Report NEP-RMG-2020-05-04

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Maurice Doyon & Alphonse Singbo, 2020, "Canadian Agriculture and Risk Management Programs in the Context of the COVID-19 Crisis: A Brief Assessment," CIRANO Working Papers, CIRANO, number 2020s-20, Apr.
• Wanling Qiu & Simon Rudkin & Pawel Dlotko, 2020, "Refining Understanding of Corporate Failure through a Topological Data Analysis Mapping of Altman's Z-Score Model," Papers, arXiv.org, number 2004.10318, Apr.
• Samudra Dasgupta & Kathleen E. Hamilton & Arnab Banerjee, 2020, "Characterizing the memory capacity of transmon qubit reservoirs," Papers, arXiv.org, number 2004.08240, Apr, revised Sep 2022.
• Thomas B. King & Travis D. Nesmith & Anna L. Paulson & Todd Prono, 2020, "Central Clearing and Systemic Liquidity Risk," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-009r1, Jan, revised 06 May 2022, DOI: 10.17016/FEDS.2020.009r1.
• Harminder B. Nath & Robert D. Brooks, 2020, "Investor-herding and risk-profiles: A State-Space Model-based Assessment," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/20.
• Hledik, Juraj & Rastelli, Riccardo, 2020, "A dynamic network model to measure exposure diversification in the Austrian interbank market," ESRB Working Paper Series, European Systemic Risk Board, number 109, Apr.
• Paul D McNelis & James Yetman, 2020, "Volatility spillovers and capital buffers among the G-SIBs," BIS Working Papers, Bank for International Settlements, number 856, Apr.
• Tam Tran-The, 2020, "Modeling Institutional Credit Risk with Financial News," Papers, arXiv.org, number 2004.08204, Apr.
• Mathias Drehmann & Marc Farag & Nicola Tarashev & Kostas Tsatsaronis, 2020, "Buffering Covid-19 losses - the role of prudential policy," BIS Bulletins, Bank for International Settlements, number 9, Apr.
• Bubeck, Johannes & Maddaloni, Angela & Peydró, José-Luis, 2020, "Negative monetary policy rates and systemic banks’ risk-taking: evidence from the euro area securities register," Working Paper Series, European Central Bank, number 2398, Apr.
• Andreas Schrimpf & Hyun Song Shin & Vladyslav Sushko, 2020, "Leverage and margin spirals in fixed income markets during the Covid-19 crisis," BIS Bulletins, Bank for International Settlements, number 2, Apr.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020, "Persistence in the Market Risk Premium: Evidence across Countries," CESifo Working Paper Series, CESifo, number 8211.
• Bo Young Chang & Greg Orosi, 2020, "A Simple Method for Extracting the Probability of Default from American Put Option Prices," Staff Working Papers, Bank of Canada, number 20-15, Apr, DOI: 10.34989/swp-2020-15.
• Maria Di Noia & Davide Moretti, 2020, "Credit risk statistical information of the Bank of Italy and the new AnaCredit data collection," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 554, Apr.
• Wei Wei & Asger Lunde, 2020, "Identifying Risk Factors and Their Premia: A Study on Electricity Prices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/20.
• Iñaki Aldasoro & Bryan Hardy & Maximilian Jager, 2020, "The Janus Face of bank geographic complexity," BIS Working Papers, Bank for International Settlements, number 858, Apr.
• José María Serena Garralda & Serafeim Tsoukas, 2020, "International bank lending and corporate debt structure," BIS Working Papers, Bank for International Settlements, number 857, Apr.
• Luigi Bocola & Guido Lorenzoni, 2020, "Risk Sharing Externalities," NBER Working Papers, National Bureau of Economic Research, Inc, number 26985, Apr.
• Michel Beine & Gary Charness & Arnaud Dupuy & Majlinda Joxhe, 2020, "Shaking Things Up: On the Stability of Risk and Time Preferences," CESifo Working Paper Series, CESifo, number 8187.
• Federico, Giovanni & Martinelli Lasheras, Pablo, 2020, "Risk management in traditional agriculture: intercropping in Italian wine production," IFCS - Working Papers in Economic History.WH, Universidad Carlos III de Madrid. Instituto Figuerola, number 30249, Apr.
• Christine Laudenbach & Benjamin Loos & Jenny Pirschel & Johannes Wohlfart, 2020, "The Trading Response of Individual Investors to Local Bankruptcies," CESifo Working Paper Series, CESifo, number 8191.
• Syed Jawad Hussain Shahzad & Rangan Gupta & Riza Demirer & Christian Pierdzioch, 2020, "Oil-Shocks and Directional Predictability of Macroeconomic Uncertainties of Developed Economies: Evidence from High-Frequency Data," Working Papers, University of Pretoria, Department of Economics, number 202031, Apr.
• Pascal J. Maenhout & Andrea Vedolin & Hao Xing, 2020, "Generalized Robustness and Dynamic Pessimism," NBER Working Papers, National Bureau of Economic Research, Inc, number 26970, Apr.
• Benjamin Avanzi & Gregory Clive Taylor & Bernard Wong & Xinda Yang, 2020, "On the modelling of multivariate counts with Cox processes and dependent shot noise intensities," Papers, arXiv.org, number 2004.11169, Apr, revised Dec 2020.
• Sirio Aramonte & Fernando Avalos, 2020, "The recent distress in corporate bond markets: cues from ETFs," BIS Bulletins, Bank for International Settlements, number 6, Apr.
• Jean-Baptiste Hasse & Quentin Lajaunie, 2020, "Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis," Working Papers, HAL, number halshs-02549044, Apr.
• Bakas, Dimitrios & Triantafyllou, Athanasios, 2020, "Commodity Price Volatility and the Economic Uncertainty of Pandemics," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 27364, Apr.
• Bakas, Dimitrios & Ioakimidis, Marilou & Triantafyllou, Athanasios, 2020, "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 27361, Apr.
• Vadlamani Ravi & Vadlamani Madhav, 2020, "Optimizing the reliability of a bank with Logistic Regression and Particle Swarm Optimization," Papers, arXiv.org, number 2004.11122, Mar.
• Christophe Croux & Julapa Jagtiani & Tarunsai Korivi & Milos Vulanovic, 2020, "Important Factors Determining Fintech Loan Default: Evidence from the LendingClub Consumer Platform," Working Papers, Federal Reserve Bank of Philadelphia, number 20-15, Apr, DOI: 10.21799/frbp.wp.2020.15.

Report NEP-RMG-2020-05-04

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: