Report NEP-RMG-2020-08-31

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:

• Young Shin Kim, 2020, "Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk," Papers, arXiv.org, number 2007.13972, Jul, revised Sep 2020.
• Thilini V. Mahanama & Abootaleb Shirvani, 2020, "A Natural Disasters Index," Papers, arXiv.org, number 2008.03672, Aug.
• Rashid, Muhammad Mustafa, 2020, "The Greek Letters. Scenario Analysis with a Reverse Butterfly Spread," MPRA Paper, University Library of Munich, Germany, number 101723, Mar, revised 19 May 2020.
• Yang, Bill Huajian & Yang, Jenny & Yang, Haoji, 2020, "Modeling Portfolio Loss by Interval Distributions," MPRA Paper, University Library of Munich, Germany, number 102219, Jul.
• Alexandre Carbonneau, 2020, "Deep Hedging of Long-Term Financial Derivatives," Papers, arXiv.org, number 2007.15128, Jul.
• Jin Sun & Eckhard Platen, 2019, "Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 399, Mar.
• Mirco Rubin & Dario Ruzzi, 2020, "Equity Tail Risk in the Treasury Bond Market," Papers, arXiv.org, number 2007.05933, Jul.
• Baishuai Zuo & Chuancun Yin, 2020, "Conditional tail risk expectations for location-scale mixture of elliptical distributions," Papers, arXiv.org, number 2007.09350, Jul.
• Christian Fieberg & Lars Hornuf & Gerrit Liedtke & Thorsten Poddig, 2020, "Are Characteristics Covariances? A Comment on Instrumented Principal Component Analysis," CESifo Working Paper Series, CESifo, number 8377.
• Kwok, Simon, 2020, "Nonparametric Inference of Jump Autocorrelation," Working Papers, University of Sydney, School of Economics, number 2020-09, Aug, revised Jan 2021.
• Mustapha Achibane & Imane Allam, 2019, "Banking risk management between the prudential and the operational approaches : case of Moroccan banks ACHIBANE Mustapha
  [La gestion des risques bancaires entre l'approche prudentielle et l'approch," Post-Print, HAL, number hal-02901066, Sep.
• Linwei Hu & Jie Chen & Joel Vaughan & Hanyu Yang & Kelly Wang & Agus Sudjianto & Vijayan N. Nair, 2020, "Supervised Machine Learning Techniques: An Overview with Applications to Banking," Papers, arXiv.org, number 2008.04059, Jul.
• Konstantinos Loizos, 2020, "The interbank market, Keynes’s degree of confidence and the link between banks’ liquidity and solvency," Working Papers, Post Keynesian Economics Society (PKES), number PKWP2017, Aug.
• Fantazzini, Dean, 2020, "Discussing copulas with Sergey Aivazian: a memoir," MPRA Paper, University Library of Munich, Germany, number 102317, Aug.
• Chen, Yanhua & Li, Youwei & Pantelous, Athanasios & Stanley, Eugene, 2020, "Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach," MPRA Paper, University Library of Munich, Germany, number 101700, May.
• Weihong Ni & Corina Constantinescu & Alfredo Eg'idio dos Reis & V'eronique Maume-Deschamps, 2020, "Pricing foreseeable and unforeseeable risks in insurance portfolios," Papers, arXiv.org, number 2008.03123, Jul.
• Nicole Bauerle & Alexander Glauner, 2020, "Distributionally Robust Markov Decision Processes and their Connection to Risk Measures," Papers, arXiv.org, number 2007.13103, Jul.
• Denuit, Michel, 2019, "Size-biased transform and conditional mean risk sharing, with application to P2P insurance and tontines," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2019010, Jan.
• Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019, "Economic Determinants of Oil Futures Volatility: A Term Structure Perspective," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 401, Jul.
• Gayle, Philip & Lin, Ying, 2020, "Cost Pass-through in Commercial Aviation: Theory and Evidence," MPRA Paper, University Library of Munich, Germany, number 102018.
• Christian P. Fries, 2020, "Non-Linear Discounting and Default Compensation: Valuation of Non-Replicable Value and Damage: When the Social Discount Rate may become Negative," Papers, arXiv.org, number 2007.06465, Jul, revised Oct 2021.
• Franz Dietrich & Brian Jabarian, 2021, "Decision Under Normative Uncertainty," Post-Print, HAL, number halshs-02905431, Sep.
• Christian Bayer & Fabian Andsem Harang & Paolo Pigato, 2020, "Log-modulated rough stochastic volatility models," Papers, arXiv.org, number 2008.03204, Aug, revised May 2021.
• Hainaut, Donatien, 2020, "Credit risk modelling with fractional self-excited processes," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020002, Jan.
• Fernando Fernandes & Rodrigo De Losso, Rogerio Oliveira, Angelo J D Soto, Pedro D Cavalcanti, Gabriel M S Campos, 2020, "Saving Markowitz: A Risk Parity approach based on the Cauchy Interlacing Theorem," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2020_13, Aug.
• Takaaki Hamada & Tomohiro Hara, 2020, "Risks on Others," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number DP2020-23, Aug, revised Sep 2022.
• Tarek Nassar & Sandro Ephrem, 2020, "Optimal allocation using the Sortino ratio," Papers, arXiv.org, number 2007.06460, Jul.
• Einmahl, John & Segers, Johan, 2020, "Empirical tail copulas for functional data," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020004, Jan.
• David E. Altig & Scott Brent Baker & Jose Maria Barrero & Nick Bloom & Philip Bunn & Scarlet Chen & Steven J. Davis & Brent Meyer & Emil Mihaylov & Paul Mizen & Nicholas B. Parker & Thomas Renault & P, 2020, "Economic Uncertainty before and during the COVID-19 Pandemic," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2020-9, Jul, DOI: 10.29338/wp2020-09.
• Mastromarco, Camilla & Simar, Leopold & Wilson, Paul, 2019, "Predicting Recessions: A New Measure of Output Gap as Predictor," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2019023, Jan.
• Marc Lagunas-Merino & Salvador Ortiz-Latorre, 2020, "A decomposition formula for fractional Heston jump diffusion models," Papers, arXiv.org, number 2007.14328, Jul.

Report NEP-RMG-2020-08-31

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: