Report NEP-RMG-2019-07-22

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.

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

Other reports in NEP-RMG

The following items were announced in this report:

• Jeremy D. Turiel & Tomaso Aste, 2019, "P2P Loan acceptance and default prediction with Artificial Intelligence," Papers, arXiv.org, number 1907.01800, Jul.
• Filippo Curti & Marco Migueis & Rob T. Stewart, 2019, "Benchmarking Operational Risk Stress Testing Models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-038, May, DOI: 10.17016/FEDS.2019.038.
• Imad Chahboun & Nathaniel Hoover, 2019, "Variable Annuities: Underlying Risks and Sensitivities," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number RPA 19-1, Apr.
• Item repec:fst:wpaper:0026 is not listed on IDEAS anymore

• Tim, Xiao, 2019, "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper, University Library of Munich, Germany, number 94701, Mar.
• Item repec:imf:imfwpa:19/140 is not listed on IDEAS anymore

• Hyungbin Park & Stephan Sturm, 2019, "A sensitivity analysis of the long-term expected utility of optimal portfolios," Papers, arXiv.org, number 1906.03690, Jun.
• Item repec:fst:wpaper:0031 is not listed on IDEAS anymore

• Paolo Bartesaghi & Michele Benzi & Gian Paolo Clemente & Rosanna Grassi & Ernesto Estrada, 2019, "Risk-dependent centrality in economic and financial networks," Papers, arXiv.org, number 1907.07908, Jul, revised Apr 2020.
• Das, Mahamitra & Kundu, Srikanta & Sarkar, Nityananda, 2019, "Mean and Volatility Spillovers between REIT and Stocks Returns A STVAR-BTGARCH-M Model," MPRA Paper, University Library of Munich, Germany, number 94707, Jul.
• Tim Leung & Brian Ward, 2019, "Tracking VIX with VIX Futures: Portfolio Construction and Performance," Papers, arXiv.org, number 1907.00293, Jun.
• Chris Bloor & Bruce Lu, 2019, "Have the LVR restrictions improved the resilience of the banking system?," Reserve Bank of New Zealand Analytical Notes series, Reserve Bank of New Zealand, number AN2019/07, May.
• Pierre-Alain Reigneron & Vincent Nguyen & Stefano Ciliberti & Philip Seager & Jean-Philippe Bouchaud, 2019, "The Case for Long-Only Agnostic Allocation Portfolios," Papers, arXiv.org, number 1906.05187, Jun.
• Lotfi Boudabsa & Damir Filipovic, 2019, "Machine learning with kernels for portfolio valuation and risk management," Papers, arXiv.org, number 1906.03726, Jun, revised May 2021.
• Nicholas Z. Muller & Caroline A. Hopkins, 2019, "Hurricane Katrina Floods New Jersey: The Role of Information in the Market Response to Flood Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 25984, Jun.
• Comincioli, Nicola & Vergalli, Sergio & Panteghini, Paolo M., , "Business Tax Policy under Default Risk," ETA: Economic Theory and Applications, Fondazione Eni Enrico Mattei (FEEM), number 291520, DOI: 10.22004/ag.econ.291520.
• Caroline Bayart & Séverine Saleilles, 2019, "Rethinking the opportunity/necessity dichotomy with a risk management- based approach," Post-Print, HAL, number hal-02143039, Jun.
• Matthieu Darracq Paries & Jenny Korner & Niki Papadopoulou, 2019, "Empowering Central Bank Asset Purchases: The Role of Financial Policies," Working Papers, Central Bank of Cyprus, number 2019-1, Feb.
• Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hallin, Marc & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Zevallos, Mauricio, 2019, "Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 505, Jun.
• Item repec:fst:wpaper:0003 is not listed on IDEAS anymore

• Xinyu Song, 2019, "Large Volatility Matrix Prediction with High-Frequency Data," Papers, arXiv.org, number 1907.01196, Jul, revised Sep 2019.
• Mikkelsen, Jakob & Poeschl, Johannes, 2019, "Banking Panic Risk and Macroeconomic Uncertainty," MPRA Paper, University Library of Munich, Germany, number 94729, Jun.
• Kristian Buchardt & Christian Furrer & Thomas M{o}ller, 2019, "Tax- and expense-modified risk-minimization for insurance payment processes," Papers, arXiv.org, number 1907.04230, Jul, revised Mar 2020.
• Item repec:imf:imfscr:19/186 is not listed on IDEAS anymore

• McGeever, Niall, 2019, "A vulnerability analysis of Irish SME credit exposures," Financial Stability Notes, Central Bank of Ireland, number 7/FS/19, Jun.
• Francesca Biagini & Alessandro Doldi & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2019, "Systemic Optimal Risk Transfer Equilibrium," Papers, arXiv.org, number 1907.04257, Jul, revised Jun 2020.
• Bonjean, Isabelle, , "Who are the Loss-Averse Farmers? Experimental Evidence from Structurally Estimated Risk Preferences," Working Papers, Katholieke Universiteit Leuven, Centre for Agricultural and Food Economics, number 291526, DOI: 10.22004/ag.econ.291526.
• Armando N. Meier, 2019, "Emotions, Risk Attitudes, and Patience," SOEPpapers on Multidisciplinary Panel Data Research, DIW Berlin, The German Socio-Economic Panel (SOEP), number 1041.
• Damien Ackerer & Natasa Tagasovska & Thibault Vatter, 2019, "Deep Smoothing of the Implied Volatility Surface," Papers, arXiv.org, number 1906.05065, Jun, revised Oct 2020.
• Almeida, Caio & Ardison, Kim & Garcia, René, 2019, "Nonparametric Assessment of Hedge Fund Performance," TSE Working Papers, Toulouse School of Economics (TSE), number 19-1024, Jul.
• Item repec:imf:imfscr:19/202 is not listed on IDEAS anymore

Report NEP-RMG-2019-07-22

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.

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

Other reports in NEP-RMG

The following items were announced in this report: