Printed from https://ideas.repec.org/n/nep-rmg/2020-03-09.html
Report NEP-RMG-2020-03-09
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:
- Janusz Milek, 2020, "Quantum Implementation of Risk Analysis-relevant Copulas," Papers, arXiv.org, number 2002.07389, Feb, revised Mar 2020.
- Entrop, Oliver & Fuchs, Fabian U., 2020, "Foreign exchange rate exposure of companies under dynamic regret," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe, University of Passau, Faculty of Business and Economics, number B-40-20.
- Edson Bastos e Santos & Neil Esho & Marc Farag & Christopher Zuin, 2020, "Variability in risk-weighted assets: what does the market think?," BIS Working Papers, Bank for International Settlements, number 844, Feb.
- Giuseppe Brandi & T. Di Matteo, 2020, "On the statistics of scaling exponents and the Multiscaling Value at Risk," Papers, arXiv.org, number 2002.04164, Feb, revised Mar 2021.
- Jorge E. Galán, 2020, "The benefits are at the tail: uncovering the impact of macroprudential policy on growth-at-risk," Working Papers, Banco de España, number 2007, Mar.
- Daniel Barth & Laurel Hammond & Phillip Monin, 2020, "Leverage and Risk in Hedge Funds," Working Papers, Office of Financial Research, US Department of the Treasury, number 20-02, Feb.
- Alexandre Carbonneau & Fr'ed'eric Godin, 2020, "Equal Risk Pricing of Derivatives with Deep Hedging," Papers, arXiv.org, number 2002.08492, Feb, revised Jun 2020.
- G. Thomas Kingsley & Travis D. Nesmith & Anna L. Paulson & Todd Prono, 2019, "Central Clearing and Systemic Liquidity Risk," Working Paper Series, Federal Reserve Bank of Chicago, number WP 2019-12, Dec, DOI: 10.21033/wp-2019-12.
- P'al Andr'as Papp & Roger Wattenhofer, 2020, "Default Ambiguity: Finding the Best Solution to the Clearing Problem," Papers, arXiv.org, number 2002.07741, Feb, revised Oct 2021.
- Item repec:imf:imfwpa:20/28 is not listed on IDEAS anymore
- Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020, "Crowded trades, market clustering, and price instability," Papers, arXiv.org, number 2002.03319, Feb.
- Whelsy Boungou, 2019, "Negative interest rate, bank profitability and risk-taking," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2019-10, Jul.
- Tesi Aliaj & Aris Anagnostopoulos & Stefano Piersanti, 2020, "Firms Default Prediction with Machine Learning," Papers, arXiv.org, number 2002.11705, Feb.
- Massoomeh Rahsepar & Foivos Xanthos, 2020, "On the extension property of dilatation monotone risk measures," Papers, arXiv.org, number 2002.11865, Feb.
- Wenjing Wang & Minjing Tao, 2020, "Forecasting Realized Volatility Matrix With Copula-Based Models," Papers, arXiv.org, number 2002.08849, Feb.
- Daniel Barth & Juha Joenvaara & Mikko Kauppila & Russ Wermers, 2020, "The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think," Working Papers, Office of Financial Research, US Department of the Treasury, number 20-01, Feb, revised 08 Mar 2021.
- Lucia Cipolina Kun & Simone Caenazzo & Ksenia Ponomareva, 2020, "Mathematical Foundations of Regression Methods for the approximation of the Forward Initial Margin," Papers, arXiv.org, number 2002.04563, Feb, revised Sep 2022.
- Calomiris,Charles W. & Larrain,Mauricio & Schmukler,Sergio L. & Williams,Tomas, 2019, "Search for Yield in Large International Corporate Bonds : Investor Behavior and Firm Responses," Policy Research Working Paper Series, The World Bank, number 8890, Jun.