Printed from https://ideas.repec.org/n/nep-rmg/2020-09-07.html
Report NEP-RMG-2020-09-07
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:
- Leung, Melvern & Li, Youwei & Pantelous, Athanasios & Vigne, Samuel, 2019, "Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing," MPRA Paper, University Library of Munich, Germany, number 101698, Nov.
- International Monetary Fund, 2019, "Republic of Armenia: Detailed Assessment of Observance of the Basel Core Principles for Effective Banking Supervision," IMF Staff Country Reports, International Monetary Fund, number 2019/042, Feb.
- Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Shahzad, Syed Jawad Hussain & Výrost, Tomáš, 2020, "Increasing systemic risk during the Covid-19 pandemic: A cross-quantilogram analysis of the banking sector," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 222580.
- Viral V. Acharya & Sascha Steffen, 2020, "The Risk of Being a Fallen Angel and the Corporate Dash for Cash in the Midst of COVID," NBER Working Papers, National Bureau of Economic Research, Inc, number 27601, Jul.
- International Monetary Fund, 2019, "Australia: Financial Sector Assessment Program-Detailed Assessment of Observance-Basel Core Principles For Effective Banking Supervision," IMF Staff Country Reports, International Monetary Fund, number 2019/053, Feb.
- Edmond Lezmi & Jules Roche & Thierry Roncalli & Jiali Xu, 2020, "Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks," Papers, arXiv.org, number 2007.04838, Jul.
- Patryk Gierjatowicz & Marc Sabate-Vidales & David v{S}iv{s}ka & Lukasz Szpruch & v{Z}an v{Z}uriv{c}, 2020, "Robust pricing and hedging via neural SDEs," Papers, arXiv.org, number 2007.04154, Jul.
- Peter A. Forsyth, 2020, "A Stochastic Control Approach to Defined Contribution Plan Decumulation: "The Nastiest, Hardest Problem in Finance"," Papers, arXiv.org, number 2008.06598, Aug.
- Item repec:imf:imfwpa:20/111 is not listed on IDEAS anymore
- Yichun Chi & Xun Yu Zhou & Sheng Chao Zhuang, 2020, "Variance Contracts," Papers, arXiv.org, number 2008.07103, Aug.
- Eric Benhamou & Beatrice Guez & Nicolas Paris, 2020, "Omega and Sharpe ratio," Working Papers, HAL, number hal-02886481, Jul.
- Aili Zhang & Ping Chen & Shuanming Li & Wenyuan Wang, 2020, "Risk Modelling on Liquidations with L\'{e}vy Processes," Papers, arXiv.org, number 2007.01426, Jul.
- Sotirios Sabanis & Ying Zhang, 2020, "A fully data-driven approach to minimizing CVaR for portfolio of assets via SGLD with discontinuous updating," Papers, arXiv.org, number 2007.01672, Jul.
- Varinia Tindal & Denise Salazar, 2018, "Análisis de la metodología Enterprise Risk Management (ERM) y su aplicación para la optimización de la relación riesgo/retorno en la administración de las reservas internacionales," Notas Técnicas, Banco Central de Bolivia, number 14, Dec.
- Figueres, Juan Manuel & Jarociński, Marek, 2020, "Vulnerable growth in the Euro Area: Measuring the financial conditions," Working Paper Series, European Central Bank, number 2458, Aug.
- Jean-Baptiste Hasse, 2020, "Systemic Risk: a Network Approach," Working Papers, HAL, number halshs-02893780, Jun.
- Item repec:hal:wpaper:hal-02891046 is not listed on IDEAS anymore
- Anusha Chari & Karlye Dilts Stedman & Christian T. Lundblad, 2020, "Capital Flows in Risky Times: Risk-On / Risk-Off and Emerging Market Tail Risk," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 20-08, Jul, DOI: 10.18651/RWP2020-08.
- Eric Benhamou & David Saltiel & Beatrice Guez & Nicolas Paris, 2020, "Testing Sharpe ratio: luck or skill?," Working Papers, HAL, number hal-02886500, Jul.
