Report NEP-RMG-2020-11-09

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:

• Zongwu Cai & Xiyuan Liu, 2020. "A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202017, University of Kansas, Department of Economics, revised Oct 2020.
• Arno Botha & Conrad Beyers & Pieter de Villiers, 2020. "The loss optimisation of loan recovery decision times using forecast cash flows," Papers 2010.05601, arXiv.org.
• Aref Mahdavi Ardekani, 2020. "Liquidity, Interbank Network Topology and Bank Capital," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02967226, HAL.
• Marcin Pitera & Thorsten Schmidt, 2020. "Estimating and backtesting risk under heavy tails," Papers 2010.09937, arXiv.org, revised Jan 2022.
• de Bandt Olivier & Lecarpentier Sandrine & Pouvelle Cyril, 2020. "Determinants of Banks’ Liquidity: a French Perspective on Interactions between Market and Regulatory Requirements," Working papers 782, Banque de France.
• Alessandro Doldi & Marco Frittelli, 2020. "Conditional Systemic Risk Measures," Papers 2010.11515, arXiv.org, revised May 2021.
• Shinsuke Ikeda & Eiji Yamamura & Yoshiro Tsutsui, 2020. "COVID-19 Enhanced Diminishing Sensitivity in Prospect-Theory Risk Preferences: A Panel Analysis," ISER Discussion Paper 1106, Institute of Social and Economic Research, Osaka University.
• Nguyen, Phong Thanh & Phu Nguyen, Cuong, 2019. "Risk Management in Engineering and Construction," MPRA Paper 103509, University Library of Munich, Germany, revised 09 Jan 2020.
• Derek Singh & Shuzhong Zhang, 2020. "Tight Bounds for a Class of Data-Driven Distributionally Robust Risk Measures," Papers 2010.05398, arXiv.org, revised Oct 2020.
• Elie Bouri & Rangan Gupta & Anandamayee Majumdar & Sowmya Subramaniam, 2020. "Time-Varying Risk Aversion and Forecastability of the US Term Structure of Interest Rates," Working Papers 202098, University of Pretoria, Department of Economics.
• Melchisedek Joslem Ngambou Djatche, 2020. "Monetary Policy, Prudential Policy, and Bank's Risk-Taking: A Literature Review," GREDEG Working Papers 2020-40, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
• Tetsuo Kurosaki & Young Shin Kim, 2020. "Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk," Papers 2010.08900, arXiv.org.
• Nina Boyarchenko & Thomas M. Eisenbach & Pooja Gupta & Or Shachar & Peter Van Tassel, 2020. "How Has Post-Crisis Banking Regulation Affected Hedge Funds and Prime Brokers?," Liberty Street Economics 20201019, Federal Reserve Bank of New York.
• Svetlana Bender & James J. Choi & Danielle Dyson & Adriana Z. Robertson, 2020. "Millionaires Speak: What Drives Their Personal Investment Decisions?," NBER Working Papers 27969, National Bureau of Economic Research, Inc.
• Martin S. Eichenbaum & Miguel Godinho de Matos & Francisco Lima & Sergio Rebelo & Mathias Trabandt, 2020. "Expectations, Infections, and Economic Activity," NBER Working Papers 27988, National Bureau of Economic Research, Inc.
• Shixuan Wang & Rangan Gupta & Yue-Jun Zhang, 2020. "Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data," Working Papers 202097, University of Pretoria, Department of Economics.
• Anand, Kartik & Mankart, Jochen, 2020. "Sovereign risk and bank fragility," Discussion Papers 54/2020, Deutsche Bundesbank.
• Feng Zhang & Ruite Guo & Honggao Cao, 2020. "Information Coefficient as a Performance Measure of Stock Selection Models," Papers 2010.08601, arXiv.org.
• Martynova, Natalya & Perotti, Enrico C. & Suárez, Javier, 2020. "Bank capital forbearance and serial gambling," Discussion Papers 56/2020, Deutsche Bundesbank.
• Itamar Drechsler & Alan Moreira & Alexi Savov, 2020. "Liquidity and Volatility," NBER Working Papers 27959, National Bureau of Economic Research, Inc.
• Lam, Clifford, 2020. "High-dimensional covariance matrix estimation," LSE Research Online Documents on Economics 101667, London School of Economics and Political Science, LSE Library.
• Kramer, Berber & Rusconi, Rob & Glauber, Joseph W., 2020. "Five years of regional risk pooling: An updated cost-benefit analysis of the African risk capacity," IFPRI discussion papers 1965, International Food Policy Research Institute (IFPRI).
• Peiwan Wang & Lu Zong, 2020. "Are Crises Predictable? A Review of the Early Warning Systems in Currency and Stock Markets," Papers 2010.10132, arXiv.org.
• Nishant Agrawal & Yaozhong Hu, 2020. "Jump Models with delay -- option pricing and logarithmic Euler-Maruyama scheme," Papers 2010.04287, arXiv.org, revised Oct 2020.