Report NEP-RMG-2020-08-17

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:

• Matteo Burzoni & Cosimo Munari & Ruodu Wang, 2020. "Adjusted Expected Shortfall," Papers 2007.08829, arXiv.org, revised Aug 2021.
• Henry Penikas, 2020. "IRB Asset and Default Correlation: Rationale for the Macroprudential Add-ons to the Risk-Weights," Bank of Russia Working Paper Series wps56, Bank of Russia.
• International Monetary Fund, 2020. "Lao People’s Democratic Republic: Technical Assistance Report-Risk-Based Banking Supervision," IMF Staff Country Reports 2020/206, International Monetary Fund.
• Ms. TengTeng Xu & Kun Hu & Mr. Udaibir S Das, 2019. "Bank Profitability and Financial Stability," IMF Working Papers 2019/005, International Monetary Fund.
• Karim Barigou & Lukasz Delong, 2021. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Working Papers hal-02896141, HAL.
• Vica Tendenan & Richard Gerlach & Chao Wang, 2020. "Tail risk forecasting using Bayesian realized EGARCH models," Papers 2008.05147, arXiv.org, revised Aug 2020.
• Chonghu Guan & Zuo Quan Xu & Rui Zhou, 2020. "Dynamic optimal reinsurance and dividend-payout in finite time horizon," Papers 2008.00391, arXiv.org, revised Jun 2022.
• Tzougas, George & Karlis, Dimitris, 2020. "An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion," LSE Research Online Documents on Economics 104027, London School of Economics and Political Science, LSE Library.
• Item repec:fip:a00001:88480 is not listed on IDEAS anymore

• Maria Mercè Claramunt & Maite Màrmol, 2020. "Refundable deductible insurance," Working Papers hal-02909299, HAL.
• Pierre-Emmanuel Darpeix & Caroline Le Moign & Nicolas Même & Marko Novakovic, 2020. "Overview and Inventory of French Funds' Liquidity Management Tools," Working papers 775, Banque de France.
• Prastya, Darya Yudanta, 2020. "How Risk-taker Evaluate Risk-taking Behaviour Based on Entrepreneurial Orientation," OSF Preprints 85p32, Center for Open Science.
• Ji, Qiang & Liu, Bing-Yue & Nguyen, Duc Khuong & Fan, Ying, 2019. "Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates," MPRA Paper 101387, University Library of Munich, Germany, revised Jan 2020.
• Fabio Busetti & Michele Caivano & Davide Delle Monache & Claudia Pacella, 2020. "The time-varying risk of Italian GDP," Temi di discussione (Economic working papers) 1288, Bank of Italy, Economic Research and International Relations Area.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Zong, Xiaoyu, 2020. "Asset Prices and Capital Share Risks: Theory and Evidence," MPRA Paper 101781, University Library of Munich, Germany.
• Friberg, Richard, 2019. "All the bottles in one basket? Diversification and product portfolio composition," CEPR Discussion Papers 14119, C.E.P.R. Discussion Papers.
• McGowan, Danny & Nguyen, Huyen, 2020. "To securitise or to price credit default risk?," IWH Discussion Papers 10/2020, Halle Institute for Economic Research (IWH), revised 2020.
• Toshiaki Ogawa & Masato Ubukata & Toshiaki Watanabe, 2020. "Stock Return Predictability and Variance Risk Premia around the ZLB," IMES Discussion Paper Series 20-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
• Elliott, M. & Georg, C-P. & Hazell, J., 2020. "Systemic Risk-Shifting in Financial Networks," Cambridge Working Papers in Economics 2068, Faculty of Economics, University of Cambridge.
• Thomas Mayrhofer & Hendrik Schmitz, 2020. "Prudence and prevention - Empirical evidence," Working Papers CIE 134, Paderborn University, CIE Center for International Economics.
• Rui Zhou & Daniel P. Palomar, 2020. "Solving High-Order Portfolios via Successive Convex Approximation Algorithms," Papers 2008.00863, arXiv.org.
• Olivier Mesly & David W. Shanafelt & Nicolas Huck, 2020. "Dysfunctional markets: A spray of prey perspective," Working Papers of BETA 2020-34, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Jose M Garrido & Mr. Wolfgang Bergthaler & Ms. Chanda M DeLong & Juliet Johnson & Amira Rasekh & Anjum Rosha & Natalia Stetsenko, 2019. "The Use of Data in Assessing and Designing Insolvency Systems," IMF Working Papers 2019/027, International Monetary Fund.
• Nicholas Moehle & Mykel J. Kochenderfer & Stephen Boyd & Andrew Ang, 2020. "Tax-Aware Portfolio Construction via Convex Optimization," Papers 2008.04985, arXiv.org, revised Feb 2021.
• Marta Kłosok & Marcin Chlebus, 2020. "Towards better understanding of complex machine learning models using Explainable Artificial Intelligence (XAI) - case of Credit Scoring modelling," Working Papers 2020-18, Faculty of Economic Sciences, University of Warsaw.