- Stefano De Marco, 2020, "On the harmonic mean representation of the implied volatility," Papers, arXiv.org, number 2007.03585, Jul.
- Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2020, "Stochastic reserving with a stacked model based on a hybridized Artificial Neural Network," Papers, arXiv.org, number 2008.07564, Aug.
- Glenn Boyle & Sanghyun Hong, 2020, "Systematic Liquidity Risk Premia," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 20/15, Aug.
- Thomas Spooner & Rahul Savani, 2020, "A Natural Actor-Critic Algorithm with Downside Risk Constraints," Papers, arXiv.org, number 2007.04203, Jul.
- Fleck, Johannes & Monninger, Adrian, 2020, "Culture and portfolios: trust, precautionary savings and home ownership," Working Paper Series, European Central Bank, number 2457, Aug.
- Denuit, Michel, 2019, "Size-biased risk measures of compound sums," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2019009, Jan.
- Rangan Gupta & Sowmya Subramaniam & Elie Bouri & Qiang Ji, 2020, "Infectious Disease-Related Uncertainty and the Safe-Haven Characteristic of US Treasury Securities," Working Papers, University of Pretoria, Department of Economics, number 202078, Aug.
- Albert S. Kyle & Anna A. Obizhaeva, 2020, "Large Bets and Stock Market Crashes," Working Papers, New Economic School (NES), number w0269, Aug.
- Jonathan Kearns & Mike Major & David Norman, 2020, "How Risky is Australian Household Debt?," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2020-05, Aug, DOI: 10.47688/rdp2020-05.
- D'Orazio, Paola & Dirks, Maximilian W., 2020, "COVID-19 and financial markets: Assessing the impact of the coronavirus on the eurozone," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 859, DOI: 10.4419/86788995.
- Afafe Hertouch & Mustapha Achibane, 2020, "Internal control and banking risk management: the case of Moroccan banks
[Le contrôle interne et la gestion des risques bancaires : cas des banques marocaines]," Post-Print, HAL, number hal-02915824. - Robert P. Bartlett III & Adair Morse, 2020, "Small Business Survival Capabilities and Policy Effectiveness: Evidence from Oakland," NBER Working Papers, National Bureau of Economic Research, Inc, number 27629, Jul.
- Paulina Concha Larrauri & Upmanu Lall, 2020, "Big Data links from Climate to Commodity Production Forecasts and Risk Management," Papers, arXiv.org, number 2007.03015, Jul.
- Valentina Avramescu, 2020, "Property Insurance," Proceedings of the 16th International RAIS Conference, March 30-31, 2020, Research Association for Interdisciplinary Studies, number 0026va, Apr.
- Fabio C. Bagliano & Carolina Fugazza & Giovanna Nicodano, 2020, "Life-Cycle Welfare Losses from Rules-of-Thumb Asset Allocation," Working papers, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, number 068, Sep.
- Lakshay Chauhan & John Alberg & Zachary C. Lipton, 2020, "Uncertainty-Aware Lookahead Factor Models for Quantitative Investing," Papers, arXiv.org, number 2007.04082, Jul, revised Jul 2020.
- Pierre Picard, 2020, "Corporate pandemic insurance
[L'assurance des entreprises face au risque de pandémie]," Working Papers, HAL, number hal-02888881, Jul. - Arlan Brucal & Viktor Roezer & Denyse S. Dookie & Rebecca Byrnes & Majah-Leah V. Ravago & Faye Cruz & Gemma Narisma, 2020, "Disaster impacts and financing: Local insights from the Philippines," Department of Economics, Ateneo de Manila University, Working Paper Series, Department of Economics, Ateneo de Manila University, number 202015, Aug.
- Kazuya Kaneko & Koichi Miyamoto & Naoyuki Takeda & Kazuyoshi Yoshino, 2020, "Quantum Pricing with a Smile: Implementation of Local Volatility Model on Quantum Computer," Papers, arXiv.org, number 2007.01467, Jul.