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Report NEP-RMG-2020-01-13
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:
- Muteba Mwamba, John Weirstrass & Tchuinkam Djemo, Charles Raoul, 2019, "Exchange Rate Risk and International Equity Portfolio Diversification: A South African Investor’s Perspective," MPRA Paper, University Library of Munich, Germany, number 97338, Dec.
- Item repec:imf:imfwpa:19/266 is not listed on IDEAS anymore
- Marcel Brautigam & Marie Kratz, 2020, "The Impact of the Choice of Risk and Dispersion Measure on Procyclicality," Papers, arXiv.org, number 2001.00529, Jan.
- Mirko Moscatelli & Simone Narizzano & Fabio Parlapiano & Gianluca Viggiano, 2019, "Corporate default forecasting with machine learning," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1256, Dec.
- Abootaleb Shirvani & Frank J. Fabozzi & Stoyan V. Stoyanov, 2020, "Option Pricing in an Investment Risk-Return Setting," Papers, arXiv.org, number 2001.00737, Jan.
- Item repec:imf:imfwpa:19/273 is not listed on IDEAS anymore
- Leonardo Massai & Giacomo Como & Fabio Fagnani, 2019, "Equilibria and Systemic Risk in Saturated Networks," Papers, arXiv.org, number 1912.04815, Dec, revised Jan 2021.
- Nikil Chande & Dennis Yanchus, 2019, "The Cyber Incident Landscape," Staff Analytical Notes, Bank of Canada, number 2019-32, Dec, DOI: 10.34989/san-2019-32.
- Aditya Maheshwari & Traian Pirvu, 2019, "Portfolio Optimization under Correlation Constraint," Papers, arXiv.org, number 1912.12521, Dec.
- Anand Deo & Sandeep Juneja, 2019, "Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator," Papers, arXiv.org, number 1912.12611, Dec.
- Fries, Sébastien, 2018, "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper, University Library of Munich, Germany, number 97353, May, revised Nov 2019.
- Muteba Mwamba, John Weirstrass & Mhlophe, Bongani, 2019, "Modelling Asset Correlations of Revolving Loan Defaults in South Africa," MPRA Paper, University Library of Munich, Germany, number 97340, Aug.
- Yang Lu, 2018, "Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing, and Forecasting," Post-Print, HAL, number halshs-02418950, DOI: 10.1111/jori.12190.
- Giuliana, Raffaele, 2019, "Have First-Time Buyers continued to default less?," Financial Stability Notes, Central Bank of Ireland, number 14/FS/19, Nov.
- Bräuning, Michael & Malikkidou, Despo & Scricco, Giorgio & Scalone, Stefano, 2019, "A new approach to Early Warning Systems for small European banks," Working Paper Series, European Central Bank, number 2348, Dec.
- Saki Bigio & Adrien d'Avernas, 2019, "Financial Risk Capacity," NBER Working Papers, National Bureau of Economic Research, Inc, number 26561, Dec.
- Luigi Guiso & Luigi Pistaferri, 2020, "The insurance role of the firm," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 2001, revised Jan 2020.