Report NEP-RMG-2016-09-25

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:

• Huang, Jing-Zhi & Shi, Zhan, 2016. "Hedging Interest Rate Risk Using a Structural Model of Credit Risk," Working Paper Series 2016-04, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Michael Crowther & Paul Lambert, 2016. "Multistate survival analysis in Stata," United Kingdom Stata Users' Group Meetings 2016 02, Stata Users Group.
• Takashi Shinzato, 2016. "Replica Analysis for the Duality of the Portfolio Optimization Problem," Papers 1609.05475, arXiv.org.
• Bao, Jack & Hou, Kewei & Zhang, Shaojun A., 2016. "Systemic Default and Return Predictability in the Stock and Bond Markets," Working Paper Series 2016-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Krahnen, Jan Pieter & Pelizzon, Loriana, 2016. ""Predatory" margins and the regulation and supervision of central counterparty clearing houses (CCPs)," SAFE White Paper Series 41, Leibniz Institute for Financial Research SAFE.
• Dominique Guegan & Bertrand Hassani, 2016. "More Accurate Measurement for Enhanced Controls: VaR vs ES?," Post-Print halshs-01281940, HAL.
• Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Hedging Performance on Long-Dated Crude Oil Derivatives," Research Paper Series 376, Quantitative Finance Research Centre, University of Technology, Sydney.
• Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Hedging Futures Options with Stochastic Interest Rates," Research Paper Series 375, Quantitative Finance Research Centre, University of Technology, Sydney.
• Pan, Yihui & Wang, Tracy Yue & Weisbach, Michael S., 2016. "How Management Risk Affects Corporate Debt," Working Paper Series 2016-06, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2016. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-10, Department of Economics, Auburn University.
• Olivier Lopez & Xavier Milhaud & Pierre-Emmanuel Thérond, 2016. "Tree-based censored regression with applications in insurance," Post-Print hal-01364437, HAL.
• Minton, Bernadette A. & Schrand, Catherine M., 2016. "Institutional Investments in Pure Play Stocks and Implications for Hedging Decisions," Working Paper Series 2016-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Schuermann, Til, 2016. "Stress Testing in Wartime and in Peacetime," Working Papers 16-01, University of Pennsylvania, Wharton School, Weiss Center.
• Aranburu Laka, Larraitz & Escudero Bueno, Laureano F. & Garín Martín, María Araceli & Merino Maestre, María & Pérez Sainz de Rozas, Gloria, 2016. "Risk management for mathematical optimization under uncertainty," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
• Zeineb Affes & Rania Hentati-Kaffel, 2016. "Predicting US banks bankruptcy: logit versus Canonical Discriminant analysis," Post-Print halshs-01281948, HAL.
• Zhixin Xie & Lionel Page & Ben Hardy, 2016. "Investigating gender differences under time pressure in financial risk taking," QuBE Working Papers 045, QUT Business School.
• Favilukis, Jack & Lin, Xiaoji & Zhao, Xiaofei, 2014. "The Elephant in the Room: The Impact of Labor Obligations on Credit Risk," Working Paper Series 2015-17, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Mehmet Balcilar & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2016. "Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach," Working Papers 201668, University of Pretoria, Department of Economics.
• Bao, Jack & Chen, Jia & Hou, Kewei & Lu, Lei, 2015. "Prices and Volatilities in the Corporate Bond Market," Working Paper Series 2015-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE 2016-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Bartram, Sohnke M. & Brown, Gregory W. & Stulz, Rene M., 2016. "Why Does Idiosyncratic Risk Increase with Market Risk?," Working Paper Series 2016-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.