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Report NEP-RMG-2020-03-23
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:
- Vaclav Broz & Evzen Kocenda, 2020, "Mortgage-related bank penalties and systemic risk among U.S. banks," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1024, Mar.
- Ying-Ying Shen & Zhi-Qiang Jiang & Jun-Chao Ma & Gang-Jin Wang & Wei-Xing Zhou, 2020, "Sector connectedness in the Chinese stock markets," Papers, arXiv.org, number 2002.09097, Feb.
- Stefan Ankirchner & Christophette Blanchet-Scalliet & Nabil Kazi-Tani, 2019, "The De Vylder-Goovaerts conjecture holds true within the diffusion limit," Post-Print, HAL, number hal-01887402, Jun, DOI: 10.1017/jpr.2019.33.
- Yulong Wang & Zhijie Xiao, 2020, "Estimation and Inference about Tail Features with Tail Censored Data," Papers, arXiv.org, number 2002.09982, Feb.
- Elie Bouri & Rangan Gupta, 2020, "Jumps in Energy and Non-Energy Commodities," Working Papers, University of Pretoria, Department of Economics, number 202018, Feb.
- John C. Williams, 2020, "The Economic Outlook," Speech, Federal Reserve Bank of New York, number 87592, Mar.
- Lemus, Antonio & Nuñez, Marco, 2020, "Pruebas de tensión bancaria: experiencia en los principales mercados financieros del mundo y en Chile
[Bank stress tests: evidence from the main financial markets and Chile]," MPRA Paper, University Library of Munich, Germany, number 99097, Mar. - Lucrezia Reichlin & Giovanni Ricco & Thomas Hasenzagl, 2020, "Financial Variables as Predictors of Real Growth Vulnerability," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2020-06, Feb.
- Nian Yao & Zhiqiu Li & Zhichao Ling & Junfeng Lin, 2020, "Asymptotic Smiles for an Affine Jump-Diffusion Model," Papers, arXiv.org, number 2003.00334, Feb, revised May 2020.
- Walter Cuba, 2020, "Does Leverage Predict Delinquency in Consumer Lending? Evidence from Peru," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 05-2020, Mar.
- Elie Bouri & Rangan Gupta & Xuan Vinh Vo, 2020, "Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin," Working Papers, University of Pretoria, Department of Economics, number 202015, Feb.
- Moustapha Daouda Dala & Isabelle Distinguin & Alain Sauviat, 2020, "What is the information value of bank's stress tests? An investigation using banks' bond split ratings," Working Papers, HAL, number hal-02475512, Feb.
- Ben Moews & Gbenga Ibikunle, 2020, "Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning," Papers, arXiv.org, number 2002.10385, Feb.
- Bihong Huang & Maria Teresa Punzi & Yu Wu, 2019, "Do Banks Price Environmental Risk? Evidence from a Quasi Natural Experiment in the People’s Republic of China," ADBI Working Papers, Asian Development Bank Institute, number 974, Jul.
- Ryo Kato & Takayuki Tsuruga, 2020, "Pecuniary Externalities, Bank Overleverage, and Macroeconomic Fragility," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 1078, Mar.
- Barbora Malinska, 2020, "Time-Varying Pricing of Risk in Sovereign Bond Futures Returns," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2020/7, Mar, revised Mar 2020.
- Grzegorz Krzy.zanowski & Marcin Magdziarz, 2020, "A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model," Papers, arXiv.org, number 2003.05358, Mar, revised Dec 2020.
- Kristoffer Mousten Hansen, 2020, "Better than gold? A review of the Bitcoin Standard 2nd revision," Post-Print, HAL, number hal-02458499.
- Item repec:imf:imfwpa:20/44 is not listed on IDEAS anymore
- Walsh,Brian James & Hallegatte,Stephane, 2019, "Measuring Natural Risks in the Philippines : Socioeconomic Resilience and Wellbeing Losses," Policy Research Working Paper Series, The World Bank, number 8723, Jan.
- Cangoz,Mehmet Coskun & Sulla,Olga & Wang,ChunLan & Dychala,Christopher Benjamin, 2019, "A Joint Foreign Currency Risk Management Approach for Sovereign Assets and Liabilities," Policy Research Working Paper Series, The World Bank, number 8728, Feb.