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Report NEP-RMG-2020-09-21
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:
- Marius Lux & Wolfgang Karl Hardle & Stefan Lessmann, 2020, "Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid," Papers, arXiv.org, number 2009.06910, Sep.
- Bony Josaphat & Khreshna Syuhada, 2020, "Dependent Conditional Value-at-Risk for Aggregate Risk Models," Papers, arXiv.org, number 2009.02904, Sep.
- Tomić, Bojan, 2020, "BITCOIN: Systematic Force of Cryptocurrency Portfolio," MPRA Paper, University Library of Munich, Germany, number 101290, May, revised 26 May 2020.
- Cosimo Munari, 2020, "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Papers, arXiv.org, number 2009.04151, Sep.
- Tambakis, D., 2020, "A Markov-Chain Measure of Systemic Banking Crisis Frequency," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2083, Sep.
- A. Fronzetti Colladon & S. Grassi & F. Ravazzolo & F. Violante, 2020, "Forecasting financial markets with semantic network analysis in the COVID-19 crisis," Papers, arXiv.org, number 2009.04975, Sep, revised Jul 2023.
- Thomas Krabichler & Josef Teichmann, 2020, "Deep Replication of a Runoff Portfolio," Papers, arXiv.org, number 2009.05034, Sep.
- Ibrahima Bah & Jules Sadefo-Kamdem & Abdou Salam Diallo, 2022, "The Implications of oil market volatility on the credit risk of some oil-exporting countries," Post-Print, HAL, number hal-02922834, Jun.
- Ting He, 2020, "Nonparametric Predictive Inference for Asian options," Papers, arXiv.org, number 2008.13082, Aug.
- Alla Petukhina & Simon Trimborn & Wolfgang Karl Hardle & Hermann Elendner, 2020, "Investing with Cryptocurrencies -- evaluating their potential for portfolio allocation strategies," Papers, arXiv.org, number 2009.04461, Sep, revised Sep 2020.
- Masahiko Egami & Rusudan Kevkhishvili, 2020, "Loss-Given-Default Modeling by Post-Last Passage Time Process," Papers, arXiv.org, number 2009.00868, Sep, revised Nov 2025.
- Liang Wang & Weixuan Xia, 2020, "Power-type derivatives for rough volatility with jumps," Papers, arXiv.org, number 2008.10184, Aug, revised Nov 2021.
- Stefan Gerhold, 2020, "A note on large deviations in life insurance," Papers, arXiv.org, number 2009.01644, Sep.
- Walter Distaso & Rustam Ibragimov & Alexander Semenov & Anton Skrobotov, 2020, "COVID-19: Tail Risk and Predictive Regressions," Papers, arXiv.org, number 2009.02486, Sep, revised Oct 2021.
- Dietz, Simon & Niehörster, Falk, 2020, "Pricing ambiguity in catastrophe risk insurance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 106116, Aug.
- Delia Coculescu & Freddy Delbaen, 2020, "Fairness principles for insurance contracts in the presence of default risk," Papers, arXiv.org, number 2009.04408, Sep.
- Bello, Omar & Fontes de Meira, Luciana, 2020, "The use of technology and innovative approaches in disaster and risk management: a characterization of Caribbean countries’ experiences," Studies and Perspectives – ECLAC Subregional Headquarters for The Caribbean, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), number 45990, Sep.
- Yuhyeon Bak & Cheolbeom Park, 2020, "Exchange Rate Predictability, Risk Premiums, and Predictive System," Discussion Paper Series, Institute of Economic Research, Korea University, number 2006.
- David Alary & Catherine Bobtcheff & Carole Haritchabalet, 2020, "Organizing insurance supply for new and undiversifiable risks," PSE Working Papers, HAL, number halshs-02928816, Sep.
- Eric Benhamou & David Saltiel & Jean-Jacques Ohana & Jamal Atif, 2020, "Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning," Papers, arXiv.org, number 2009.07200, Sep, revised Nov 2020.
- Matthew B. Canzoneri & Behzad T. Diba & Luca Guerrieri & Arsenii Mishin, 2020, "Optimal Dynamic Capital Requirements and Implementable Capital Buffer Rules," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-056, Aug, DOI: 10.17016/FEDS.2020.056.
- CHAN Joshua & DOUCET Arnaud & Roberto Leon-Gonzalez & STRACHAN Rodney W., 2020, "Multivariate Stochastic Volatility with Co-Heteroscedasticity," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 20-09, Sep.
- Yi-Hsuan Lin, 2020, "Random Non-Expected Utility: Non-Uniqueness," Papers, arXiv.org, number 2009.04173, Sep.