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Report NEP-RMG-2020-06-08
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:
- Irani, Rustom & Iyer, Rajkamal & Peydró, José-Luis & Meisenzahl, Ralf, 2020, "The Rise of Shadow Banking: Evidence from Capital Regulation," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 216799.
- Stefano Battiston & Petr Jakubik & Irene Monasterolo & Keywan Riahi & Bas van Ruijven, 2019, "Climate Risk Assessment of the Sovereign Bond Portfolio of European Insurers," EIOPA Financial Stability Report - Thematic Articles, EIOPA, Risks and Financial Stability Department, number 15, Dec.
- Ahmad Hajihasani & Ali Namaki & Nazanin Asadi & Reza Tehrani, 2020, "Non-Extensive Value-at-Risk Estimation During Times of Crisis," Papers, arXiv.org, number 2005.09036, May, revised Jan 2021.
- J Doyne Farmer & Alissa M Kleinnijenhuis & Paul Nahai-Williamson & Thom Wetzer, 2020, "Foundations of system-wide financial stress testing with heterogeneous institutions," Bank of England working papers, Bank of England, number 861, May.
- Mendicino, Caterina & Nikolov, Kalin & Ramirez, Juan-Rubio & Suarez, Javier & Supera, Dominik, 2020, "Twin defaults and bank capital requirements," Working Paper Series, European Central Bank, number 2414, May.
- Giuseppe Storti & Chao Wang, 2020, "Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles," Papers, arXiv.org, number 2005.04868, May, revised Mar 2021.
- Budhi Surya & Wenyuan Wang & Xianghua Zhao & Xiaowen Zhou, 2020, "Parisian excursion with capital injection for draw-down reflected Levy insurance risk process," Papers, arXiv.org, number 2005.09214, May.
- Ramiro Losada & Ricardo Laborda, 2020, "Non-alternative collective investment schemes, connectedness and systemic risk," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 7.
- Dennis Reinhardt & Stephen Reynolds & Rhiannon Sowerbutts & Carlos van Hombeeck, 2020, "Quality is our asset: the international transmission of liquidity regulation," Bank of England working papers, Bank of England, number 860, May.
- Alin Marius Andries & Steven Ongena & Nicu Sprincean & Radu Tunaru, 2020, "Risk Spillovers and Interconnectedness between Systemically Important Institutions," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-40, May.
- Abbassi, Puriya & Iyer, Rajkamal & Peydró, José-Luis & Soto, Paul E., 2020, "Stressed banks? Evidence from the largest-ever supervisory review," Discussion Papers, Deutsche Bundesbank, number 26/2020.
- Wenqian Huang & Előd Takáts, 2020, "Model risk at central counterparties: Is skin-in-the-game a game changer?," BIS Working Papers, Bank for International Settlements, number 866, May.
- Item repec:hal:wpaper:hal-02564462 is not listed on IDEAS anymore
- Filippo Curti & W. Scott Frame & Atanas Mihov, 2020, "Are the Largest Banking Organizations Operationally More Risky?," Working Papers, Federal Reserve Bank of Dallas, number 2016, May, DOI: 10.24149/wp2016.
- Adriana Grasso & Juan Passadore & Facundo Piguillem, 2020, "The Macroeconomics of Hedging Income Shares," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 2009, revised May 2020.
- Huang, qhuang, 2020, "Executive compensation and risk-taking of Chinese banks," MPRA Paper, University Library of Munich, Germany, number 100377, Apr, revised 18 Apr 2020.
- David Domeij & Fatih Guvenen & Rocio Madera & Christopher Busch, 2020, "Skewed Idiosyncratic Income Risk over the Business Cycle: Sources and Insurance," Working Papers, Barcelona School of Economics, number 1180, May.
- Sucarrat, Genaro, 2018, "The Log-GARCH Model via ARMA Representations," MPRA Paper, University Library of Munich, Germany, number 100386, Aug.
- Bubeck, Johannes & Maddaloni, Angela & Peydró, José-Luis, 2020, "Negative Monetary Policy Rates and Systemic Banks’ Risk-Taking: Evidence from the Euro Area Securities Register," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 216806.
- Schüler, Yves, 2020, "On the credit-to-GDP gap and spurious medium-term cycles," Discussion Papers, Deutsche Bundesbank, number 28/2020.
- Jiexia Ye & Juanjuan Zhao & Kejiang Ye & Chengzhong Xu, 2020, "Multi-Graph Convolutional Network for Relationship-Driven Stock Movement Prediction," Papers, arXiv.org, number 2005.04955, May, revised Oct 2020.
- Dempsey, Kyle P., 2020, "Macroprudential capital requirements with non-bank finance," Working Paper Series, European Central Bank, number 2415, May.
- Busch, Christopher & Ludwig, Alexander, 2020, "Higher-order income risk over the business cycle," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 20-022.
- Periklis Brakatsoulas & Jiri Kukacka, 2020, "Credit Rating Downgrade Risk on Equity Returns," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2020/13, May, revised May 2020.
- Marco Pagano & Christian Wagner & Josef Zechner, 2020, "Disaster Resilience and Asset Prices," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 563, May.