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Report NEP-RMG-2020-10-12
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:
- Alexis Louaas & Pierre Picard, 2020, "A pandemic business interruption insurance," Working Papers, HAL, number hal-02941948, Sep.
- Sarah Bensalem, 2020, "Self-insurance and Non-concave Distortion Risk Measures," Working Papers, HAL, number hal-02936349, Sep.
- Daniel Pollmann & Thomas Dohmen & Franz Palm, 2020, "Dispersion estimation; Earnings risk; Censoring; Quantile regression; Occupational choice; Sorting; Risk preferences; SOEP; IABS," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 028, Sep.
- Meng-Jou Lu & Cathy Yi-Hsuan Chen & Wolfgang Karl Hardle, 2020, "Copula-Based Factor Model for Credit Risk Analysis," Papers, arXiv.org, number 2009.12092, Sep, revised Oct 2020.
- Gambetti, Paolo & Roccazzella, Francesco & Vrins, Frédéric, 2020, "Meta-learning approaches for recovery rate prediction," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2020007, Jan.
- Willliam Lefebvre & Gregoire Loeper & Huyên Pham, 2020, "Mean-variance portfolio selection with tracking error penalization," Working Papers, HAL, number hal-02941289, Sep.
- Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric, 2020, "Forecasting recovery rates on non-performing loans with machine learning," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2020002, Jan.
- Ruipeng Liu & Rangan Gupta, 2020, "Investors' Uncertainty and Forecasting Stock Market Volatility," Working Papers, University of Pretoria, Department of Economics, number 202090, Sep.
- Mbaye, Cheikh & Vrins, Frédéric, 2019, "Affine term-structure models: A time-changed approach with perfect fit to market curves," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2019005, Jan.
- Schlag, Christian & Semenischev, Michael & Thimme, Julian, 2020, "Predictability and the cross-section of expected returns: A challenge for asset pricing models," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 289, DOI: 10.2139/ssrn.2788117.
- Christian Gouri roux & Alain Monfort & Sarah Mouabbi & Jean-Paul Renne, 2020, "Disastrous Defaults," Working papers, Banque de France, number 778.
- Asani Sarkar, 2020, "Did Too-Big-To-Fail Reforms Work Globally?," Liberty Street Economics, Federal Reserve Bank of New York, number 20200930, Sep.
- Lassance, Nathan & Vrins, Frédéric, 2019, "Minimum Rényi entropy portfolios," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2019003, Jan.
- Rob J Hyndman & Yijun Zeng & Han Lin Shang, 2020, "Forecasting the Old-Age Dependency Ratio to Determine a Sustainable Pension Age," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 31/20.
- Chen, Zhenshan, 2020, "How does the Coastal Housing Market View Flood zone-A Risk Signal or Mandatory Costs?," 2020 Annual Meeting, July 26-28, Kansas City, Missouri, Agricultural and Applied Economics Association, number 304607, Jul, DOI: 10.22004/ag.econ.304607.
- Manuel Guerra & Alexandra B. Moura, 2020, "Reinsurance of multiple risks with generic dependence structures," Papers, arXiv.org, number 2009.12274, Sep, revised Jun 2021.
- Putman, Daniel S., 2020, "The Scope of Risk Pooling," 2020 Annual Meeting, July 26-28, Kansas City, Missouri, Agricultural and Applied Economics Association, number 304480, Jul, DOI: 10.22004/ag.econ.304480.
- Shi Chen & Cathy Yi-Hsuan Chen & Wolfgang Karl Hardle, 2020, "A first econometric analysis of the CRIX family," Papers, arXiv.org, number 2009.12129, Sep.
- Ramelli, Stefano & Ossola, Elisa & Rancan, Michela, 2020, "Climate Sin Stocks: Stock Price Reactions to Global Climate Strikes," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2020-03, Jun.
- Arslan, Ruben C. & Brümmer, Martin & Dohmen, Thomas & Drewelies, Johanna & Hertwig, Ralph & Wagner, Gert G., 2020, "How People Know Their Risk Preference," IZA Discussion Papers, Institute of Labor Economics (IZA), number 13723, Sep.
- Bruno Bosco, 2020, "Auctioning C02 Emission Allowances in Europe. A Time Series Analysis of Equilibrium Prices," Working Papers, University of Milano-Bicocca, Department of Economics, number 448, Jun.
- Anatoliy Swishchuk & Ana Roldan-Contreras & Elham Soufiani & Guillermo Martinez & Mohsen Seifi & Nishant Agrawal & Yao Yao, 2020, "Practical Option Valuations of Futures Contracts with Negative Underlying Prices," Papers, arXiv.org, number 2009.12350, Sep.
- Christophe Andre & David Gabauer & Rangan Gupta, 2020, "Time-Varying Spillovers between Housing Sentiment and Housing Market in the United States," Working Papers, University of Pretoria, Department of Economics, number 202091, Sep.
- Pannell, David & Florec , Veronique & Dempster, Fiona, , "Economics of Bushfire-Risk Mitigation," 2020 Conference (64th), February 12-14, 2020, Perth, Western Australia, Australian Agricultural and Resource Economics Society, number 305260, DOI: 10.22004/ag.econ.305260.
- Vahagn Galstyan & Caroline Mehigan & Rogelio V. Mercado, Jr., 2019, "The Currency Composition of International Portfolio Assets," Working Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number wp36, Jan.
- Cuong Nguyen & Ilan Noy & Dag Einar Sommervoll & Fang Yao, 2020, "Redrawing of a Housing Market: Insurance Payouts and Housing Market Recovery in the Wake of the Christchurch Earthquake of 2011," CESifo Working Paper Series, CESifo, number 8560.