estate Society (ERES).
• Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021. "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," NBER Working Papers 29195, National Bureau of Economic Research, Inc.
• Karl-Friedrich Keunecke & Hunter Kuhlwein & Cay Oertel, 2021. "Volatility Modeling of Property Markets: A Note on the Distribution of GARCH Innovation," ERES eres2021_75, European Real Estate Society (ERES).