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Report NEP-RMG-2020-06-15
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:
- Claude Lefèvre & Stéphane Loisel & Pierre Montesinos, 2020, "Bounding basis risk using s-convex orders on Beta-unimodal distributions," Working Papers, HAL, number hal-02611208, May.
- Gomez-Gonzalez, Jose Eduardo & Hirs-Garzon, Jorge & Uribe, Jorge M., 2020, "Spillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial markets," Working papers, Red Investigadores de Economía, number 46, Jun.
- Vsevolod Malinovskii, 2020, "Value-at-Risk substitute for non-ruin capital is fallacious and redundant," Papers, arXiv.org, number 2005.05428, May.
- Weidong Tian & Zimu Zhu, 2020, "A Portfolio Choice Problem Under Risk Capacity Constraint," Papers, arXiv.org, number 2005.13741, May, revised Dec 2021.
- Alexandra de Jong & Alin Draghiciu & Linda Fache Rousová & Alessandro Fontana & Elisa Letizia, 2019, "Impact of Variation Margining on EU Insurers’ Liquidity: An Analysis of Interest Rate Swaps Positions," EIOPA Financial Stability Report - Thematic Articles, EIOPA, Risks and Financial Stability Department, number 16, Dec.
- Julia Darby & Jun Gao & Siobhan Lucey & Sheng Zhu, 2019, "Is heightened political uncertainty priced in stock returns? Evidence from the 2014 Scottish independence referendum," Working Papers, University of Strathclyde Business School, Department of Economics, number 1913, Sep.
- Item repec:hal:wpaper:hal-02619589 is not listed on IDEAS anymore
- Zihao Zhang & Stefan Zohren & Stephen Roberts, 2020, "Deep Learning for Portfolio Optimization," Papers, arXiv.org, number 2005.13665, May, revised Jan 2021.
- Andrea Carriero & Todd E. Clark & Marcellino Massimiliano, 2020, "Nowcasting Tail Risks to Economic Activity with Many Indicators," Working Papers, Federal Reserve Bank of Cleveland, number 20-13R2, May, revised 22 Sep 2020, DOI: 10.26509/frbc-wp-202013r2.
- Item repec:wrk:wrkemf:32 is not listed on IDEAS anymore
- Jannic Cutura & Gianpaolo Parise & Andreas Schrimpf, 2020, "Debt De-risking," BIS Working Papers, Bank for International Settlements, number 868, Jun.
- Raymond Fisman & April Knill & Sergey Mityakov & Margarita Portnykh, 2020, "Political Beta," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series, Boston University - Department of Economics, number dp-342, Mar.
- Masato Hisakado & Shintaro Mori, 2020, "Parameter estimation of default portfolios using the Merton model and Phase transition," Papers, arXiv.org, number 2005.07967, May.
- Afees A. Salisu & Rangan Gupta & Elie Bouri & Qiang Ji, 2020, "The Role of Global Economic Conditions in Forecasting Gold Market Volatility: Evidence from a GARCH-MIDAS Approach," Working Papers, University of Pretoria, Department of Economics, number 202043, May.
- Yuri F. Saporito, 2020, "Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: a Malliavin Representation," Papers, arXiv.org, number 2005.04297, May.
- Van Bekkum, Sjoerd & Gabarró, Marc & Irani, Rustom & Peydró, José-Luis, 2019, "Take It to the Limit? The Effects of Household Leverage Caps," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 216797.
- Item repec:gla:glaewp:2019-03 is not listed on IDEAS anymore
- Bert Loudis & Daniel Nguyen & Carlo Wix, 2020, "Analyzing the Community Bank Leverage Ratio," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2020-05-26-1, May, DOI: 10.17016/2380-7172.2516.
- Thibaut Duprey, 2020, "Canadian Financial Stress and Macroeconomic Conditions," Discussion Papers, Bank of Canada, number 2020-4, Jun, DOI: 10.34989/sdp-2020-4.
- Claudio Michelacci & Luigi Paciello, 2020, "Aggregate Risk or Aggregate Uncertainty? Evidence from UK Households," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 2006, revised Apr 2020.
- Dario Bonciani & Martino Ricci, 2020, "The global effects of global risk and uncertainty," Bank of England working papers, Bank of England, number 863, May.
- Brice Corgnet & Camille Cornand & Nobuyuki Hanaki, 2020, "Tail events, emotions and risk taking," Working Papers, HAL, number halshs-02613344.
- Elena Carletti & Tommaso Oliviero & Marco Pagano & Loriana Pelizzon & Marti G. Subrahmanyam, 2020, "The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 566, May, revised 20 Jul 2020.
- Christian Dehm & Thai Nguyen & Mitja Stadje, 2020, "Non-concave expected utility optimization with uncertain time horizon," Papers, arXiv.org, number 2005.13831, May, revised Oct 2021.
- Agar Brugiavini & Raluca Elena Buia & Matija Kovacic & Cristina Elisa Orso, 2020, "Adverse childhood experiences and risk behaviours later in life: Evidence from SHARE countries," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2020:08.
- Ian M. Trotter & Lu'is A. C. Schmidt & Bruno C. M. Pinto & Andrezza L. Batista & J'essica Pellenz & Maritza Isidro & Aline Rodrigues & Attawan G. S. Suela & Loredany Rodrigues, 2020, "COVID-19 and Global Economic Growth: Policy Simulations with a Pandemic-Enabled Neoclassical Growth Model," Papers, arXiv.org, number 2005.13722, May, revised Jun 2020.
- International Monetary Fund, 2020, "Benin: Sixth Review under the Extended Credit Facility Arrangement, and Request for Augmentation of Access-Press Release; Staff Report; and Statement by the Executive Director for Benin," IMF Staff Country Reports, International Monetary Fund, number 2020/175, May.