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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. 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:
- 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, University of Kansas, Department of Economics, number 202017, Oct, revised Oct 2020.
- Arno Botha & Conrad Beyers & Pieter de Villiers, 2020, "The loss optimisation of loan recovery decision times using forecast cash flows," Papers, arXiv.org, number 2010.05601, Oct.
- Aref Mahdavi Ardekani, 2020, "Liquidity, Interbank Network Topology and Bank Capital," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-02967226, Dec.
- Marcin Pitera & Thorsten Schmidt, 2020, "Estimating and backtesting risk under heavy tails," Papers, arXiv.org, number 2010.09937, Oct, revised Jan 2022.
- Olivier de Bandt & Sandrine Lecarpentier & Cyril Pouvelle, 2020, "Determinants of Banks Liquidity: a French Perspective on Interactions between Market and Regulatory Requirements," Working papers, Banque de France, number 782.
- Alessandro Doldi & Marco Frittelli, 2020, "Conditional Systemic Risk Measures," Papers, arXiv.org, number 2010.11515, Oct, 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, Institute of Social and Economic Research, The University of Osaka, number 1106, Oct.
- Nguyen, Phong Thanh & Phu Nguyen, Cuong, 2019, "Risk Management in Engineering and Construction," MPRA Paper, University Library of Munich, Germany, number 103509, Feb, revised 09 Jan 2020.
- Derek Singh & Shuzhong Zhang, 2020, "Tight Bounds for a Class of Data-Driven Distributionally Robust Risk Measures," Papers, arXiv.org, number 2010.05398, Oct, 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, University of Pretoria, Department of Economics, number 202098, Oct.
- Melchisedek Joslem Ngambou Djatche, 2020, "Monetary Policy, Prudential Policy, and Bank's Risk-Taking: A Literature Review," GREDEG Working Papers, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France, number 2020-40, Oct.
- Tetsuo Kurosaki & Young Shin Kim, 2020, "Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk," Papers, arXiv.org, number 2010.08900, Oct.
- 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, Federal Reserve Bank of New York, number 20201019, Oct.
- Svetlana Bender & James J. Choi & Danielle Dyson & Adriana Z. Robertson, 2020, "Millionaires Speak: What Drives Their Personal Investment Decisions?," NBER Working Papers, National Bureau of Economic Research, Inc, number 27969, Oct.
- Martin S. Eichenbaum & Miguel Godinho de Matos & Francisco Lima & Sergio Rebelo & Mathias Trabandt, 2020, "Expectations, Infections, and Economic Activity," NBER Working Papers, National Bureau of Economic Research, Inc, number 27988, Oct.
- 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, University of Pretoria, Department of Economics, number 202097, Oct.
- Anand, Kartik & Mankart, Jochen, 2020, "Sovereign risk and bank fragility," Discussion Papers, Deutsche Bundesbank, number 54/2020.
- Feng Zhang & Ruite Guo & Honggao Cao, 2020, "Information Coefficient as a Performance Measure of Stock Selection Models," Papers, arXiv.org, number 2010.08601, Oct.
- Martynova, Natalya & Perotti, Enrico C. & Suárez, Javier, 2020, "Bank capital forbearance and serial gambling," Discussion Papers, Deutsche Bundesbank, number 56/2020.
- Itamar Drechsler & Alan Moreira & Alexi Savov, 2020, "Liquidity and Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 27959, Oct.
- Lam, Clifford, 2020, "High-dimensional covariance matrix estimation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 101667, Mar.
- 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, International Food Policy Research Institute (IFPRI), number 1965.
- Peiwan Wang & Lu Zong, 2020, "Are Crises Predictable? A Review of the Early Warning Systems in Currency and Stock Markets," Papers, arXiv.org, number 2010.10132, Oct.
- Nishant Agrawal & Yaozhong Hu, 2020, "Jump Models with delay -- option pricing and logarithmic Euler-Maruyama scheme," Papers, arXiv.org, number 2010.04287, Oct, revised Oct 2020.