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Report NEP-RMG-2020-06-22
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:
- S. Broda & Juan Carlos Arismendi-Zambrano, 2020, "On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors∗," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n302-20.pdf.
- Lang, Jan Hannes & Forletta, Marco, 2020, "Cyclical systemic risk and downside risks to bank profitability," Working Paper Series, European Central Bank, number 2405, May.
- Roba Bairakdar & Lu Cao & Melina Mailhot, 2020, "Range Value-at-Risk: Multivariate and Extreme Values," Papers, arXiv.org, number 2005.12473, May.
- Christopher Demone & Olivia Di Matteo & Barbara Collignon, 2020, "Classical Decomposition of Markowitz Portfolio Selection," Staff Working Papers, Bank of Canada, number 20-21, Jun, DOI: 10.34989/swp-2020-21.
- Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Shahzad, Syed Jawad Hussain & Výrost,Tomáš, 2020, "From physical to financial contagion: the COVID-19 pandemic and increasing systemic risk among banks," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 218944.
- Beck, Thorsten & Radev, Dayen & Schnabel, Isabel, 2020, "Bank Resolution Regimes and Systemic Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14724, May.
- Item repec:bof:bofrdp:2020_010 is not listed on IDEAS anymore
- Falco J. Bargagli-Dtoffi & Massimo Riccaboni & Armando Rungi, 2020, "Machine Learning for Zombie Hunting. Firms Failures and Financial Constraints," Working Papers, IMT School for Advanced Studies Lucca, number 01/2020, Jun, revised Jun 2020.
- Bruno Bouchard & Adil Reghai & Benjamin Virrion, 2020, "Computation of Expected Shortfall by fast detection of worst scenarios," Papers, arXiv.org, number 2005.12593, May.
- Smith, Kevin & So, Eric C., 2020, "Measuring Risk Information," Research Papers, Stanford University, Graduate School of Business, number 3857, Jan.
- Svetlana Pashchenko & Ponpoje Porapakkarm, 2020, "Value of Life and Annuity Demand," Working Papers, Human Capital and Economic Opportunity Working Group, number 2020-042, Jun.
- Degryse, Hans & Bonfim, Diana & Cerqueiro, Geraldo & Ongena, Steven, 2020, "On-site inspecting zombie lending," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14754, May.
- Huisman, Ronald & Kyritsis, Evangelos & Stet, Cristian, 2020, "Fat Tails due to Variable Renewables and Insufficient Flexibility," Working Papers, VATT Institute for Economic Research, number 134.
- José Miguel Villena & Alexander Hynes, 2020, "The Chilean Foreign Exchange Market: An International Comparison, 1998-2019," Economic Statistics Series, Central Bank of Chile, number 132, May.
- Riccardo Doyle, 2020, "Using Network Interbank Contagion in Bank Default Prediction," Papers, arXiv.org, number 2005.12619, May, revised May 2020.
- Scott R. Baker & Nicholas Bloom & Stephen J. Terry, 2020, "Using Disasters to Estimate the Impact of Uncertainty," NBER Working Papers, National Bureau of Economic Research, Inc, number 27167, May.
- Xudong An & Lawrence R. Cordell & Sharon Tang, 2020, "Extended Loan Terms and Auto Loan Default Risk," Working Papers, Federal Reserve Bank of Philadelphia, number 20-18, May, DOI: 10.21799/frbp.wp.2020.18.
- Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xu, 2020, "The Term Structures of Loss and Gain Uncertainty," Staff Working Papers, Bank of Canada, number 20-19, Jun, DOI: 10.34989/swp-2020-19.
- Patrick A. Adams & Tobias Adrian & Nina Boyarchenko & Domenico Giannone & J. Nellie Liang & Eric Qian, 2020, "What Do Financial Conditions Tell Us about Risks to GDP Growth?," Liberty Street Economics, Federal Reserve Bank of New York, number 20200521, May.
- Jozef Barunik & Michael Ellington, 2020, "Dynamic Network Risk," Papers, arXiv.org, number 2006.04639, Jun, revised Jul 2020.
- Neofytos Rodosthenous & Hongzhong Zhang, 2020, "When to sell an asset amid anxiety about drawdowns," Papers, arXiv.org, number 2006.00282, May.
- Philippe Artzner & Karl-Theodor Eisele & Thorsten Schmidt, 2020, "Insurance-Finance Arbitrage," Papers, arXiv.org, number 2005.11022, May, revised Nov 2022.
- Xiao, Tim, 2020, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," SocArXiv, Center for Open Science, number jc43a, Jun, DOI: 10.31219/osf.io/jc43a.
- Marwan Izzeldin & Emmanuel Mamatzakis & Anthony Murphy & Mike G. Tsionas, 2020, "A Novel MIMIC-Style Model of European Bank Technical Efficiency and Productivity Growth," Working Papers, Federal Reserve Bank of Dallas, number 2012, May, DOI: 10.24149/wp2012.
- Cristina Arellano & Yan Bai & Gabriel Mihalache, 2020, "Deadly Debt Crises: COVID-19 in Emerging Markets," Staff Report, Federal Reserve Bank of Minneapolis, number 603, May, DOI: 10.21034/sr.603.
- Dhruv Sharma & Jean-Philippe Bouchaud & Marco Tarzia & Francesco Zamponi, 2020, "Good speciation and endogenous business cycles in a constraint satisfaction macroeconomic model," Papers, arXiv.org, number 2005.11748, May, revised Jun 2021.
- Hoppe-Wewetzer, Heidrun C. & Siemering, Christian, 2020, "Advertisement-Financed Credit Ratings," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14735, May.