Report NEP-RMG-2020-07-20

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:

• Wei Wang & Huifu Xu & Tiejun Ma, 2020, "Quantitative Statistical Robustness for Tail-Dependent Law Invariant Risk Measures," Papers, arXiv.org, number 2006.15491, Jun.
• Wenlong Hu, 2020, "Risk management of guaranteed minimum maturity benefits under stochastic mortality and regime-switching by Fourier space time-stepping framework," Papers, arXiv.org, number 2006.15483, Jun, revised Dec 2020.
• Becker, Bo & Opp, Marcus & Saidi, Farzad, 2020, "Regulatory Forbearance in the U.S. Insurance Industry: The Effects of Eliminating Capital Requirements," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14373, Feb.
• Carlos Andr'es Araiza Iturria & Fr'ed'eric Godin & M'elina Mailhot, 2020, "Modeling and measuring incurred claims risk liabilities for a multi-line property and casualty insurer," Papers, arXiv.org, number 2007.07068, Jul.
• J. Arismendi-Zambrano & R. Azevedo, 2020, "Implicit Entropic Market Risk-Premium from Interest Rate Derivatives," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n303-20.pdf.
• Gropp, Reint & Koetter, Michael & McShane, William, 2020, "The Corona recession and bank stress in Germany," IWH Online, Halle Institute for Economic Research (IWH), number 4/2020.
• Max Nendel & Frank Riedel & Maren Diane Schmeck, 2020, "A decomposition of general premium principles into risk and deviation," Papers, arXiv.org, number 2006.14272, Jun, revised Dec 2020.
• Nendel, Max & Schmeck, Maren Diane & Riedel, Frank, 2020, "Decomposition of General Premium Principles into Risk and Deviation," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 638, Jul.
• Suarez, Javier & Mendicino, Caterina & Nikolov, Kalin & Rubio-Ramírez, Juan Francisco & Supera, Dominik, 2020, "Twin Defaults and Bank Capital Requirements," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14427, Feb.
• Chakrabarti, Arnab & Chakrabarti, Anindya S., 2020, "Fractional Differencing: (In)stability of Spectral Structure and Risk Measures of Financial Networks," IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department, number WP 2020-07-01, Jul.
• Item repec:imf:imfwpa:20/82 is not listed on IDEAS anymore

• Adrian, Tobias & Adams, Patrick & Boyarchenko, Nina & Giannone, Domenico, 2020, "Forecasting Macroeconomic Risks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14436, Feb.
• James B. Bullard, 2020, "Bullard Discusses U.S. Economy, COVID-19 Risk Management," Speech, Federal Reserve Bank of St. Louis, number 88235, Jun.
• Joseph P. Byrne & Boulis M. Ibrahim & Xiaoyu Zong, 2020, "Asset Prices and Capital Share Risks: Theory and Evidence," Papers, arXiv.org, number 2006.14023, Jun.
• Chambers, David & , & Spaenjers, Christophe, 2020, "Art as an Asset: Evidence from Keynes the Collector," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14357, Jan.
• Reichlin, Lucrezia & Ricco, Giovanni & Hasenzagl, Thomas, 2020, "Financial Variables as Predictors of Real Growth Vulnerability," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14322, Jan.
• Aslanidis, Nektarios & Christiansen, Charlotte & Kouretas, George, 2020, "Uncertainty and Downside Risk in International Stock Returns," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/376032.
• Persada, Pena & Gusti, Girang Permata, 2020, "The Mistake In The Implementation Of Risk Management In Indonesia (Case Study On Rabobank, Garuda," Thesis Commons, Center for Open Science, number 2rvgx, May, DOI: 10.31219/osf.io/2rvgx.
• Zhongjun Wang & Mengye Sun & A. M. Elsawah, 2020, "Improving MF-DFA model with applications in precious metals market," Papers, arXiv.org, number 2006.15214, Jun.
• Bischof, Jannis & Laux, Christian & Leuz, Christian, 2020, "Accounting for financial stability: Lessons from the financial crisis and future challenges," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 283.
• Dave Altig & Scott Baker & Jose Maria Barrero & Nick Bloom & Philip Bunn & Scarlet Chen & Steven J Davis & Julia Leather & Brent Meyer & Emil Mihaylov & Paul Mizen & Nick Parker & Thomas Renault & Paw, 2020, "Economic uncertainty before and during the Covid-19 pandemic," Bank of England working papers, Bank of England, number 876, Jun.
• Le-Yu Chen & Sokbae Lee, 2020, "Sparse Quantile Regression," Papers, arXiv.org, number 2006.11201, Jun, revised Mar 2023.
• Kim, Hyonok & Fukukawa, Hironori & Routledge, James, 2020, "A comparison of management and auditor going concern risk disclosure: Evidence from regulatory change in Japan," Working Paper Series, Management Innovation Research Center, School of Business Administration, Hitotsubashi University Business School, number 234, May.
• Item repec:imf:imfwpa:20/64 is not listed on IDEAS anymore

• Parisa Golbayani & Ionuc{t} Florescu & Rupak Chatterjee, 2020, "A comparative study of forecasting Corporate Credit Ratings using Neural Networks, Support Vector Machines, and Decision Trees," Papers, arXiv.org, number 2007.06617, Jul.
• Fleitas, Sebastian & Gowrisankaran, Gautam & Lo Sasso, Anthony, 2020, "Reclassification Risk in the Small Group Health Insurance Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14394, Feb.
• Ricardo Correa & Linda S. Goldberg, 2020, "Bank Complexity, Governance, and Risk," Staff Reports, Federal Reserve Bank of New York, number 930, Jun.
• Michael C. Fu & Bingqing Li & Rongwen Wu & Tianqi Zhang, 2020, "Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model," Papers, arXiv.org, number 2006.15054, Jun.
• Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen, 2020, "Robust Product Markovian Quantization," Papers, arXiv.org, number 2006.15823, Jun.
• Herv'e Andres & Pierre-Edouard Arrouy & Paul Bonnefoy & Alexandre Boumezoued & Sophian Mehalla, 2020, "Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient," Papers, arXiv.org, number 2006.13521, Jun.
• Archil Gulisashvili, 2020, "Large deviation principles for stochastic volatility models with reflection and three faces of the Stein and Stein model," Papers, arXiv.org, number 2006.15431, Jun.
• Martin Bladt & Alexander J. McNeil, 2020, "Time series copula models using d-vines and v-transforms," Papers, arXiv.org, number 2006.11088, Jun, revised Jul 2021.
• Heinrich, Markus, 2020, "Does the Current State of the Business Cycle matter for Real-Time Forecasting? A Mixed-Frequency Threshold VAR approach," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 219312.

Report NEP-RMG-2020-07-20

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: