Report NEP-RMG-2020-08-24

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020, "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers, University of Verona, Department of Economics, number 07/2020, May.
• Jose Blanchet & Henry Lam & Yang Liu & Ruodu Wang, 2020, "Convolution Bounds on Quantile Aggregation," Papers, arXiv.org, number 2007.09320, Jul, revised Sep 2024.
• Fabrice Borel-Mathurin & Nicole El Karoui & Stéphane Loisel & Julien Vedani, 2020, "Locality in time of the European insurance regulation "risk-neutral" valuation framework, a pre-and post-Covid analysis and further developments," Working Papers, HAL, number hal-02905181, Jul.
• Gandy, Axel & Veraart, Luitgard A. M., 2021, "Compound poisson models for weighted networks with applications in finance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 104185, Jan.
• International Monetary Fund, 2020, "Canada: Financial Sector Assessment Program-Technical Note-Systemic Risk Oversight and Macroprudential Policy," IMF Staff Country Reports, International Monetary Fund, number 2020/019, Jan.
• Mahdi Ghaemi Asl & Giorgio Canarella & Stephen M. Miller, 2020, "Dynamic Asymmetric Optimal Portfolio Allocation between Energy Stocks and Energy Commodities: Evidence from Clean Energy and Oil and Gas Companies," Working papers, University of Connecticut, Department of Economics, number 2020-07, Aug.
• De Santis, Roberto A. & Van der Veken, Wouter, 2020, "Forecasting macroeconomic risk in real time: Great and Covid-19 Recessions," Working Paper Series, European Central Bank, number 2436, Jul.
• International Monetary Fund, 2020, "Austria: Publication of Financial Sector Assessment Program Documentation-Technical Note on Insurance Sector—Regulation, Supervision, Recovery, and Resolution Regime Prospects," IMF Staff Country Reports, International Monetary Fund, number 2020/063, Mar.
• Matteo Accornero, 2020, "Collateral Re-use, Liquidity and Financial Stability," Working Papers, Sapienza University of Rome, DISS, number 10/20, May.
• Item repec:hal:wpaper:hal-02910906 is not listed on IDEAS anymore

• Yuyu Chen & Peng Liu & Yang Liu & Ruodu Wang, 2020, "Ordering and Inequalities for Mixtures on Risk Aggregation," Papers, arXiv.org, number 2007.12338, Jul, revised Jun 2021.
• Rangan Gupta & Syed Jawad Hussain Shahzad & Xin Sheng & Sowmya Subramaniam, 2020, "The Role of Oil and Risk Shocks in the High-Frequency Movements of the Term Structure of Interest Rates of the United States," Working Papers, University of Pretoria, Department of Economics, number 202063, Jul.
• Illya Barziy & Marcin Chlebus, 2020, "HRP performance comparison in portfolio optimization under various codependence and distance metrics," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-21.
• Rubiño Ruiz, J.I & Sanchís Pedregosa. C., 2019, "Coverage strategies with derivative financial products: Vueling case
  [Estrategias de cobertura con productos financieros derivados: caso Vueling]," Post-Print, HAL, number hal-02867809, DOI: 10.46503/NZVY8849.
• Peng-Fei Dai & Xiong Xiong & Toan Luu Duc Huynh & Jiqiang Wang, 2020, "The impact of economic policy uncertainties on the volatility of European carbon market," Papers, arXiv.org, number 2007.10564, Jul, revised Aug 2021.
• Dominique Pépin & Stephen M. Miller, 2020, "The Time-Varying Nature of Risk Aversion: Evidence from 60 Years of U.S. Stock Market Data," Working papers, University of Connecticut, Department of Economics, number 2020-09, Aug.
• Zuliani Dalimunthe, 2019, "Bankruptcy Risk among Indonesian Stock Exchange Listed Companies," GATR Journals, Global Academy of Training and Research (GATR) Enterprise, number jfbr165, Dec.
• Danilo Cascaldi-Garcia & Deepa Dhume Datta & Thiago Revil T. Ferreira & Olesya V. Grishchenko & Mohammad R. Jahan-Parvar & Juan M. Londono & Francesca Loria & Sai Ma & Marius del Giudice Rodriguez & J, 2020, "What is Certain about Uncertainty?," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1294, Jul, DOI: 10.17016/IFDP.2020.1294.
• W. Scott Frame & Eva Steiner, 2020, "Quantitative Easing and Agency MBS Investment and Financing Choices by Mortgage REITs," Working Papers, Federal Reserve Bank of Dallas, number 2020, Jun, revised 27 Apr 2021, DOI: 10.24149/wp2020r1.
• Gilles Zumbach, 2020, "Tile test for back-testing risk evaluation," Papers, arXiv.org, number 2007.12431, Jul.
• Zhilan Feng & Stephen M. Miller & Dogan Tirtiroglu, 2020, "The Bennet Decomposition and Predictability of the U.S. REITs’ Profitability," Working papers, University of Connecticut, Department of Economics, number 2020-11, Aug.
• Hong Shaopeng, 2020, "Generalized Autoregressive Score asymmetric Laplace Distribution and Extreme Downward Risk Prediction," Papers, arXiv.org, number 2008.01277, Aug, revised Oct 2020.
• Marie Scholer & Lazaro Cuesta Barbera, 2020, "The EU sustainable finance taxonomy from the perspective of the insurance and reinsurance sector," EIOPA Financial Stability Report - Thematic Articles, EIOPA, Risks and Financial Stability Department, number 17, Jul.
• Mehmet Balcilar & Elie Bouri & Rangan Gupta & Clement Kweku Kyei, 2020, "High-Frequency Predictability of Housing Market Movements of the United States: The Role of Economic Sentiment," Working Papers, University of Pretoria, Department of Economics, number 202066, Jul.
• Lam, Clifford & Feng, Phoenix, 2018, "A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 88375, Sep.
• Rashid, Muhammad Mustafa, 2020, "Real Options: Capital Investment Appraisal; Estimating the Market Price of Risk and Application to the Valuation of a New Business," MPRA Paper, University Library of Munich, Germany, number 101807, Mar, revised 19 Jul 2020.
• Christian Schluter, 2021, "On Zipf’s law and the bias of Zipf regressions," Post-Print, HAL, number hal-02880544, Aug, DOI: 10.1007/s00181-020-01879-3.
• Goldin, Jacob & Reck, Daniel, 2020, "Optimal defaults with normative ambiguity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 105863, Jun.
• David P. Glancy & Max Gross & Felicia Ionescu, 2020, "How Did Banks Fund C&I Drawdowns at the Onset of the COVID-19 Crisis?," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2020-07-31-1, Jul, DOI: 10.17016/2380-7172.2601.
• Hubar, Sylwia & Koulovatianos, Christos & Li, Jian, 2020, "The role of labor-income risk in household risk-taking?," CFS Working Paper Series, Center for Financial Studies (CFS), number 640.
• Porta Mana, PierGianLuca, 2020, "The rule of conditional probability is valid in quantum theory [Comment on Gelman & Yao's "Holes in Bayesian statistics"]," OSF Preprints, Center for Open Science, number bsnh7, Jul, DOI: 10.31219/osf.io/bsnh7.
• Jiří Witzany & Anastasiia Kozina, 2020, "Recovery process optimization using survival regression," FFA Working Papers, Prague University of Economics and Business, number 2.004, Jul, revised 16 Jul 2020.
• A. R. Provenzano & D. Trifir`o & A. Datteo & L. Giada & N. Jean & A. Riciputi & G. Le Pera & M. Spadaccino & L. Massaron & C. Nordio, 2020, "Machine Learning approach for Credit Scoring," Papers, arXiv.org, number 2008.01687, Jul.
• López-Salido, J David & Loria, Francesca, 2019, "Inflation at Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14074, Oct.
• Zubarev, Andrey (Зубарев, Андрей) & Shilov, Kirill (Шилов, Кирилл) & Bekirova, Olga (Бекирова, Ольга), 2020, "The evolution of the banking system and default factors of Russian banks in the period 2013-2018
  [Эволюция Банковской Системы И Факторы Дефолтов Российских Банков В Период 2013-2018гг]," Working Papers, Russian Presidential Academy of National Economy and Public Administration, number 042030, Apr.
• International Monetary Fund, 2020, "Republic of Armenia: Technical Assistance Report-Strategic Choices for Tax Administration to Enhance Tax Compliance," IMF Staff Country Reports, International Monetary Fund, number 2020/045, Feb.
• Yvon Pesqueux, 2024, "Variations associées à la notion de risque," Post-Print, HAL, number halshs-02909137, Jan.
• Eurilton Araújo & Ricardo D. Brito & Antônio Z. Sanvicente, 2020, "Long-term stock returns in Brazil: volatile equity returns for U.S.-like investors," Working Papers Series, Central Bank of Brazil, Research Department, number 525, Jul.
• Cyril Chalendard & Alice Duhaut & Ana Margarida Fernandes & Aaditya Mattoo & Gael Raballand & Bob Rijkers, 2020, "Does Better Information Curb Customs Fraud?," CESifo Working Paper Series, CESifo, number 8371.

Report NEP-RMG-2020-08-24

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: