Report NEP-RMG-2016-05-28

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:

• Mabelle Sayah, 2016. "Analyzing and Comparing Basel's III Sensitivity Based Approach for the interest rate risk in the trading book," Post-Print hal-01217928, HAL.
• Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Measuring risks in the extreme tail: The extreme VaR and its confidence interval," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01317391, HAL.
• Fr'ed'eric Vrins, 2016. "Wrong-Way Risk Models: A Comparison of Analytical Exposures," Papers 1605.05100, arXiv.org.
• Masafumi Nakano & Seisho Sato & Akihiko Takahashi & Soichiro Takahashi, 2016. ""Optimal Portfolio with Particle Filtering" (in Japanese)," CIRJE J-Series CIRJE-J-276, CIRJE, Faculty of Economics, University of Tokyo.
• Farooquee, Arsalan Ali & Shrimali, Gireesh, 2016. "Driving Foreign Investment to Renewable Energy in India: A Payment Security Mechanism to Address Off-Taker Risk," MPRA Paper 71241, University Library of Munich, Germany.
• Damien Ackerer & Damir Filipovi'c, 2016. "Linear Credit Risk Models," Papers 1605.07419, arXiv.org, revised Jul 2019.
• Charles W. Calomiris & Matthew Jaremski, 2016. "Deposit Insurance: Theories and Facts," NBER Working Papers 22223, National Bureau of Economic Research, Inc.
• Birgit Rudloff, 2016. "Convex Hedging in Incomplete Markets," Papers 1604.08070, arXiv.org.
• Ewa Marciniak & Zbigniew Palmowski, 2016. "On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums," Papers 1605.04584, arXiv.org.
• Robinson Kruse & Christian Leschinski & Michael Will, 2016. "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," CREATES Research Papers 2016-17, Department of Economics and Business Economics, Aarhus University.
• Takashi Shinzato, 2016. "Minimal Investment Risk of Portfolio Optimization Problem with Budget and Investment Concentration Constraints," Papers 1605.06845, arXiv.org.
• Thomas Krause & T. Sondershaus & Lena Tonzer, 2016. "The Role of Complexity for Bank Risk during the Financial Crisis: Evidence from a Novel Dataset," IWH Discussion Papers 17, Halle Institute for Economic Research.
• Hernández del Valle Gerardo & Juárez-Torres Miriam & Guerrero Santiago, 2016. "A Functional Approach to Test Trending Volatility," Working Papers 2016-04, Banco de México.
• Julien Blasco & Graciela Chichilnisky, 2015. "Risk Aversion and Catastrophic Risks: the Pill Experiment," Papers 1604.05672, arXiv.org.
• Damien Ackerer & Damir Filipovi'c & Sergio Pulido, 2016. "The Jacobi Stochastic Volatility Model," Papers 1605.07099, arXiv.org, revised Mar 2018.