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Report NEP-RMG-2020-04-06
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:
- Daniel Felix Ahelegbey & Paolo Giudici & Fatemeh Mojtahedi, 2020, "Tail Risk Measurement In Crypto-Asset Markets," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 186, Mar.
- Yue-Jun Zhang & Elie Bouri & Shu-Jiao Ma & Rangan Gupta, 2020, "Risk Spillover between Bitcoin and Conventional Financial Markets: An Expectile-Based Approach," Working Papers, University of Pretoria, Department of Economics, number 202027, Mar.
- Paul Dommel & Alois Pichler, 2020, "Convex Risk Measures based on Divergence," Papers, arXiv.org, number 2003.07648, Mar, revised Mar 2020.
- Elena Dumitrescu & Sullivan Hué & Christophe Hurlin & Sessi Tokpavi, 2021, "Machine Learning or Econometrics for Credit Scoring: Let's Get the Best of Both Worlds," Working Papers, HAL, number hal-02507499, Jan.
- Daniel Bartl & Ludovic Tangpi, 2020, "Non-asymptotic convergence rates for the plug-in estimation of risk measures," Papers, arXiv.org, number 2003.10479, Mar, revised Oct 2022.
- Einmahl, John & Ferreira, Ana & de Haan, Laurens & Neves, C. & Zhou, C., 2020, "Spatial Dependence and Space-Time Trend in Extreme Events," Discussion Paper, Tilburg University, Center for Economic Research, number 2020-009.
- Raphaël Douady, 2019, "Managing the Downside of Active and Passive Strategies: Convexity and Fragilities," Post-Print, HAL, number hal-02488589, Nov, DOI: 10.3905/jpm.2019.1.112.
- Xingxing Ye & Raphaël Douady, 2019, "Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel," Post-Print, HAL, number hal-02488592, Mar, DOI: 10.3390/jrfm12010002.
- Felix Haase & Matthias Neuenkirch, 2020, "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Research Papers in Economics, University of Trier, Department of Economics, number 2020-01.
- Jaewon Choi & Jieun Lee, 2020, "Network-Based Measures of Systemic Risk in Korea," Working Papers, Economic Research Institute, Bank of Korea, number 2020-8, Mar.
- Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & Lingbo Li & David Martinez-Regoband & Fan Wu, 2020, "Cryptocurrency Trading: A Comprehensive Survey," Papers, arXiv.org, number 2003.11352, Mar, revised Jan 2022.
- Yuan, Huiling & Zhou, Yong & Xu, Lu & Sun, Yulei & Cui, Xiangyu, 2020, "A New Volatility Model: GQARCH-Ito Model," SocArXiv, Center for Open Science, number hkzdr, Mar, DOI: 10.31219/osf.io/hkzdr.
- Alexander Ludwig & Christopher Busch, 2020, "Higher-Order Income Risk over the Business Cycle," Working Papers, Barcelona School of Economics, number 1159, Mar.
- Wąs, Adam & Sulewski, Piotr & Kobus, Paweł, , "Risk exposure and risk awareness as a factor of farms resilience in Poland," 173rd EAAE Seminar, September 26-27, 2019, Bucharest, Romania, European Association of Agricultural Economists, number 302625, DOI: 10.22004/ag.econ.302625.
- Charles W. Calomiris & Harry Mamaysky & Ruoke Yang, 2020, "Measuring the Cost of Regulation: A Text-Based Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 26856, Mar.
- Anatoli Segura & Javier Suarez, 2019, "Optimally Solving Banks' Legacy Problems," Working Papers, CEMFI, number wp2019_1910, Apr.
- Kinouchi, Renato, 2018, "Philosophical issues related to risks and values," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 90470, Dec.
- Baumöhl, Eduard & Vyrost, Tomas, 2020, "Stablecoins as a crypto safe haven? Not all of them!," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 215484.