Report NEP-RMG-2020-05-11

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:

• Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020, "Deep xVA solver -- A neural network based counterparty credit risk management framework," Papers, arXiv.org, number 2005.02633, May, revised Dec 2022.
• Takaaki Koike & Marius Hofert, 2020, "Modality for Scenario Analysis and Maximum Likelihood Allocation," Papers, arXiv.org, number 2005.02950, May, revised Nov 2020.
• Brian Huge & Antoine Savine, 2020, "Differential Machine Learning," Papers, arXiv.org, number 2005.02347, May, revised Sep 2020.
• Sergio A. Correia & Kevin F. Kiernan & Matthew P. Seay & Cindy M. Vojtech, 2020, "Primer on the Forward-Looking Analysis of Risk Events (FLARE) Model: A Top-Down Stress Test Model," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-015, Feb, DOI: 10.17016/FEDS.2020.015.
• Jager, Maximilian & Siemsen, Thomas & Vilsmeier, Johannes, 2020, "Interbank risk assessment: A simulation approach," Discussion Papers, Deutsche Bundesbank, number 23/2020.
• Marco Migueis, 2020, "Regulatory Arbitrage in the Use of Insurance in the New Standardized Approach for Operational Risk Capital," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2020-03-30, Mar, DOI: 10.17016/2380-7172.2479.
• Piero Mazzarisi & Silvia Zaoli & Carlo Campajola & Fabrizio Lillo, 2020, "Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages," Papers, arXiv.org, number 2005.01160, May, revised May 2021.
• Christa Cuchiero & Wahid Khosrawi & Josef Teichmann, 2020, "A generative adversarial network approach to calibration of local stochastic volatility models," Papers, arXiv.org, number 2005.02505, May, revised Sep 2020.
• Stefanie Behncke, 2020, "Effects of macroprudential policies on bank lending and credit risks," Working Papers, Swiss National Bank, number 2020-06.
• Lucio Fernandez-Arjona, 2020, "A neural network model for solvency calculations in life insurance," Papers, arXiv.org, number 2005.02318, May.
• Ahnert, Lukas & Vogt, Pascal & Vonhoff, Volker & Weigert, Florian, 2020, "Regulatory stress testing and bank performance," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-03.
• Lucio Fernandez Arjona & Damir Filipović, 2020, "A machine learning approach to portfolio pricing and risk management for high-dimensional problems," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-28, Apr.
• Ros, Greg, 2020, "The making of a cyber crash: a conceptual model for systemic risk in the financial sector," ESRB Occasional Paper Series, European Systemic Risk Board, number 16, May.
• Arjun Prakash & Nick James & Max Menzies & Gilad Francis, 2020, "Structural clustering of volatility regimes for dynamic trading strategies," Papers, arXiv.org, number 2004.09963, Apr, revised Nov 2021.
• Dinghai Xu, 2020, "Canadian Stock Market Volatility under COVID-19," Working Papers, University of Waterloo, Department of Economics, number 2001, May, revised May 2020.
• Michael Nwogugu, 2020, "Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences," Papers, arXiv.org, number 2005.01709, May.
• Lucio Fernandez-Arjona & Damir Filipovi'c, 2020, "A machine learning approach to portfolio pricing and risk management for high-dimensional problems," Papers, arXiv.org, number 2004.14149, Apr, revised May 2022.
• Alan L. Lewis, 2020, "US Equity Risk Premiums during the COVID-19 Pandemic," Papers, arXiv.org, number 2004.13871, Apr.
• Svetlana Litvinova & Mervyn J. Silvapulle, 2020, "Consistency of full-sample bootstrap for estimating high-quantile, tail probability, and tail index," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 15/20.
• Tian Guo & Nicolas Jamet & Valentin Betrix & Louis-Alexandre Piquet & Emmanuel Hauptmann, 2020, "ESG2Risk: A Deep Learning Framework from ESG News to Stock Volatility Prediction," Papers, arXiv.org, number 2005.02527, May.
• Kim, Jihyun & Park, Joon & Wang, Bin, 2020, "Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments," TSE Working Papers, Toulouse School of Economics (TSE), number 20-1096, May.
• Johannes Ruf & Weiguan Wang, 2020, "Hedging with Linear Regressions and Neural Networks," Papers, arXiv.org, number 2004.08891, Apr, revised Jun 2021.
• J. Su & Q. Zhong, 2020, "Stocks Vote with Their Feet: Can a Piece of Paper Document Fights the COVID-19 Pandemic?," Papers, arXiv.org, number 2005.02034, May.
• Naji Massad & J{o}rgen Vitting Andersen, 2020, "Defining an intrinsic stickiness parameter of stock price returns," Papers, arXiv.org, number 2005.02351, May.
• Alexander Arimond & Damian Borth & Andreas Hoepner & Michael Klawunn & Stefan Weisheit, 2020, "Neural Networks and Value at Risk," Papers, arXiv.org, number 2005.01686, May, revised May 2020.
• Chung-Han Hsieh, 2020, "On Feedback Control in Kelly Betting: An Approximation Approach," Papers, arXiv.org, number 2004.14048, Apr, revised May 2020.
• Jarrow, Robert A. & Kwok, Simon S., 2020, "Inferring Financial Bubbles from Option Data," Working Papers, University of Sydney, School of Economics, number 2020-04, Apr, revised Jun 2021.
• Christine Laudenbach & Benjamin Loos & Jenny Pirschl & Johannes Wohlfart, 2020, "The Trading Response of Individual Investors to Local Bankruptcies," CEBI working paper series, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI), number 20-08, Mar.
• Wenzhi Ding & Ross Levine & Chen Lin & Wensi Xie, 2020, "Corporate Immunity to the COVID-19 Pandemic," NBER Working Papers, National Bureau of Economic Research, Inc, number 27055, Apr.
• Berardino Palazzo & Jie Yang, 2019, "Spike in 2019Q1 Leverage Ratios: The Impact of Operating Leases," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2019-12-13-2, Dec, DOI: 10.17016/2380-7172.2464.
• Vishwas Kukreti & Hirdesh K. Pharasi & Priya Gupta & Sunil Kumar, 2020, "A perspective on correlation-based financial networks and entropy measures," Papers, arXiv.org, number 2004.09448, Apr.
• Humayra Shoshi & Indranil SenGupta, 2020, "Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model," Papers, arXiv.org, number 2004.14862, Apr, revised Feb 2021.

Report NEP-RMG-2020-05-11

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: