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. Stan 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:

• S. Broda & Juan Carlos Arismendi-Zambrano, 2020. "On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors∗," Economics Department Working Paper Series n302-20.pdf, Department of Economics, National University of Ireland - Maynooth.
• Lang, Jan Hannes & Forletta, Marco, 2020. "Cyclical systemic risk and downside risks to bank profitability," Working Paper Series 2405, European Central Bank.
• Roba Bairakdar & Lu Cao & Melina Mailhot, 2020. "Range Value-at-Risk: Multivariate and Extreme Values," Papers 2005.12473, arXiv.org.
• Christopher Demone & Olivia Di Matteo & Barbara Collignon, 2020. "Classical Decomposition of Markowitz Portfolio Selection," Staff Working Papers 20-21, Bank of Canada.
• 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 218944, ZBW - Leibniz Information Centre for Economics.
• Beck, Thorsten & Radev, Dayen & Schnabel, Isabel, 2020. "Bank Resolution Regimes and Systemic Risk," CEPR Discussion Papers 14724, C.E.P.R. Discussion Papers.
• Ambrocio, Gene & Hasan, Iftekhar & Jokivuolle, Esa & Ristolainen, Kim, 2020. "Are bank capital requirements optimally set? Evidence from researchers’ views," Research Discussion Papers 10/2020, Bank of Finland.
• Falco J. Bargagli-Dtoffi & Massimo Riccaboni & Armando Rungi, 2020. "Machine Learning for Zombie Hunting. Firms Failures and Financial Constraints," Working Papers 01/2020, IMT School for Advanced Studies Lucca, revised Jun 2020.
• Bruno Bouchard & Adil Reghai & Benjamin Virrion, 2020. "Computation of Expected Shortfall by fast detection of worst scenarios," Papers 2005.12593, arXiv.org.
• Smith, Kevin & So, Eric C., 2020. "Measuring Risk Information," Research Papers 3857, Stanford University, Graduate School of Business.
• Svetlana Pashchenko & Ponpoje Porapakkarm, 2020. "Value of Life and Annuity Demand," Working Papers 2020-042, Human Capital and Economic Opportunity Working Group.
• Degryse, Hans & Bonfim, Diana & Cerqueiro, Geraldo & Ongena, Steven, 2020. "On-site inspecting zombie lending," CEPR Discussion Papers 14754, C.E.P.R. Discussion Papers.
• Huisman, Ronald & Kyritsis, Evangelos & Stet, Cristian, 2020. "Fat Tails due to Variable Renewables and Insufficient Flexibility," Working Papers 134, VATT Institute for Economic Research.
• José Miguel Villena & Alexander Hynes, 2020. "The Chilean Foreign Exchange Market: An International Comparison, 1998-2019," Economic Statistics Series 132, Central Bank of Chile.
• Riccardo Doyle, 2020. "Using Network Interbank Contagion in Bank Default Prediction," Papers 2005.12619, arXiv.org, revised May 2020.
• Scott R. Baker & Nicholas Bloom & Stephen J. Terry, 2020. "Using Disasters to Estimate the Impact of Uncertainty," NBER Working Papers 27167, National Bureau of Economic Research, Inc.
• Xudong An & Lawrence R. Cordell & Sharon Tang, 2020. "Extended Loan Terms and Auto Loan Default Risk," Working Papers 20-18, Federal Reserve Bank of Philadelphia.
• Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xu, 2020. "The Term Structures of Loss and Gain Uncertainty," Staff Working Papers 20-19, Bank of Canada.
• 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 20200521, Federal Reserve Bank of New York.
• Jozef Barunik & Michael Ellington, 2020. "Dynamic Network Risk," Papers 2006.04639, arXiv.org, revised Jul 2020.
• Neofytos Rodosthenous & Hongzhong Zhang, 2020. "When to sell an asset amid anxiety about drawdowns," Papers 2006.00282, arXiv.org.
• Philippe Artzner & Karl-Theodor Eisele & Thorsten Schmidt, 2020. "Insurance-Finance Arbitrage," Papers 2005.11022, arXiv.org, revised Nov 2022.
• Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," SocArXiv jc43a, Center for Open Science.
• 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 2012, Federal Reserve Bank of Dallas.
• Cristina Arellano & Yan Bai & Gabriel Mihalache, 2020. "Deadly Debt Crises: COVID-19 in Emerging Markets," Staff Report 603, Federal Reserve Bank of Minneapolis.
• Dhruv Sharma & Jean-Philippe Bouchaud & Marco Tarzia & Francesco Zamponi, 2020. "Good speciation and endogenous business cycles in a constraint satisfaction macroeconomic model," Papers 2005.11748, arXiv.org, revised Jun 2021.
• Hoppe-Wewetzer, Heidrun C. & Siemering, Christian, 2020. "Advertisement-Financed Credit Ratings," CEPR Discussion Papers 14735, C.E.P.R. Discussion Papers.