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Report NEP-RMG-2020-03-30
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:
- Thomas J.Flavin & Mardi Dungey & Thomas O'Connor & Michael Wosser, 2020, "Industrial firms and systemic risk," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n298-20.pdf.
- Liu,Jinjing, 2019, "A New Tail-Based Correlation Measure and Its Application in Global Equity Markets," Policy Research Working Paper Series, The World Bank, number 8709, Jan.
- Osman Gulseven & Kasirga Yildirak, 2020, "Indemnity Payments in Agricultural Insurance: Risk Exposure of EU States," Papers, arXiv.org, number 2003.05726, Mar.
- Item repec:imf:imfwpa:20/54 is not listed on IDEAS anymore
- Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020, "Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-01.
- Cheng Cai & Tiziano De Angelis & Jan Palczewski, 2020, "Optimal hedging of a perpetual American put with a single trade," Papers, arXiv.org, number 2003.06249, Mar, revised Sep 2020.
- Alexander J. McNeil, 2020, "Modelling volatile time series with v-transforms and copulas," Papers, arXiv.org, number 2002.10135, Feb, revised Jan 2021.
- Raphaël Douady, 2019, "Managing the Downside of Active and Passive Strategies: Convexity and Fragilities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-02488589, Nov, DOI: 10.3905/jpm.2019.1.112.
- Kiss, Tamás & Österholm, Pär, 2020, "Corona, Crisis and Conditional Heteroscedasticity," Working Papers, Örebro University, School of Business, number 2020:2, Mar.
- Marcelo Brutti Righi & Marlon Ruoso Moresco, 2020, "Inf-convolution and optimal risk sharing with countable sets of risk measures," Papers, arXiv.org, number 2003.05797, Mar, revised Mar 2022.
- Reichlin, Lucrezia & Ricco, Giovanni & Hasenzagl, Thomas, 2020, "Financial variables as predictors of real growth vulnerability," Discussion Papers, Deutsche Bundesbank, number 05/2020.
- Claudiu Albulescu & Aviral Tiwari & Qiang Ji, 2020, "Copula-based local dependence between energy, agriculture and metal commodity markets," Papers, arXiv.org, number 2003.04007, Mar.
- Item repec:imf:imfwpa:20/53 is not listed on IDEAS anymore
- Xingxing Ye & Raphaël Douady, 2019, "Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-02488592, Mar, DOI: 10.3390/jrfm12010002.
- Thomas R. Cook & Taeyoung Doh, 2019, "Assessing Macroeconomic Tail Risks in a Data-Rich Environment," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 19-12, Nov, DOI: 10.18651/RWP2019-12.
- Claudiu Tiberiu Albulescu & Aviral Kumar Tiwari & Qiang Ji, 2020, "Copula-based local dependence among energy, agriculture and metal commodities markets," Working Papers, HAL, number hal-02501815, Apr.
- Walther, Ansgar, 2020, "Financial policy in an exuberant world," Working Paper Series, European Central Bank, number 2380, Mar.
- Shane Barratt & Jonathan Tuck & Stephen Boyd, 2020, "Convex Optimization Over Risk-Neutral Probabilities," Papers, arXiv.org, number 2003.02878, Mar.
- Item repec:hal:wpaper:hal-02506848 is not listed on IDEAS anymore
- Christian Bongiorno & Damien Challet, 2020, "Covariance matrix filtering with bootstrapped hierarchies," Papers, arXiv.org, number 2003.05807, Mar.
- Taurai Muvunza, 2020, "An $\alpha$-Stable Approach to Modelling Highly Speculative Assets and Cryptocurrencies," Papers, arXiv.org, number 2002.09881, Feb, revised Jul 2023.
- Claudiu Tiberiu Albulescu, 2020, "Coronavirus and financial volatility: 40 days of fasting and fear," Working Papers, HAL, number hal-02501814, Mar.
- Hirdesh K. Pharasi & Eduard Seligman & Thomas H. Seligman, 2020, "Market states: A new understanding," Papers, arXiv.org, number 2003.07058, Mar, revised Nov 2020.
- Item repec:imf:imfwpa:20/52 is not listed on IDEAS anymore
- Boot, Arnoud W. A. & Carletti, Elena & Kotz, Hans-Helmut & Krahnen, Jan Pieter & Pelizzon, Loriana & Subrahmanyam, Marti G., 2020, "Corona and financial stability 2.0: Act jointly now, but also think about tomorrow," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 79.
- Edge, Rochelle M. & Liang, Jean Nellie, 2020, "Financial stability committees and the countercyclical capital buffer," Discussion Papers, Deutsche Bundesbank, number 04/2020.
- Flagmeier, Vanessa & Gawehn, Vanessa, 2020, "Do investors care about tax disclosure?," arqus Discussion Papers in Quantitative Tax Research, arqus - Arbeitskreis Quantitative Steuerlehre, number 254.
- Perez-Quiros, Gabriel & Rots, Eyno & Leiva-Leon, Danilo, 2020, "Real-time weakness of the global economy: a first assessment of the coronavirus crisis," Working Paper Series, European Central Bank, number 2381, Mar.
- Patrick Bolton & Ye Li & Neng Wang & Jinqiang Yang, 2020, "Dynamic Banking and the Value of Deposits," NBER Working Papers, National Bureau of Economic Research, Inc, number 26802, Feb.
- Masaaki Fukasawa, 2020, "Volatility has to be rough," Papers, arXiv.org, number 2002.09215, Feb.
- Shan Luo & Anthony Murphy, 2020, "Understanding the Exposure at Default Risk of Commercial Real Estate Construction and Land Development Loans," Working Papers, Federal Reserve Bank of Dallas, number 2007, Mar, DOI: 10.24149/wp2007.
- Jose Cruz & Daniel Sevcovic, 2020, "On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models," Papers, arXiv.org, number 2003.03851, Mar.