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Report NEP-RMG-2020-03-02
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:
- Martijn Boermans & Bram van der Kroft, 2020, "Capital regulation induced reaching for systematic yield: Financial instability through fire sales," Working Papers, DNB, number 673, Feb.
- Umut Akovali, 2020, "Beyond Connectedness: A Covariance Decomposition based Network Risk Model," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 2003, Feb.
- Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2018, "A novel multivariate risk measure: the Kendall VaR," Post-Print, HAL, number halshs-01467857, Apr.
- An Chen & Mitja Stadje & Fangyuan Zhang, 2020, "On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization," Papers, arXiv.org, number 2002.02229, Feb, revised Jun 2022.
- Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020, "Crowded trades, market clustering, and price instability," Working Papers, DNB, number 668, Jan.
- Item repec:imf:imfwpa:20/11 is not listed on IDEAS anymore
- Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2020, "Sharing of longevity basis risk in pension schemes with income-drawdown guarantees," Papers, arXiv.org, number 2002.05232, Feb.
- Bal'azs Gerencs'er & Mikl'os R'asonyi, 2020, "Invariant measures for multidimensional fractional stochastic volatility models," Papers, arXiv.org, number 2002.04832, Feb, revised Aug 2021.
- Gert Brunekreeft & Margarethe Rammerstorfer, 2020, "OPEX-risk as a source of CAPEX-bias in monopoly regulation," Bremen Energy Working Papers, Bremen Energy Research, number 0032, Dec.
- Grammig, Joachim & Hanenberg, Constantin & Schlag, Christian & Sönksen, Jantje, 2020, "Diverging roads: Theory-based vs. machine learning-implied stock risk premia," University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics, number 130, DOI: 10.15496/publikation-39286.
- Rising Odegua, 2020, "Predicting Bank Loan Default with Extreme Gradient Boosting," Papers, arXiv.org, number 2002.02011, Jan.
- Emanuele Ciani & Marco Gallo & Zeno Rotondi, 2020, "Public credit guarantee and financial additionalities across SME risk classes," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1265, Feb.
- Raman Kachurka & Michał Krawczyk & Joanna Rachubik, 2020, "What do lab experiments tell us about the real world? The case of lotteries with extreme payoffs," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-03.
- Lucia Esposito & Davide Fantino & Yeji Sung, 2020, "The impact of TLTRO2 on the Italian credit market: some econometric evidence," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1264, Feb.
- Zheng, Hannan & Schwenkler, Gustavo, 2020, "The network of firms implied by the news," ESRB Working Paper Series, European Systemic Risk Board, number 108, Feb.
- Byström, Hans, 2020, "Happiness and Gold Prices," Working Papers, Lund University, Department of Economics, number 2020:1, Feb.
- Iñaki Aldasoro & Leonardo Gambacorta & Paolo Giudici & Thomas Leach, 2020, "Operational and cyber risks in the financial sector," BIS Working Papers, Bank for International Settlements, number 840, Feb.
- Ivan Faiella & Danila Malvolti, 2020, "The climate risk for the finance in Italy," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 545, Feb.
- Paolo Giudici & Thomas Leach & Paolo Pagnottoni, 2020, "Libra or Librae? Basket based stablecoins to mitigate foreign exchange volatility spillovers," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 183, Feb.
- Delis, Manthos & Kim, Suk-Joong & Politsidis, Panagiotis & Wu, Eliza, 2020, "Regulators vs. markets: Do differences in their bank risk perceptions affect lending terms?," MPRA Paper, University Library of Munich, Germany, number 98548, Feb.
- Flores, Adrián & Peralta Quesada, Leda, 2020, "The enhancement of resilience to disasters and climate change in the Caribbean through the modernization of the energy sector," Studies and Perspectives – ECLAC Subregional Headquarters for The Caribbean, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), number 45098, Jan.
- Thomas G. McGuire & Anna L. Zink & Sherri Rose, 2020, "Simplifying and Improving the Performance of Risk Adjustment Systems," NBER Working Papers, National Bureau of Economic Research, Inc, number 26736, Feb.