Printed from https://ideas.repec.org/n/nep-rmg/2020-02-03.html
Report NEP-RMG-2020-02-03
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:
- Ibrahim, Omar, 2019, "Modelling Risk on the Egyptian Stock Market: Evidence from a Markov-Regime Switching GARCH Process," MPRA Paper, University Library of Munich, Germany, number 98091, Dec.
- Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019, "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series, CESifo, number 8000.
- Hamed Amini & Damir Filipović & Andreea Minca, 2020, "Systemic Risk in Networks with a Central Node," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-04, Jan.
- Alev Meral, 2019, "Comparison of various risk measures for an optimal portfolio," Papers, arXiv.org, number 1912.09573, Dec.
- Hyun Hak Kim & Hosung Jung, 2019, "Systemic Risk of the Consumer Credit Network across Financial Institutions," Working Papers, Economic Research Institute, Bank of Korea, number 2019-23, Sep.
- Julia Eisenberg & Zbigniew Palmowski, 2020, "Optimal Dividends Paid in a Foreign Currency for a L\'evy Insurance Risk Model," Papers, arXiv.org, number 2001.03733, Jan.
- Mahkameh Zarekarizi & Vivek Srikrishnan & Klaus Keller, 2020, "Neglecting Uncertainties Biases House-Elevation Decisions to Manage Riverine Flood Risks," Papers, arXiv.org, number 2001.06457, Jan, revised Sep 2020.
- Simona Malovana & Zaneta Tesarova, 2019, "Banks' Credit Losses and Provisioning over the Business Cycle: Implications for IFRS 9," Working Papers, Czech National Bank, Research and Statistics Department, number 2019/4, Dec.
- Mark Kiermayer & Christian Wei{ss}, 2019, "Grouping of Contracts in Insurance using Neural Networks," Papers, arXiv.org, number 1912.09964, Dec.
- Vlastakis, Nikolaos & Triantafyllou, Athanasios & Kellard, Neil, 2020, "Oil price uncertainty as a predictor of stock market volatility," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 26566, Jan.
- Angela Rita Provenzano & Daniele Trifir`o & Nicola Jean & Giacomo Le Pera & Maurizio Spadaccino & Luca Massaron & Claudio Nordio, 2019, "An Artificial Intelligence approach to Shadow Rating," Papers, arXiv.org, number 1912.09764, Dec.
- Jinwoo Park, 2020, "Clustering Approaches for Global Minimum Variance Portfolio," Papers, arXiv.org, number 2001.02966, Jan, revised Apr 2020.
- Ofelia Bonesini & Antoine Jacquier & Chloe Lacombe, 2020, "A theoretical analysis of Guyon's toy volatility model," Papers, arXiv.org, number 2001.05248, Jan, revised Nov 2022.
- Kristina Bluwstein & Marcus Buckmann & Andreas Joseph & Miao Kang & Sujit Kapadia & Özgür Simsek, 2020, "Credit growth, the yield curve and financial crisis prediction: evidence from a machine learning approach," Bank of England working papers, Bank of England, number 848, Jan.
- Niknamian, Sorush, 2019, "Discovering Hidden Patterns in Loan Reimbursement," OSF Preprints, Center for Open Science, number qm8hb, Dec, DOI: 10.31219/osf.io/qm8hb.
- Walter Bossert & Conchita D'Ambrosio & Kohei Kamaga, 2020, "Extreme values, means, and inequality measurement," DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University, number 106, Jan.
- Sabiou M. Inoua, 2019, "News-Driven Expectations and Volatility Clustering," Working Papers, Chapman University, Economic Science Institute, number 19-33.
- Helena Chuliá & Jorge M. Uribe, 2019, "“Expected, Unexpected, Good and Bad Uncertainty"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201919, Nov, revised Nov 2019.