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. Stan Miles issued this report. It is usually issued weekly.

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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-02941948, HAL.
• Sarah Bensalem, 2020. "Self-insurance and Non-concave Distortion Risk Measures," Working Papers hal-02936349, HAL.
• 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 028, University of Bonn and University of Cologne, Germany.
• Meng-Jou Lu & Cathy Yi-Hsuan Chen & Wolfgang Karl Hardle, 2020. "Copula-Based Factor Model for Credit Risk Analysis," Papers 2009.12092, arXiv.org, revised Oct 2020.
• Gambetti, Paolo & Roccazzella, Francesco & Vrins, Frédéric, 2020. "Meta-learning approaches for recovery rate prediction," LIDAM Discussion Papers LFIN 2020007, Université catholique de Louvain, Louvain Finance (LFIN).
• Willliam Lefebvre & Gregoire Loeper & Huyên Pham, 2020. "Mean-variance portfolio selection with tracking error penalization," Working Papers hal-02941289, HAL.
• Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric, 2020. "Forecasting recovery rates on non-performing loans with machine learning," LIDAM Discussion Papers LFIN 2020002, Université catholique de Louvain, Louvain Finance (LFIN).
• Ruipeng Liu & Rangan Gupta, 2020. "Investors' Uncertainty and Forecasting Stock Market Volatility," Working Papers 202090, University of Pretoria, Department of Economics.
• Mbaye, Cheikh & Vrins, Frédéric, 2019. "Affine term-structure models: A time-changed approach with perfect fit to market curves," LIDAM Discussion Papers LFIN 2019005, Université catholique de Louvain, Louvain Finance (LFIN).
• 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 289, Leibniz Institute for Financial Research SAFE.
• Gouriéroux Christian & Monfort Alain & Mouabbi Sarah & Renne Jean-Paul, 2020. "Disastrous Defaults," Working papers 778, Banque de France.
• Asani Sarkar, 2020. "Did Too-Big-To-Fail Reforms Work Globally?," Liberty Street Economics 20200930, Federal Reserve Bank of New York.
• Lassance, Nathan & Vrins, Frédéric, 2019. "Minimum Rényi entropy portfolios," LIDAM Discussion Papers LFIN 2019003, Université catholique de Louvain, Louvain Finance (LFIN).
• 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 31/20, Monash University, Department of Econometrics and Business Statistics.
• 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 304607, Agricultural and Applied Economics Association.
• Manuel Guerra & Alexandra B. Moura, 2020. "Reinsurance of multiple risks with generic dependence structures," Papers 2009.12274, arXiv.org, revised Jun 2021.
• Putman, Daniel S., 2020. "The Scope of Risk Pooling," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304480, Agricultural and Applied Economics Association.
• Shi Chen & Cathy Yi-Hsuan Chen & Wolfgang Karl Hardle, 2020. "A first econometric analysis of the CRIX family," Papers 2009.12129, arXiv.org.
• Ramelli, Stefano & Ossola, Elisa & Rancan, Michela, 2020. "Climate Sin Stocks: Stock Price Reactions to Global Climate Strikes," JRC Working Papers in Economics and Finance 2020-03, Joint Research Centre, European Commission.
• Arslan, Ruben C. & Brümmer, Martin & Dohmen, Thomas & Drewelies, Johanna & Hertwig, Ralph & Wagner, Gert G., 2020. "How People Know Their Risk Preference," IZA Discussion Papers 13723, Institute of Labor Economics (IZA).
• Bruno Bosco, 2020. "Auctioning C02 Emission Allowances in Europe. A Time Series Analysis of Equilibrium Prices," Working Papers 448, University of Milano-Bicocca, Department of Economics.
• 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 2009.12350, arXiv.org.
• Christophe Andre & David Gabauer & Rangan Gupta, 2020. "Time-Varying Spillovers between Housing Sentiment and Housing Market in the United States," Working Papers 202091, University of Pretoria, Department of Economics.
• Pannell, David & Florec , Veronique & Dempster, Fiona, 2020. "Economics of Bushfire-Risk Mitigation," 2020 Conference (64th), February 12-14, 2020, Perth, Western Australia 305260, Australian Agricultural and Resource Economics Society.
• Vahagn Galstyan & Caroline Mehigan & Rogelio V. Mercado, Jr., 2019. "The Currency Composition of International Portfolio Assets," Working Papers wp36, South East Asian Central Banks (SEACEN) Research and Training Centre.
• 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 8560, CESifo.