Report NEP-RMG-2020-09-14

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:

• Anand Deo & Karthyek Murthy, 2020, "Optimizing tail risks using an importance sampling based extrapolation for heavy-tailed objectives," Papers, arXiv.org, number 2008.09818, Aug.
• Th'eo Roncalli & Th'eo Le Guenedal & Fr'ed'eric Lepetit & Thierry Roncalli & Takaya Sekine, 2020, "Measuring and Managing Carbon Risk in Investment Portfolios," Papers, arXiv.org, number 2008.13198, Aug.
• Jose Canals-Cerda, 2020, "Applications of generalized structural equation modeling for enhanced credit risk management," 2020 Stata Conference, Stata Users Group, number 6, Aug.
• Vahidin Jeleskovic & Mirko Meloni & Zahid Irshad Younas, 2020, "Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 202034.
• Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman & Herman K. van Dijk, 2019, "Partially Censored Posterior for robust and efficient risk evaluation," Working Paper, Norges Bank, number 2019/12, Aug.
• Shengfeng Mei & Hong Gao, 2020, "The Time Function of Stock Price," Papers, arXiv.org, number 2008.11806, Aug, revised Feb 2023.
• M. Andrea Arias-Serna & Jean-Michel Loubes & Francisco J. Caro-Lopera, 2020, "Risk Measures Estimation Under Wasserstein Barycenter," Papers, arXiv.org, number 2008.05824, Aug.
• Pierre Cohort & Jacopo Corbetta & Ismail Laachir, 2020, "Analytical scores for stress scenarios," Papers, arXiv.org, number 2007.02567, Jul.
• John A. Major & Stephen J. Mildenhall, 2020, "Pricing and Capital Allocation for Multiline Insurance Firms With Finite Assets in an Imperfect Market," Papers, arXiv.org, number 2008.12427, Aug.
• Karol Kielak & Robert Ślepaczuk, 2020, "Value-at-risk — the comparison of state-of-the-art models on various assets," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-28.
• Rama Cont & Artur Kotlicki & Laura Valderrama, 2019, "Liquidity at risk: Joint stress testing of solvency and liquidity," Working Paper, Norges Bank, number 2019/11, Jul.
• Paola Andrea Vaca González, 2019, "Cálculo y evaluación del riesgo operativo en entidades de salud a partir del enfoque de redes bayesianas," Ensayos de Economía, Universidad Nacional de Colombia Sede Medellín, number 18302, Jul, DOI: 10.15446/ede.v29n55.78411.
• Jiwook Jang & Rosy Oh, 2020, "A Bivariate Compound Dynamic Contagion Process for Cyber Insurance," Papers, arXiv.org, number 2007.04758, Jun.
• Jamaal Ahmad & Kristian Buchardt & Christian Furrer, 2020, "Computation of bonus in multi-state life insurance," Papers, arXiv.org, number 2007.04051, Jul, revised Nov 2023.
• Jonathan Meng & Feng Fu, 2020, "Understanding Gambling Behavior and Risk Attitudes Using Cryptocurrency-based Casino Blockchain Data," Papers, arXiv.org, number 2008.05653, Aug, revised Aug 2020.
• Jeffrey Cohen & Alex Khan & Clark Alexander, 2020, "Portfolio Optimization of 60 Stocks Using Classical and Quantum Algorithms," Papers, arXiv.org, number 2008.08669, Aug.
• syed, irfan, 2020, "A new framework of analysis of Political Risk in OECD Countries," MPRA Paper, University Library of Munich, Germany, number 102636, Mar, revised 03 Apr 2020.
• International Monetary Fund, 2019, "Finland: Selected Issues," IMF Staff Country Reports, International Monetary Fund, number 2019/008, Jan.
• Jézabel Couppey-Soubeyran & Erica Perego & Fabien Tripier, 2020, "European Banks and the Covid-19 Crash Test," EconPol Policy Brief, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 30.
• Fricke, Daniel & Wilke, Hannes, 2020, "Connected funds," Discussion Papers, Deutsche Bundesbank, number 48/2020.
• Zbigniew Palmowski & Tomasz Serafin, 2020, "Note on simulation pricing of $\pi$-options," Papers, arXiv.org, number 2007.02076, Jul, revised Aug 2020.
• Fernando Eguren-Martin & Cian O'Neill & Andrej Sokol & Lukas von dem Berge, 2020, "Capital flows-at-risk: push, pull and the role of policy," Bank of England working papers, Bank of England, number 881, Aug.
• Islam, Raisul & Volkov, Vladimir, 2020, "Calm before the storm: an early warning approach before and during the COVID-19 crisis," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2020-09.
• Barbu, Alexandru & Fricke, Christoph & Mönch, Emanuel, 2020, "Procyclical asset management and bond risk premia," Discussion Papers, Deutsche Bundesbank, number 38/2020.
• Benjamin Avanzi & Gregory Clive Taylor & Melantha Wang & Bernard Wong, 2020, "SynthETIC: an individual insurance claim simulator with feature control," Papers, arXiv.org, number 2008.05693, Aug, revised Aug 2021.
• Willy Kamdem & David Kamdem & Jules Sadefo-Kamdem & Louis Aimé Fono, 2020, "Risk Aversion and Optimal Hedge Ratio in Commodities Futures Markets," Post-Print, HAL, number hal-02922890.
• Antoinette Schoar & Kelvin Yeung & Luo Zuo, 2020, "The Effect of Managers on Systematic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 27487, Jul.
• Cormac O'Dea & David Sturrock, 2020, "Survival Pessimism and the Demand for Annuities," NBER Working Papers, National Bureau of Economic Research, Inc, number 27677, Aug.
• Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2020, "Uncertainty and Monetary Policy during Extreme Events," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2020-11, Aug.
• Benjamin Gottesman Berdah, 2020, "Recombining tree approximations for Game Options in Local Volatility models," Papers, arXiv.org, number 2007.02323, Jul, revised Jul 2020.
• Anthony M. Diercks & Alex Hsu & Andrea Tamoni, 2020, "When it Rains it Pours: Cascading Uncertainty Shocks," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-064, Aug, DOI: 10.17016/FEDS.2020.064.

Report NEP-RMG-2020-09-14

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: