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Report NEP-RMG-2019-09-02
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:
- Sander Barendse & Erik Kole & Dick van Dijk, 2019, "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-058/III, Aug.
- Jingyuan Wang & Yang Zhang & Ke Tang & Junjie Wu & Zhang Xiong, 2019, "AlphaStock: A Buying-Winners-and-Selling-Losers Investment Strategy using Interpretable Deep Reinforcement Attention Networks," Papers, arXiv.org, number 1908.02646, Jul.
- Xiao,Tim, 2019, "Incremental Risk Charge Methodology," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 201810.
- Stefania Albanesi & Domonkos F. Vamossy, 2019, "Predicting Consumer Default: A Deep Learning Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 26165, Aug.
- Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman & Herman van Dijk, 2019, "Partially Censored Posterior for Robust and Efficient Risk Evaluation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-057/III, Aug.
- Mavrakana, Christina & Psillaki, Maria, 2019, "Do board structure and compensation matter for bank stability and bank performance? Evidence from European banks," MPRA Paper, University Library of Munich, Germany, number 95776.
- Besma Hkiri & Juncal Cunado & Mehmet Balcilar & Rangan Gupta, 2019, "Time-Varying Relationship between Conventional and Unconventional Monetary Policies and Risk Aversion: International Evidence from Time- and Frequency-Domains," Working Papers, University of Pretoria, Department of Economics, number 201965, Aug.
- Lotfi Boudabsa & Damir Filipović, 2019, "Machine Learning With Kernels for Portfolio Valuation and Risk Management," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-34, Jun.
- Mariano Max Croce & Thien T. Nguyen & Steve Raymond, 2019, "Persistent Government Debt and Aggregate Risk Distribution," NBER Working Papers, National Bureau of Economic Research, Inc, number 26177, Aug.
- Bago, Jean-Louis & Souratié, Wamadini M. & Ouédraogo, Moussa & Ouédraogo, Ernest & Dembélé, Alou, 2019, "Financial Bubbles : New Evidence from South Africa’s Stock Market," MPRA Paper, University Library of Munich, Germany, number 95685, Aug.
- Olkhov, Victor, 2019, "Methods of Economic Theory: Variables, Transactions and Expectations as Functions of Risks," MPRA Paper, University Library of Munich, Germany, number 95628, Aug.
- Guillaume Ouellet Leblanc & Maxime Leboeuf, 2019, "Bridging Canadian Business Lending and Market-Based Risk Measures," Staff Analytical Notes, Bank of Canada, number 2019-26, Aug, DOI: 10.34989/san-2019-26.
- Schuknecht, Ludger, 2019, "Fiscal-financial vulnerabilities," SAFE White Paper Series, Leibniz Institute for Financial Research SAFE, number 62.
- Enno Mammen & Jens Perch Nielsen & Michael Scholz & Stefan Sperlich, 2019, "Conditional variance forecasts for long-term stock returns," Graz Economics Papers, University of Graz, Department of Economics, number 2019-08, Aug.
- N. Meade & J. E. Beasley & C. J. Adcock, 2019, "Quantitative portfolio selection: using density forecasting to find consistent portfolios," Papers, arXiv.org, number 1908.08442, Aug, revised Jun 2020.
- Item repec:imf:imfwpa:19/181 is not listed on IDEAS anymore
- Christian Bayer & Blanka Horvath & Aitor Muguruza & Benjamin Stemper & Mehdi Tomas, 2019, "On deep calibration of (rough) stochastic volatility models," Papers, arXiv.org, number 1908.08806, Aug.
- C. A. Valle & J. E. Beasley, 2019, "A nonlinear optimisation model for constructing minimal drawdown portfolios," Papers, arXiv.org, number 1908.08684, Aug.
- Jang, Youngsoo & Lee, Soyoung, 2019, "A Generalized Endogenous Grid Method for Models with the Option to Default," MPRA Paper, University Library of Munich, Germany, number 95721, Aug.