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Report NEP-RMG-2020-04-20
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:
- Tomaso Aste, 2020, "Stress testing and systemic risk measures using multivariate conditional probability," Papers, arXiv.org, number 2004.06420, Apr, revised May 2021.
- Mpoha, Salifya & Bonga-Bonga, Lumengo, 2020, "Assessing the extent of exchange rate risk pricing in equity markets: emerging versus developed economies," MPRA Paper, University Library of Munich, Germany, number 99597, Apr.
- Alois Pichler & Ruben Schlotter, 2020, "Quantification of Risk in Classical Models of Finance," Papers, arXiv.org, number 2004.04397, Apr, revised Feb 2021.
- Giuseppe Brandi & T. Di Matteo, 2020, "A new multilayer network construction via Tensor learning," Papers, arXiv.org, number 2004.05367, Apr.
- Ivan Paya & David Peel & Konstantinos Georgalos, 2020, "On the Predictions of Cumulative Prospect Theory for Third and Fourth Order Preferences," Working Papers, Lancaster University Management School, Economics Department, number 293574809.
- Youssef Nassef, 2020, "The PCL Framework: A strategic approach to comprehensive risk management in response to climate change impacts," Papers, arXiv.org, number 2004.06144, Apr.
- Nassim Nicholas Taleb, 2020, "What You See and What You Don't See: The Hidden Moments of a Probability Distribution," Papers, arXiv.org, number 2004.05894, Apr.
- Xiaoling Tan & Jichang Zhao, 2020, "The illiquidity network of stocks in China's market crash," Papers, arXiv.org, number 2004.01917, Apr, revised Nov 2021.
- Scott R. Baker & Nicholas Bloom & Steven J. Davis & Kyle J. Kost & Marco C. Sammon & Tasaneeya Viratyosin, 2020, "The Unprecedented Stock Market Impact of COVID-19," NBER Working Papers, National Bureau of Economic Research, Inc, number 26945, Apr.
- Busch, Christopher & Ludwig, Alexander, 2020, "Higher-order income risk over the business cycle," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 274, DOI: 10.2139/ssrn.3562359.
- Laura Alfaro & Anusha Chari & Andrew N. Greenland & Peter K. Schott, 2020, "Aggregate and Firm-Level Stock Returns During Pandemics, in Real Time," NBER Working Papers, National Bureau of Economic Research, Inc, number 26950, Apr.
- Antoine Bozio & Simon Rabaté & Audrey Rain & Maxime Tô, 2019, "How should a points pension system be managed?," Post-Print, HAL, number halshs-02516413, Jun.
- Shi, Yun, 2020, "Timing Idiosyncratic Volatility and Dynamic Asset Allocation," SocArXiv, Center for Open Science, number 9kber, Apr, DOI: 10.31219/osf.io/9kber.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2020, "Inside the Mind of a Stock Market Crash," Papers, arXiv.org, number 2004.01831, Apr, revised May 2020.
- Kirill S. Glavatskiy & Mikhail Prokopenko & Adrian Carro & Paul Ormerod & Michael Harre, 2020, "Explaining herding and volatility in the cyclical price dynamics of urban housing markets using a large scale agent-based model," Papers, arXiv.org, number 2004.07571, Apr.
- Ye-Sheen Lim & Denise Gorse, 2020, "Deep Probabilistic Modelling of Price Movements for High-Frequency Trading," Papers, arXiv.org, number 2004.01498, Mar.