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Report NEP-RMG-2020-05-18
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:
- Kei Nakagawa & Shuhei Noma & Masaya Abe, 2020, "RM-CVaR: Regularized Multiple $\beta$-CVaR Portfolio," Papers, arXiv.org, number 2004.13347, Apr, revised May 2020.
- Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel Felix Ahelegbey & Paolo Giudici, 2020, "Tail Risk Transmission: A Study of Iran Food Industry," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 189, May.
- Lundström, Christian, 2020, "On the Profitability of Momentum Strategies and Optimal Leverage Rules," Umeå Economic Studies, Umeå University, Department of Economics, number 974, May.
- Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020, "A dynamic conditional approach to portfolio weights forecasting," Papers, arXiv.org, number 2004.12400, Apr.
- Takaaki Koike & Yuri F. Saporito & Rodrigo S. Targino, 2020, "Avoiding zero probability events when computing Value at Risk contributions," Papers, arXiv.org, number 2004.13235, Apr, revised Jun 2022.
- Antoine Bommier & Daniel Harenberg & François Le Grand & Cormac O'Dea, 2020, "Recursive Preferences, the Value of Life, and Household Finance," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2231, May.
- Papadamou, Stephanos & Fassas, Athanasios & Kenourgios, Dimitris & Dimitriou, Dimitrios, 2020, "Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis," MPRA Paper, University Library of Munich, Germany, number 100020, May.
- Daniel Felix Ahelegbey & Paolo Giudici, 2020, "Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 188, May.
- Christos Bouras & Christina Christou & Rangan Gupta & Keagile Lesame, 2020, "Forecasting State- and MSA-Level Housing Returns of the US: The Role of Mortgage Default Risks," Working Papers, University of Pretoria, Department of Economics, number 202037, May.
- Boyan Jovanovic & Sai Ma, 2020, "Uncertainty and Growth Disasters," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1279, May, DOI: 10.17016/IFDP.2020.1279.
- Rowena Crawford & Cormac O'Dea, 2020, "Household Portfolios and Financial Preparedness for Retirement," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2232, Jan.
- Thomas Krabichler & Josef Teichmann, 2020, "A constraint-based notion of illiquidity," Papers, arXiv.org, number 2004.12394, Apr.
- Nicolas Soenen & Rudi Vander Vennet, 2020, "ECB Monetary Policy and Bank Default Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 20/997, May.
- Nieto Delfin, Maria Rosa & Ruiz Ortega, Esther, 2020, "Direct versus iterated multi-period Value at Risk," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 30349, May.
- Vlastakis, Nikolaos & Triantafyllou, Athanasios & Kellard, Neil, 2020, "Measuring Oil Price Shocks," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 27498, May.
- Abreu, Rafael Costa Berriel & Costa, Carlos Eugênio da, 2020, "Who should bear the risk of economic growth?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 817.