Report NEP-RMG-2016-04-09
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:
- Matteo Burzoni & Ilaria Peri & Chiara Maria Ruffo, 2016. "On the properties of the Lambda value at risk: robustness, elicitability and consistency," Papers 1603.09491, arXiv.org, revised Feb 2017.
- Ossola, Elisa & Gagilardini, Patrick & Scaillet, Olivier, 2015. "Time-varying risk premium in large cross-sectional equity datasets," Working Papers unige:76321, University of Geneva, Geneva School of Economics and Management.
- Russell Barker & Andrew Dickinson & Alex Lipton & Rajeev Virmani, 2016. "Systemic Risks in CCP Networks," Papers 1604.00254, arXiv.org.
- Ivanenko, Victor & Pasichnichenko, Illia, 2016. "Expected utility for nonstochastic risk," MPRA Paper 70433, University Library of Munich, Germany.
- Mohamed Amine Lkabous & Irmina Czarna & Jean-Franc{c}ois Renaud, 2016. "Parisian ruin for a refracted L\'evy process," Papers 1603.09324, arXiv.org, revised Mar 2017.
- Malcolm Baker & Mathias F. Hoeyer & Jeffrey Wurgler, 2016. "The Risk Anomaly Tradeoff of Leverage," NBER Working Papers 22116, National Bureau of Economic Research, Inc.
- Agostino Capponi & Lijun Bo, 2016. "Robust Optimization of Credit Portfolios," Papers 1603.08169, arXiv.org.
- Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2014. "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence," Cambridge Working Papers in Economics 1464, Faculty of Economics, University of Cambridge.