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Report NEP-RMG-2020-02-24
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:
- Walter Farkas & Ludovic Mathys & Nikola Vasiljevi'c, 2020, "Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps," Papers, arXiv.org, number 2002.04675, Feb, revised Jan 2021.
- Julio Backhoff Veraguas & A. Max Reppen & Ludovic Tangpi, 2020, "Stochastic control of optimized certainty equivalents," Papers, arXiv.org, number 2001.10108, Jan, revised Jun 2022.
- Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020, "Crowded trades, market clustering, and price instability," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 20-007/II, Feb.
- Dräger, Vanessa & Heckmann-Draisbach, Lotta & Memmel, Christoph, 2020, "Interest and credit risk management in German banks: Evidence from a quantitative survey," Discussion Papers, Deutsche Bundesbank, number 02/2020.
- Anil K. Kashyap & Dimitrios P. Tsomocos & Alexandros P. Vardoulakis, 2020, "Optimal Bank Regulation In the Presence of Credit and Run-Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 26689, Jan.
- Saeed Marzban & Erick Delage & Jonathan Yumeng Li, 2020, "Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures," Papers, arXiv.org, number 2002.02876, Feb, revised Sep 2020.
- Anginer,Deniz & Bertay,Ata Can & Cull,Robert J. & Demirguc-Kunt,Asli & Mare,Davide Salvatore, 2019, "Bank Regulation and Supervision Ten Years after the Global Financial Crisis," Policy Research Working Paper Series, The World Bank, number 9044, Oct.
- Alain MONFORT & Jean-Paul RENNE & Guillaume ROUSSELLET, 2020, "Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion," Working Papers, Center for Research in Economics and Statistics, number 2020-01, Jan.
- Thibaut Duprey & Alexander Ueberfeldt, 2020, "Managing GDP Tail Risk," Staff Working Papers, Bank of Canada, number 20-3, Jan, DOI: 10.34989/swp-2020-3.
- Collins-Sowah, Peron A. & Henning, Christian H. C. A., 2019, "Risk management and its implications on household incomes," Working Papers of Agricultural Policy, University of Kiel, Department of Agricultural Economics, Chair of Agricultural Policy, number WP2019-05.
- Matteo Pelagatti & Giacomo Sbrana, 2020, "Estimating high dimensional multivariate stochastic volatility models," Working Papers, University of Milano-Bicocca, Department of Economics, number 428, Jan, revised Jan 2020.
- Francois Belletti & Davis King & James Lottes & Yi-Fan Chen & John Anderson, 2020, "Sensitivity Analysis in the Dupire Local Volatility Model with Tensorflow," Papers, arXiv.org, number 2002.02481, Feb.
- Klapper,Leora & Singer,Dorothe & Ansar,Saniya & Hess,Jake Richard, 2019, "Financial Risk Management in Agriculture : Analyzing Data from a New Module of the Global Findex Database," Policy Research Working Paper Series, The World Bank, number 9078, Dec.