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Report NEP-RMG-2020-07-27
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:
- Sana Ben Hamida & Wafa Abdelmalek & Fathi Abid, 2020, "Applying Dynamic Training-Subset Selection Methods Using Genetic Programming for Forecasting Implied Volatility," Papers, arXiv.org, number 2007.07207, Jun.
- Fathi Abid & Wafa Abdelmalek & Sana Ben Hamida, 2020, "Dynamic Hedging using Generated Genetic Programming Implied Volatility Models," Papers, arXiv.org, number 2006.16407, Jun.
- E. Ramos-P'erez & P. J. Alonso-Gonz'alez & J. J. N'u~nez-Vel'azquez, 2020, "Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network," Papers, arXiv.org, number 2006.16383, Jun, revised Aug 2020.
- George Bouzianis & Lane P. Hughston, 2020, "Optimal Hedging in Incomplete Markets," Papers, arXiv.org, number 2006.12989, Jun, revised Sep 2020.
- Item repec:imf:imfwpa:20/103 is not listed on IDEAS anymore
- Josef Danv{e}k & J. Posp'iv{s}il, 2020, "Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models," Papers, arXiv.org, number 2006.13181, Jun.
- Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2020, "Large Time-Varying Volatility Models for Electricity Prices," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 05/2020, Jul.
- Elena Andreou & Eric Ghysels, 2020, "Predicting the VIX and the Volatility Risk Premium: The Role of Short-run Funding Spreads Volatility Factors," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 04-2020, Mar.
- Foley, Sean & Kwan, Amy & Philip, Richard & Ødegaard, Bernt Arne, 2020, "Contagious Margin Calls: How Covid-19 threatened global stock market liquidity," UiS Working Papers in Economics and Finance, University of Stavanger, number 2020/1, Jul.
- Spatareanu, M. & Manole, V. & Kabiri, A. & Roland, I., 2020, "Bank Default Risk Propagation along Supply Chains: Evidence from the U.K," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2058, Jun.
- Mr. Raphael A Espinoza & Miguel A. Segoviano & Ji Yan, 2020, "Systemic Risk Modeling: How Theory Can Meet Statistics," IMF Working Papers, International Monetary Fund, number 2020/054, Mar.
- Contessi, Silvio & De Pace, Pierangelo, 2020, "The International Spread of COVID-19 Stock Market Collapses," Economics Department, Working Paper Series, Economics Department, Pomona College, number 1013, Jun, revised 25 Jun 2020.
- Hammitt, James K., 2020, "Valuing mortality risk in the time of covid-19," TSE Working Papers, Toulouse School of Economics (TSE), number 20-1115, Jun.
- David R. Ba~nos & Marc Lagunas-Merino & Salvador Ortiz-Latorre, 2020, "Variance and interest rate risk in unit-linked insurance policies," Papers, arXiv.org, number 2006.14833, Jun.
- Mr. Ralph Chami & Mr. Thomas F. Cosimano & Ms. Celine Rochon & Julieta Yung, 2020, "Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment," IMF Working Papers, International Monetary Fund, number 2020/053, Mar.
- Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020, "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series, CESifo, number 8324.
- Gambacorta, Leonardo & Huang, Yiping & Qiu, Han & Wang, Jingyi, 2019, "How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14259, Dec.
- Soheil Ghili & Ben Handel & Igal Hendel & Michael D. Whinston, 2019, "Optimal Long-Term Health Insurance Contracts: Characterization, Computation, and Welfare Effects," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2218R, Dec, revised Jul 2020.
- Qingyin Ge & Yunuo Ma & Yuezhi Liao & Rongyu Li & Tianle Zhu, 2020, "Risk Management and Return Prediction," Papers, arXiv.org, number 2007.01194, Jun.
- Laurent Ferrara & Joseph Yapi, 2020, "Measuring Exchange Rate Risks During Periods of Uncertainty," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-60, Jun.
- Nicolas Ettlin & Walter Farkas & Andreas Kull & Alexander Smirnow, 2020, "Optimal Risk-Sharing Across a Network of Insurance Companies," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-52, Jun.
- Item repec:imf:imfhtn:2018/004 is not listed on IDEAS anymore
- Donggyu Kim & Xinyu Song & Yazhen Wang, 2020, "Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency," Papers, arXiv.org, number 2006.12039, Jun.
- Massimo Guidolin & Manuela Pedio, 2020, "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 20145.
- Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2020, "Tempered Stable Processes with Time Varying Exponential Tails," Papers, arXiv.org, number 2006.07669, Jun, revised Aug 2020.
- Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2020, "Networks in risk spillovers: A multivariate GARCH perspective," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2020:16.
- Ngai, Liwa Rachel & Sheedy, Kevin, 2020, "The Ins and Outs of Selling Houses: Understanding Housing Market Volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14331, Jan.