Report NEP-RMG-2020-12-07

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:

• Magdalena Tywoniuk, 2020, "CDS Central Counterparty Clearing Default Measures: Road to Recovery or Invitation to Predation?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-95, Nov.
• Nicola Borri & Giorgio Di Giorgio, 2020, "Systemic Risk and the COVID Challenge in the European Banking Sector," Working Papers CASMEF, Dipartimento di Economia e Finanza, LUISS Guido Carli, number 2005, Oct.
• Hamidreza Arian & Hossein Poorvasei & Azin Sharifi & Shiva Zamani, 2020, "The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold," Papers, arXiv.org, number 2011.06693, Nov.
• Zehra Eksi & Damir Filipović, 2020, "Affine Pricing and Hedging of Collateralized Debt Obligations," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-94, Nov.
• Seyed Mohammad Sina Seyfi & Azin Sharifi & Hamidreza Arian, 2020, "Portfolio Risk Measurement Using a Mixture Simulation Approach," Papers, arXiv.org, number 2011.07994, Nov.
• Gurgone, Andrea & Iori, Giulia, 2020, "Macroprudential capital buffers in heterogeneous banking networks: Insights from an ABM with liquidity crises," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 164.
• Barbora Stepankova, 2020, "Consistency of Banks' Internal Probability of Default Estimates," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2020/44, Nov, revised Nov 2020.
• Megaritis, Anastasios & Vlastakis, Nikolaos & Triantafyllou, Athanasios, 2020, "Stock market volatility and jumps in times of uncertainty," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 29200, Nov.
• Kevin J. Stiroh, 2020, "A Microprudential Perspective on the Financial Risks of Climate Change," Speech, Federal Reserve Bank of New York, number 89062, Nov.
• Ge, S., 2020, "Text-Based Linkages and Local Risk Spillovers in the Equity Market," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 20115, Nov.
• Gulcan Yildirim Gungor & Tuba Pelin Sumer, 2020, "Alternative Approaches for Modelling Corporate Sector Credit Risk," CBT Research Notes in Economics, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 2017.
• Nishimura, Yukihiro & Pestieau, Pierre, 2020, "Old age or dependence. Which social insurance?," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2020030, Oct.
• Bogle, David A. & Coyle, Christopher & Turner, John D., 2020, "Capital market development over the long run: The portfolios of UK life assurers over two centuries," QUCEH Working Paper Series, Queen's University Belfast, Queen's University Centre for Economic History, number 2020-09.
• World Bank, 2020, "Catastrophe Insurance Programs for Public Assets," World Bank Publications - Reports, The World Bank Group, number 34440, Aug.
• Silvana Pesenti & Qiuqi Wang & Ruodu Wang, 2020, "Optimizing distortion riskmetrics with distributional uncertainty," Papers, arXiv.org, number 2011.04889, Nov, revised Feb 2022.
• L. Bauwens & E. Otranto, 2020, "Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 202007.
• Yao Axel Ehouman, 2020, "Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a Copula Approach," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2020-31.
• Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020, "Performance of maturity transformation strategies," Discussion Papers, Deutsche Bundesbank, number 58/2020.
• Hirdesh K. Pharasi & Eduard Seligman & Suchetana Sadhukhan & Parisa Majari & Thomas H. Seligman, 2020, "Dynamics of market states and risk assessment," Papers, arXiv.org, number 2011.05984, Nov, revised Sep 2023.
• P'al Andr'as Papp & Roger Wattenhofer, 2020, "Sequential Defaulting in Financial Networks," Papers, arXiv.org, number 2011.10485, Nov.
• Theissen, Erik & Yilanci, Can, 2020, "Momentum? What Momentum?," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-09.
• Laurent Ferrara & Matteo Mogliani & Jean-Guillaume Sahuc, 2020, "High-Frequency Monitoring of Growth-at-Risk," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-97, Nov.
• Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2020, "Implicit Incentives for Fund Managers with Partial Information," Papers, arXiv.org, number 2011.07871, Nov.
• Victoria Vanasco & Enrico Sette & Andrea Polo & José-Luis Peydró, 2020, "Risk Mitigating versus Risk Shifting: Evidence from Banks Security Trading in Crises," Working Papers, Barcelona School of Economics, number 1219, Nov.
• Riza Demirer & Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2020, "Effect of Rare Disaster Risks on Crude Oil: Evidence from El Nino from Over 140 Years of Data," Working Papers, University of Pretoria, Department of Economics, number 2020104, Nov.
• Yuanhua Feng & Jan Beran & Sebastian Letmathe & Sucharita Ghosh, 2020, "Fractionally integrated Log-GARCH with application to value at risk and expected shortfall," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 137, Nov.
• Marco Caliendo & Deborah A. Cobb-Clark & Cosima Obst & Arne Uhlendorff, 2020, "Risk Preferences and Training Investments," SOEPpapers on Multidisciplinary Panel Data Research, DIW Berlin, The German Socio-Economic Panel (SOEP), number 1113.
• Jorge Gonz'alez C'azares & Aleksandar Mijatovi'c, 2020, "Simulation of the drawdown and its duration in L\'{e}vy models via stick-breaking Gaussian approximation," Papers, arXiv.org, number 2011.06618, Nov, revised Mar 2021.
• Ghamami, Samim & Glasserman, Paul & Young, Hobart, 2022, "Collateralized networks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 107496, Mar.

Report NEP-RMG-2020-12-07

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: