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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. 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:
- Matteo Burzoni & Cosimo Munari & Ruodu Wang, 2020, "Adjusted Expected Shortfall," Papers, arXiv.org, number 2007.08829, Jul, 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, Bank of Russia, number wps56, Jul.
- International Monetary Fund, 2020, "Lao People’s Democratic Republic: Technical Assistance Report-Risk-Based Banking Supervision," IMF Staff Country Reports, International Monetary Fund, number 2020/206, Jun.
- Ms. TengTeng Xu & Kun Hu & Mr. Udaibir S Das, 2019, "Bank Profitability and Financial Stability," IMF Working Papers, International Monetary Fund, number 2019/005, Jan.
- Item repec:hal:wpaper:hal-02896141 is not listed on IDEAS anymore
- Vica Tendenan & Richard Gerlach & Chao Wang, 2020, "Tail risk forecasting using Bayesian realized EGARCH models," Papers, arXiv.org, number 2008.05147, Aug, revised Aug 2020.
- Chonghu Guan & Zuo Quan Xu & Rui Zhou, 2020, "Dynamic optimal reinsurance and dividend-payout in finite time horizon," Papers, arXiv.org, number 2008.00391, Aug, 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, London School of Economics and Political Science, LSE Library, number 104027, May.
- Item repec:fip:a00001:88480 is not listed on IDEAS anymore
- Maria Mercè Claramunt & Maite Màrmol, 2020, "Refundable deductible insurance," Working Papers, HAL, number hal-02909299, Jul.
- Pierre-Emmanuel Darpeix & Caroline Le Moign & Nicolas Même & Marko Novakovic, 2020, "Overview and Inventory of French Funds' Liquidity Management Tools," Working papers, Banque de France, number 775.
- Prastya, Darya Yudanta, 2020, "How Risk-taker Evaluate Risk-taking Behaviour Based on Entrepreneurial Orientation," OSF Preprints, Center for Open Science, number 85p32, Jun, DOI: 10.31219/osf.io/85p32.
- 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, University Library of Munich, Germany, number 101387, Apr, 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), Bank of Italy, Economic Research and International Relations Area, number 1288, Jul.
- Byrne, Joseph P & Ibrahim, Boulis Maher & Zong, Xiaoyu, 2020, "Asset Prices and Capital Share Risks: Theory and Evidence," MPRA Paper, University Library of Munich, Germany, number 101781, May.
- Friberg, Richard, 2019, "All the bottles in one basket? Diversification and product portfolio composition," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14119, Nov.
- McGowan, Danny & Nguyen, Huyen, 2020, "To securitise or to price credit default risk?," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 10/2020, revised 2020.
- Toshiaki Ogawa & Masato Ubukata & Toshiaki Watanabe, 2020, "Stock Return Predictability and Variance Risk Premia around the ZLB," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 20-E-09, Jul.
- Elliott, M. & Georg, C-P. & Hazell, J., 2020, "Systemic Risk-Shifting in Financial Networks," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2068, Jul.
- Thomas Mayrhofer & Hendrik Schmitz, 2020, "Prudence and prevention - Empirical evidence," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 134, Aug.
- Rui Zhou & Daniel P. Palomar, 2020, "Solving High-Order Portfolios via Successive Convex Approximation Algorithms," Papers, arXiv.org, number 2008.00863, Aug.
- Olivier Mesly & David W. Shanafelt & Nicolas Huck, 2020, "Dysfunctional markets: A spray of prey perspective," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2020-34.
- 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, International Monetary Fund, number 2019/027, Feb.
- Nicholas Moehle & Mykel J. Kochenderfer & Stephen Boyd & Andrew Ang, 2020, "Tax-Aware Portfolio Construction via Convex Optimization," Papers, arXiv.org, number 2008.04985, Aug, 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, Faculty of Economic Sciences, University of Warsaw, number 2020-18.