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Report NEP-RMG-2020-10-19
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:
- Benavides Guillermo, 2020, "Asymmetric Volatility Effects in Risk Management: An Empirical Analysis using a Stock Index Futures," Working Papers, Banco de México, number 2020-10, Sep.
- Broll, Udo & Förster, Andreas, 2020, "Market risk: Exponential weighting in the value-at-risk calculation," CEPIE Working Papers, Technische Universität Dresden, Center of Public and International Economics (CEPIE), number 04/20.
- Xiu Xu & Andrija Mihoci & Wolfgang Karl Hardle, 2020, "lCARE -- localizing Conditional AutoRegressive Expectiles," Papers, arXiv.org, number 2009.13215, Sep.
- Peng-Fei Dai & Xiong Xiong & Zhifeng Liu & Toan Luu Duc Huynh & Jianjun Sun, 2020, "Preventing crash in stock market: The role of economic policy uncertainty during COVID-19," Papers, arXiv.org, number 2010.01043, Oct, revised Aug 2021.
- Schulz, Lee, 2019, "Basis key to hedging success," ISU General Staff Papers, Iowa State University, Department of Economics, number 201911150800001718, Nov.
- Mohamed Belhaj & Renaud Bourlès & Frédéric Deroïan, 2020, "Prudential Regulation in Financial Networks," Working Papers, HAL, number halshs-02950881, Sep.
- Azwar Abdulsalam & Gowri Jayprakash & Abhijeet Chandra, 2020, "On the Pricing of Currency Options under Variance Gamma Process," Papers, arXiv.org, number 2009.14113, Sep.
- Mohamed Belhaj & Renaud Bourlès & Frédéric Deroïan, 2020, "Prudential Regulation in Financial Networks," AMSE Working Papers, Aix-Marseille School of Economics, France, number 2030, Sep.
- Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2020, "Revising the Impact of Financial and Non-Financial Global Stock Market Volatility Shocks," MPRA Paper, University Library of Munich, Germany, number 103019.
- Daniel Perez & Sam M. Werner & Jiahua Xu & Benjamin Livshits, 2020, "Liquidations: DeFi on a Knife-edge," Papers, arXiv.org, number 2009.13235, Sep, revised Dec 2021.
- J-C Gerlach & Jerome L Kreuser & Didier Sornette, 2020, "Crash-sensitive Kelly Strategy built on a modified Kreuser-Sornette bubble model tested over three decades of twenty equity indices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-85, Oct.
- Lining Yu & Wolfgang Karl Hardle & Lukas Borke & Thijs Benschop, 2020, "An AI approach to measuring financial risk," Papers, arXiv.org, number 2009.13222, Sep.
- Shi Yu & Haoran Wang & Chaosheng Dong, 2020, "Learning Risk Preferences from Investment Portfolios Using Inverse Optimization," Papers, arXiv.org, number 2010.01687, Oct, revised Feb 2021.
- Eric Benhamou & David Saltiel & Sandrine Ungari & Abhishek Mukhopadhyay, 2020, "Time your hedge with Deep Reinforcement Learning," Papers, arXiv.org, number 2009.14136, Sep, revised Nov 2020.
- Ravi Jagannathan & Yang Zhang, 2020, "A Return Based Measure of Firm Quality," NBER Working Papers, National Bureau of Economic Research, Inc, number 27859, Sep.
- Michael Bucker & Gero Szepannek & Alicja Gosiewska & Przemyslaw Biecek, 2020, "Transparency, Auditability and eXplainability of Machine Learning Models in Credit Scoring," Papers, arXiv.org, number 2009.13384, Sep.
- Pierre-Olivier Gourinchas & Ṣebnem Kalemli-Özcan & Veronika Penciakova & Nick Sander, 2020, "SME Failures Under Large Liquidity Shocks: An Application to the COVID-19 Crisis," NBER Working Papers, National Bureau of Economic Research, Inc, number 27877, Sep.
- David M. Kaplan, 2020, "Interpreting Unconditional Quantile Regression with Conditional Independence," Papers, arXiv.org, number 2010.03606, Oct, revised Oct 2021.
- Demary, Markus & Voigtländer, Michael, 2020, "The impact of Basel IV on real estate financing," IW policy papers, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 18/2020.
- Ajit Mahata & Anish rai & Om Prakash & Md Nurujjaman, 2020, "Modeling and analysis of the effect of COVID-19 on the stock price: V and L-shape recovery," Papers, arXiv.org, number 2009.13076, Sep, revised Nov 2020.
- Masahiro Kato & Shota Yasui, 2020, "Learning Classifiers under Delayed Feedback with a Time Window Assumption," Papers, arXiv.org, number 2009.13092, Sep, revised Jun 2022.
- Item repec:ags:gewi18:305608 is not listed on IDEAS anymore
- Patrick Baylis & Pierre-Loup Beauregard & Marie Connolly & Nicole Fortin & David A. Green & Pablo Gutierrez Cubillos & Sam Gyetvay & Catherine Haeck & Timea Laura Molnar & Gaëlle Simard-Duplain & Henr, 2020, "The Distribution of COVID-19 Related Risks," NBER Working Papers, National Bureau of Economic Research, Inc, number 27881, Oct.
- Claudio Cardoso Flores & Marcelo Cunha Medeiros, 2020, "Online Action Learning in High Dimensions: A Conservative Perspective," Papers, arXiv.org, number 2009.13961, Sep, revised Mar 2024.
- Victor Olkhov, 2020, "Price, Volatility and the Second-Order Economic Theory," Papers, arXiv.org, number 2009.14278, Sep, revised Apr 2021.
- Steven J. Davis & Stephen Hansen & Cristhian Seminario-Amez, 2020, "Firm-Level Risk Exposures and Stock Returns in the Wake of COVID-19," NBER Working Papers, National Bureau of Economic Research, Inc, number 27867, Sep.
- Marco Avellaneda & Juan Andr'es Serur, 2020, "Hierarchical PCA and Modeling Asset Correlations," Papers, arXiv.org, number 2010.04140, Oct.
- Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020, "Bet against the trend and cash in profits," DISCE - Working Papers del Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number def090, Oct.