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Risk Management

Authors and titles for recent submissions

[ total of 7 entries: 1-7 ]
[ showing up to 25 entries per page: fewer | more ]

Thu, 21 May 2020

[1]  arXiv:2005.09974 [pdf, other]
Title: Stochastic modeling of assets and liabilities with mortality risk
Subjects: Risk Management (q-fin.RM); Econometrics (econ.EM); Optimization and Control (math.OC)

Tue, 19 May 2020

[2]  arXiv:2005.07967 [pdf, ps, other]
Title: Parameter estimation of default portfolios using the Merton model and Phase transition
Comments: 19 pages, 5 figures
Subjects: Risk Management (q-fin.RM); Statistical Mechanics (cond-mat.stat-mech)
[3]  arXiv:2005.08929 (cross-list from q-fin.GN) [pdf, other]
Title: Disaster Resilience and Asset Prices
Comments: 40 pages, 11 figures, 7 tables
Subjects: General Finance (q-fin.GN); General Economics (econ.GN); Risk Management (q-fin.RM)

Thu, 14 May 2020

[4]  arXiv:2005.06015 (cross-list from q-fin.MF) [pdf, ps, other]
Title: Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time
Authors: Jun Deng, Bin Zou
Comments: 16 pages
Subjects: Mathematical Finance (q-fin.MF); Portfolio Management (q-fin.PM); Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)

Wed, 13 May 2020

[5]  arXiv:2005.05428 [pdf, ps, other]
Title: Value-at-Risk substitute for non-ruin capital is fallacious and redundant
Comments: 21 pages, 12 figures, 1 table
Subjects: Risk Management (q-fin.RM); Probability (math.PR)
[6]  arXiv:2005.05364 [pdf, ps, other]
Title: A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms
Comments: 30 pages
Subjects: Risk Management (q-fin.RM); Mathematical Finance (q-fin.MF)

Tue, 12 May 2020

[7]  arXiv:2005.04868 [pdf, other]
Title: Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles
Comments: 36 pages, 2 figures and 5 tables
Subjects: Risk Management (q-fin.RM)
[ total of 7 entries: 1-7 ]
[ showing up to 25 entries per page: fewer | more ]
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