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Report NEP-RMG-2020-11-16
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:
- Anna Ananova & Rama Cont & Renyuan Xu, 2020, "Model-free Analysis of Dynamic Trading Strategies," Papers, arXiv.org, number 2011.02870, Nov, revised Mar 2025.
- Franziska Schütze, 2020, "Transition Risks and Opportunities in Residential Mortgages," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1910.
- T. R. B. den Haan & K. W. Chau & M. van der Schans & C. W. Oosterlee, 2020, "Rule-based Strategies for Dynamic Life Cycle Investment," Papers, arXiv.org, number 2011.02596, Nov.
- Kristoffer Andersson & Cornelis W. Oosterlee, 2020, "Deep learning for CVA computations of large portfolios of financial derivatives," Papers, arXiv.org, number 2010.13843, Oct.
- Amir Mukeri & Habibullah Shaikh & D. P. Gaikwad, 2020, "Financial Data Analysis Using Expert Bayesian Framework For Bankruptcy Prediction," Papers, arXiv.org, number 2010.13892, Oct, revised Oct 2020.
- Aref Mahdavi Ardekani, 2020, "Liquidity, Interbank Network Topology and Bank Capital," Post-Print, HAL, number halshs-02967226, Dec.
- Mario Ghossoub & Jesse Hall & David Saunders, 2020, "Maximum Spectral Measures of Risk with given Risk Factor Marginal Distributions," Papers, arXiv.org, number 2010.14673, Oct.
- A. Georgantas, 2020, "Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis," Papers, arXiv.org, number 2010.13397, Oct.
- Stefan Kremsner & Alexander Steinicke & Michaela Szolgyenyi, 2020, "A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics," Papers, arXiv.org, number 2010.15757, Oct, revised Dec 2020.
- Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2020, "Prediction accuracy of bivariate score-driven risk premium and volatility filters: an illustration for the Dow Jones," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 31339, Nov.
- Sigurd Galaasen & Rustam Jamilov & Ragnar Juelsrud & Hélène Rey, 2020, "Granular Credit Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 27994, Oct.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2020, "Uncertainty due to Infectious Diseases and Forecastability of the Realized Variance of US REITs: A Note," Working Papers, University of Pretoria, Department of Economics, number 202099, Oct.
- Faizaan Pervaiz & Christopher Goh & Ashley Pennington & Samuel Holt & James West & Shaun Ng, 2020, "Fear and Volatility in Digital Assets," Papers, arXiv.org, number 2010.15611, Oct.
- Jochen Güntner & Benjamin Karner, 2020, "Hedging with commodity futures and the end of normal Backwardation," Economics working papers, Department of Economics, Johannes Kepler University Linz, Austria, number 2020-21, Nov.
- Andrés Alonso & José Manuel Carbó, 2020, "Machine learning in credit risk: measuring the dilemma between prediction and supervisory cost," Working Papers, Banco de España, number 2032, Oct.
- Xudong An & Lawrence R. Cordell, 2020, "Mortgage Loss Severities: What Keeps Them So High?," Working Papers, Federal Reserve Bank of Philadelphia, number 20-37, Sep, DOI: 10.21799/frbp.wp.2020.37.
- Matteo Bonato & Rangan Gupta & Christian Pierdzioch, 2020, "Do Oil-Price Shocks Predict the Realized Variance of U.S. REITs?," Working Papers, University of Pretoria, Department of Economics, number 2020100, Nov.
- Gajurel, Dinesh & Chowdhury, Biplob, 2020, "Realized volatility, jump and beta: evidence from Canadian stock market," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2020-11.
- Tae-Hwy Lee & Ekaterina Seregina, 2020, "Optimal Portfolio Using Factor Graphical Lasso," Working Papers, University of California at Riverside, Department of Economics, number 202025, Sep.
- Agostino Capponi & Zhaoyu Zhang, 2020, "Risk Preferences and Efficiency of Household Portfolios," Papers, arXiv.org, number 2010.13928, Oct.
- T. -N. Nguyen & M. -N. Tran & R. Kohn, 2020, "Recurrent Conditional Heteroskedasticity," Papers, arXiv.org, number 2010.13061, Oct, revised Jan 2022.
- Bedayo, Mikel & Jiménez, Gabriel & Peydró, José Luis & Vegas, Raquel, 2023, "Screening and loan origination time: Lending standards, loan defaults and bank failures," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 225986.
- Isao Yagi & Yuji Masuda & Takanobu Mizuta, 2020, "Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity," Papers, arXiv.org, number 2010.13038, Oct.