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Report NEP-RMG-2020-10-05
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:
- Martin Herdegen & Nazem Khan, 2020, "Mean-$\rho$ portfolio selection and $\rho$-arbitrage for coherent risk measures," Papers, arXiv.org, number 2009.05498, Sep, revised Jul 2021.
- Hasan, Iftekhar & Kim, Suk-Joong & Politsidis, Panagiotis & Wu, Eliza, 2020, "Loan syndication under Basel II: How firm credit ratings affect the cost of credit?," MPRA Paper, University Library of Munich, Germany, number 102796, Jun.
- Gomis-Porqueras, Pedro & Shi, Shuping & Tan, David, 2020, "Gold as a Financial Instrument," MPRA Paper, University Library of Munich, Germany, number 102782, Sep.
- Xinwen Ni & Wolfgang Karl Hardle & Taojun Xie, 2020, "A Machine Learning Based Regulatory Risk Index for Cryptocurrencies," Papers, arXiv.org, number 2009.12121, Sep, revised Aug 2021.
- Wayne Passmore & Judit Temesvary, 2020, "Investor Demands for Safety, Bank Capital, and Liquidity Measurement," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-079, Sep, DOI: 10.17016/FEDS.2020.079.
- Alexander Jiron & Marco Migueis, 2020, "SRISKv2 - A Note," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2020-09-18-2, Sep, DOI: 10.17016/2380-7172.2724.
- Bernadett Aradi & G'abor Petneh'azi & J'ozsef G'all, 2020, "Volatility Forecasting with 1-dimensional CNNs via transfer learning," Papers, arXiv.org, number 2009.05508, Sep.
- Paddrick, Mark & Rajan, Sriram & Young, H. Peyton, 2020, "Contagion in derivatives markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 100868, Aug.
- Areejit Samal & Hirdesh K. Pharasi & Sarath Jyotsna Ramaia & Harish Kannan & Emil Saucan & Jurgen Jost & Anirban Chakraborti, 2020, "Network geometry and market instability," Papers, arXiv.org, number 2009.12335, Sep, revised Jan 2021.
- Marc-Aurèle Divernois, 2020, "A Deep Learning Approach to Estimate Forward Default Intensities," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-79, Jul.
- Karel Janda & Oleg Kravtsov, 2020, "Regulatory Stress Tests and Bank Responses," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-77, Aug.
- Stevens, Andrew W. & Bradley, William B., 2020, "Crop Rotations and Risk Management in Mississippi Delta Agriculture," 2020 Annual Meeting, July 26-28, Kansas City, Missouri, Agricultural and Applied Economics Association, number 304246, Jul, DOI: 10.22004/ag.econ.304246.
- Elena Kühne, 2020, "Building climate resilience through social protection in Brazil: the Garantia Safra public climate risk insurance programme," Policy Research Brief, International Policy Centre, number 70, Aug.
- Bo Sun & Xuan S. Tam & Eric Young, 2020, "The Stock Market Response to a "Regulatory Sine Curve"," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1299, Sep, DOI: 10.17016/IFDP.2020.1299.
- Noumir, Ashraf & Langemeier, Michael R., 2020, "Can Farmland be a Common Risk Factor in Asset Pricing Models," 2020 Annual Meeting, July 26-28, Kansas City, Missouri, Agricultural and Applied Economics Association, number 304303, Jul, DOI: 10.22004/ag.econ.304303.
- M. Bel'en Arouxet & Aurelio F. Bariviera & Ver'onica E. Pastor & Victoria Vampa, 2020, "Covid-19 impact on cryptocurrencies: evidence from a wavelet-based Hurst exponent," Papers, arXiv.org, number 2009.05652, Sep.
- Mayrhofer, Thomas & Schmitz, Hendrik, 2020, "Prudence and prevention: Empirical evidence," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 863, DOI: 10.4419/96973000.
- Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2020, "Unobserved performance of hedge funds," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-07.
- Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2020, "Uncertainty and Monetary Policy During Extreme Events," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-80, Sep.
- David Ardia & Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2020, "Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-82, Sep, revised May 2023.
- Victoria Dobrynskaya, 2020, "Is Downside Risk Priced In Cryptocurrency Market?," HSE Working papers, National Research University Higher School of Economics, number WP BRP 79/FE/2020.