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Report NEP-RMG-2020-11-23
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:
- Item repec:avg:wpaper:en11687 is not listed on IDEAS anymore
- Qing Yang & Zhenning Hong & Ruyan Tian & Tingting Ye & Liangliang Zhang, 2020, "Asset Allocation via Machine Learning and Applications to Equity Portfolio Management," Papers, arXiv.org, number 2011.00572, Nov, revised Nov 2020.
- John Armstrong & Damiano Brigo & Alex S. L. Tse, 2020, "The importance of dynamic risk constraints for limited liability operators," Papers, arXiv.org, number 2011.03314, Nov.
- Miryana Grigorova & Marie-Claire Quenez & Agnès Sulem, 2020, "European options in a non-linear incomplete market model with default," Post-Print, HAL, number hal-02025833, Sep, DOI: 10.1137/20M1318018.
- Vincenzo Candila & Giampiero M. Gallo & Lea Petrella, 2020, "Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall," Papers, arXiv.org, number 2011.00552, Nov, revised Mar 2023.
- Romain Gauchon & Stéphane Loisel & Jean-Louis Rullière & Julien Trufin, 2021, "Optimal prevention of large risks with two types of claims," Post-Print, HAL, number hal-02314914, DOI: 10.1080/03461238.2020.1844791.
- Dietmar Pfeifer & Olena Ragulina, 2020, "Adaptive Bernstein Copulas and Risk Management," Papers, arXiv.org, number 2011.00909, Nov, revised Mar 2021.
- Fricke, Daniel & Wilke, Hannes, 2020, "Connected Funds," VfS Annual Conference 2020 (Virtual Conference): Gender Economics, Verein für Socialpolitik / German Economic Association, number 224511.
- Dimitriadis, Timo & Liu, Xiaochun & Schnaitmann, Julie, 2020, "Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary," Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences, number 11-2020.
- Martin F. Hellwig, 2020, "Twelve Years after the Financial Crisis – Too-big-to-fail is still with us. Comments on the Financial Stability Board’s Consultation Report ‘Evaluation of the Effects of Too-big-to-fail reforms’," Discussion Paper Series of the Max Planck Institute for Behavioral Economics, Max Planck Institute for Behavioral Economics, number 2020_24, Oct.
- Mariano Zeron & Ignacio Ruiz, 2020, "Dynamic sensitivities and Initial Margin via Chebyshev Tensors," Papers, arXiv.org, number 2011.04544, Nov.
- Thomas Bernhardt & Catherine Donnelly, 2020, "Quantifying the trade-off between income stability and the number of members in a pooled annuity fund," Papers, arXiv.org, number 2010.16009, Oct.
- Adriana Grasso & Juan Passadore & Facundo Piguillem, 2020, "The macroeconomics of hedging income shares," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1283, Jun.
- Bernd Schwaab & Xin Zhang & Andre Lucas, 2020, "Modeling extreme events: time-varying extreme tail shape," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 20-076/III, Nov.
- Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2020, "Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models," Papers, arXiv.org, number 2011.03741, Nov, revised Dec 2020.
- Jeffrey Cohen & Clark Alexander, 2020, "Picking Efficient Portfolios from 3,171 US Common Stocks with New Quantum and Classical Solvers," Papers, arXiv.org, number 2011.01308, Oct.
- Toms, Darcy B., , "A Risk-Assessment of Intelligent Vehicle-Highway Systems," 29th Annual Canadian Transportation Research Forum, Vancouver, British Columbia, May 15-18, 1994, Canadian Transportation Research Forum (CTRF), number 306039, DOI: 10.22004/ag.econ.306039.
- Tae-Hwy Lee & Ekaterina Seregina, 2020, "Optimal Portfolio Using Factor Graphical Lasso," Papers, arXiv.org, number 2011.00435, Nov, revised Apr 2023.
- Tomav{z} Fleischman & Paolo Dini, 2020, "Balancing the Payment System," Papers, arXiv.org, number 2011.03517, Nov.
- Hartwig, Benny, 2020, "Robust Inference in Time-Varying Structural VAR Models: The DC-Cholesky Multivariate Stochastic Volatility Model," VfS Annual Conference 2020 (Virtual Conference): Gender Economics, Verein für Socialpolitik / German Economic Association, number 224528.
- Viktor Stojkoski & Trifce Sandev & Lasko Basnarkov & Ljupco Kocarev & Ralf Metzler, 2020, "Generalised geometric Brownian motion: Theory and applications to option pricing," Papers, arXiv.org, number 2011.00312, Oct.
- Item repec:hal:wpaper:hal-02891798 is not listed on IDEAS anymore
- Loann David Denis Desboulets, 2020, "Sparse Manifolds Graphical Modelling with Missing Values: An Application to the Commodity Futures Market," Working Papers, HAL, number hal-02986982, Nov.