Report NEP-RMG-2020-10-26

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:

• Cheng Peng & Young Shin Kim & Stefan Mittnik, 2020, "Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation," Papers, arXiv.org, number 2009.11367, Sep, revised Feb 2023.
• Ling Wang & Mei Choi Chiu & Hoi Ying Wong, 2020, "Volterra mortality model: Actuarial valuation and risk management with long-range dependence," Papers, arXiv.org, number 2009.09572, Sep.
• Walter Farkas & Fulvia Fringuellotti & Radu Tunaru, 2020, "A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-86, Oct.
• Bruno Spilak & Wolfgang Karl Hardle, 2020, "Tail-risk protection: Machine Learning meets modern Econometrics," Papers, arXiv.org, number 2010.03315, Oct, revised Aug 2021.
• Pelzl, Paul & Valderrama, Maria Teresa, 2020, "Capital Regulations and the Management of Credit Commitments during Crisis Times," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2020/12, Oct.
• Zhifeng Liu & Toan Luu Duc Huynh & Peng-Fei Dai, 2020, "The impact of COVID-19 on the stock market crash risk in China," Papers, arXiv.org, number 2009.08030, Sep, revised Aug 2021.
• Matt Darst & Ehraz Refayet & Alexandros Vardoulakis, 2020, "Macroprudential Regulation and Lending Standards," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-086r1, Oct, revised 25 Jun 2025, DOI: 10.17016/FEDS.2020.086r1.
• Arno Botha & Conrad Beyers & Pieter de Villiers, 2020, "Simulation-based optimisation of the timing of loan recovery across different portfolios," Papers, arXiv.org, number 2009.11064, Sep, revised Apr 2021.
• Aref Mahdavi Ardekani, 2020, "Liquidity, Interbank Network Topology and Bank Capital," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 20022, Oct.
• Michele Leonardo Bianchi & Giovanni De Luca & Giorgia Rivieccio, 2020, "CoVaR with volatility clustering, heavy tails and non-linear dependence," Papers, arXiv.org, number 2009.10764, Sep.
• Timo Dimitriadis & Xiaochun Liu & Julie Schnaitmann, 2020, "Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary," Papers, arXiv.org, number 2009.07341, Sep.
• Min Dai & Xavier Giroud & Wei Jiang & Neng Wang, 2020, "A q Theory of Internal Capital Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 27931, Oct.
• Thomas Dierckx & Jesse Davis & Wim Schoutens, 2020, "Using Machine Learning and Alternative Data to Predict Movements in Market Risk," Papers, arXiv.org, number 2009.07947, Sep.
• William Lefebvre & Gregoire Loeper & Huy^en Pham, 2020, "Mean-variance portfolio selection with tracking error penalization," Papers, arXiv.org, number 2009.08214, Sep, revised Sep 2020.
• Nicole Bauerle & Alexander Glauner, 2020, "Markov Decision Processes with Recursive Risk Measures," Papers, arXiv.org, number 2010.07220, Oct.
• Zongwu Cai & Chaoqun Ma & Xianhua Mi, 2020, "Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202016, Sep, revised Sep 2020.
• David Itkin & Martin Larsson, 2020, "Robust Asymptotic Growth in Stochastic Portfolio Theory under Long-Only Constraints," Papers, arXiv.org, number 2009.08533, Sep, revised Aug 2021.
• Mushtaq Hussain Khan & Junaid Ahmed & Mazhar Mughal, 2020, "Oil Price Volatility and Stock Returns: Evidence from Three Oil-price Wars," PIDE-Working Papers, Pakistan Institute of Development Economics, number 2020:22.
• Marcin BORSUK & Oskar KOWALEWSKI & Jianping QI, 2020, "The Dark Side of the Bank Levy," Working Papers, IESEG School of Management, number 2020-ACF-08, Aug.
• Brendan K. Beare & Won-Ki Seo & Alexis Akira Toda, 2020, "Tail behavior of stopped L\'evy processes with Markov modulation," Papers, arXiv.org, number 2009.08010, Sep.
• Wolfgang Karl Hardle & Elena Silyakova, 2020, "Implied Basket Correlation Dynamics," Papers, arXiv.org, number 2009.09770, Sep.
• Ai Jun Hou & Weining Wang & Cathy Y. H. Chen & Wolfgang Karl Hardle, 2020, "Pricing Cryptocurrency Options," Papers, arXiv.org, number 2009.11007, Sep.
• Fr'ed'eric Butin, 2020, "Generalized distance to a simplex and a new geometrical method for portfolio optimization," Papers, arXiv.org, number 2009.08826, Sep.
• Anusha Chari & Karlye Dilts Stedman & Christian Lundblad, 2020, "Capital Flows in Risky Times: Risk-on/Risk-off and Emerging Market Tail Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 27927, Oct.
• Todd Keister & Yuliyan Mitkov, 2020, "Allocating Losses: Bail-ins, Bailouts and Bank Regulation," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2020_091, Sep.
• Degiannakis, Stavros & Floros, Christos & Salvador, Enrique & Vougas, Dimitrios, 2020, "On the Stationarity of Futures Hedge Ratios," MPRA Paper, University Library of Munich, Germany, number 102907, Aug.
• Haroon Mumtaz, 2020, "A Generalised Stochastic Volatility in Mean VAR. An Updated Algorithm," Working Papers, Queen Mary University of London, School of Economics and Finance, number 908, Jul.
• Aikaterini Koutsouri & Francesco Poli & Elise Alfieri & Michael Petch & Walter Distaso & William J Knottenbelt, 2019, "Balancing Cryptoassets and Gold: A Weighted-Risk-Contribution Index for the Alternative Asset Space," Post-Print, HAL, number hal-02952145, May, DOI: 10.1007/978-3-030-37110-4_15.
• Peter K. Friz & Paul Gassiat & Paolo Pigato, 2020, "Short dated smile under Rough Volatility: asymptotics and numerics," Papers, arXiv.org, number 2009.08814, Sep, revised Sep 2021.
• mosse, Michelle veren, 2020, "Entrepreunial Orientation : Open Innovation Concept and Risk Management Measurement," OSF Preprints, Center for Open Science, number 72qn4, Oct, DOI: 10.31219/osf.io/72qn4.
• Yeguang Chi & Wenyan Hao, 2020, "A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets," Papers, arXiv.org, number 2010.07402, Oct.
• Sergey Nasekin & Wolfgang Karl Hardle, 2020, "Model-driven statistical arbitrage on LETF option markets," Papers, arXiv.org, number 2009.09713, Sep.
• Xi, Wenwen & Hayes, Dermot & Lence, Sergio Horacio, 2019, "Variance risk premia for agricultural commodities," ISU General Staff Papers, Iowa State University, Department of Economics, number 201901010800001699, Jan.

Report NEP-RMG-2020-10-26

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: