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Report NEP-RMG-2019-09-09
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:
- Gourieroux, Christian & Tiomo, Andre, 2019, "The Evaluation of Model Risk for Probability of Default and Expected Loss," MPRA Paper, University Library of Munich, Germany, number 95795, Aug.
- Glocker, Christian, 2019, "Do reserve requirements reduce the risk of bank failure?," MPRA Paper, University Library of Munich, Germany, number 95634, Aug.
- Xiao,Tim, 2018, "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 202075.
- Yuya Sasaki & Yulong Wang, 2019, "Fixed-k Inference for Conditional Extremal Quantiles," Papers, arXiv.org, number 1909.00294, Aug, revised Jul 2020.
- Stefania Albanesi & Domonkos F. Vamossy, 2019, "Predicting Consumer Default: A Deep Learning Approach," Papers, arXiv.org, number 1908.11498, Aug, revised Oct 2019.
- Pietro Cova & Filippo Natoli, 2019, "The risk-taking channel of international financial flows," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2019_015, Aug.
- Junbeom Lee & Xiang Yu & Chao Zhou, 2019, "Lifetime Ruin under High-watermark Fees and Drift Uncertainty," Papers, arXiv.org, number 1909.01121, Sep, revised Oct 2020.
- Nazmiye Ceren Abay & Cuneyt Gurcan Akcora & Yulia R. Gel & Umar D. Islambekov & Murat Kantarcioglu & Yahui Tian & Bhavani Thuraisingham, 2019, "ChainNet: Learning on Blockchain Graphs with Topological Features," Papers, arXiv.org, number 1908.06971, Aug.
- Shapiro, Joel & Zeng, Jing, 2019, "Stress Testing and Bank Lending," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13907, Aug.
- Denis Belomestny & Leonid Iosipoi, 2019, "Fourier transform MCMC, heavy tailed distributions and geometric ergodicity," Papers, arXiv.org, number 1909.00698, Sep, revised Dec 2019.
- Fayçal Mraihi & Inane Kanzari, 2019, "Predicting financial distress of companies: Comparison between multivariate discriminant analysis and multilayer perceptron for Tunisian case," Working Papers, Economic Research Forum, number 1328, Aug, revised 21 Aug 2019.
- Pawel Kliber & Anna Rutkowska-Ziarko, 2019, "An algorithm for construction of a portfolio with a fundamental criterion," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 8911300, Jul.
- Hamed Ghoddusi & Franz Wirl, 2019, "A Risk-Hedging View to Refinery Capacity Investment," Working Papers, Economic Research Forum, number 1327, Aug, revised 21 Aug 2019.
- Takashi Shinzato, 2019, "Relationship between optimal portfolios which can maximize and minimize the expected return," Papers, arXiv.org, number 1908.07813, Aug.
- Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018, "An Intertemporal CAPM with stochastic volatility," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 69634, May.
- Item repec:upd:utmpwp:010 is not listed on IDEAS anymore
- Rosch, Stephanie D. & Crane-Droesch, Andrew, , "Yield Risk, Price Risk, and Demand for Crop Insurance," 2019 Annual Meeting, July 21-23, Atlanta, Georgia, Agricultural and Applied Economics Association, number 290914, DOI: 10.22004/ag.econ.290914.
- G'abor Petneh'azi, 2019, "Quantile Convolutional Neural Networks for Value at Risk Forecasting," Papers, arXiv.org, number 1908.07978, Aug, revised Sep 2020.