Report NEP-RMG-2020-12-14

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:

• Martin Ewen & Marc Oliver Rieger, 2019, "Systemic Impact of the Risk Based Fund Classification and Implications for Fund Management," Working Paper Series, University of Trier, Research Group Quantitative Finance and Risk Analysis, number 2019-01.
• Mengjin Zhao & Guangyan Jia, 2020, "Continuous-Time Risk Contribution of the Terminal Variance and its Related Risk Budgeting Problem," Papers, arXiv.org, number 2011.10747, Nov, revised Feb 2022.
• Dorra Ellouze & Khadija Mnasri, 2019, "Risk-taking behaviour of family firms: evidence from Tunisia," Post-Print, HAL, number hal-02999642, Dec, DOI: 10.1504/IJESB.2020.10025931.
• Fabio Baione & Davide Biancalana & Paolo De Angelis, 2020, "A Risk Based approach for the Solvency Capital requirement for Health Plans," Papers, arXiv.org, number 2011.09254, Nov.
• Marc Sabate-Vidales & David v{S}iv{s}ka & Lukasz Szpruch, 2020, "Solving path dependent PDEs with LSTM networks and path signatures," Papers, arXiv.org, number 2011.10630, Nov.
• Simona Nistor & Steven Ongena, 2020, "The Impact of Policy Interventions on Systemic Risk across Banks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-101, Dec.
• Georgina Onuma Kalu & Chinemerem Dennis Ikpe & Benjamin Ifeanyichukwu Oruh & Samuel Asante Gyamerah, 2020, "State Space Vasicek Model of a Longevity Bond," Papers, arXiv.org, number 2011.12753, Nov.
• Gertsman, Gleb & Frehen, Rik & Werker, Bas J.M., 2019, "Would Ambiguity Averse Investors Hedge Risk in Equity Markets?," Other publications TiSEM, Tilburg University, School of Economics and Management, number bd3eb3e5-517e-40d4-aab9-e.
• Denuit, M. & Robert, C.Y., 2020, "From risk sharing to pure premium for a large number of heterogeneous losses," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020015, Jan.
• Berardino Palazzo & Ram Yamarthy, 2020, "Credit Risk and the Transmission of Interest Rate Shocks," Working Papers, Office of Financial Research, US Department of the Treasury, number 20-05, Dec.
• Aurélien Nioche & Nicolas P. Rougier & Marc Deffains & Sacha Bourgeois-Gironde & Sébastien Ballesta & Thomas Boraud, 2021, "The adaptive value of probability distortion and risk-seeking in macaques' decision-making," Post-Print, HAL, number hal-03005035, Jan, DOI: 10.1098/rstb.2019.0668.
• Tomasz Olma, 2020, "Nonparametric Estimation of Truncated Conditional Expectation Functions," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2020_244, Nov.
• Ji Cao & Marc Oliver Rieger & Lei Zhao, 2019, "Safety First, Loss Probability, and the Cross Section of Expected Stock Returns," Working Paper Series, University of Trier, Research Group Quantitative Finance and Risk Analysis, number 2019-02.
• Heuver, Richard, 2020, "Applications of liquidity risk discovery using financial market infrastructures transaction archives," Other publications TiSEM, Tilburg University, School of Economics and Management, number c33f9db1-8b3f-43ab-bddd-3.
• Nijskens, Rob & Mokas, Dimitris, 2019, "Credit Risk in Commercial Real Estate Bank Loans : The Role of Idiosyncratic versus Macro-Economic Factors," Other publications TiSEM, Tilburg University, School of Economics and Management, number ea4f2f0e-dc50-4987-91d3-6.
• Denuit, M. & Robert, C.Y., 2020, "Ultimate behavior of conditional mean risk sharing for independent compound Panjer-Katz sums with gamma and Pareto severities," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020014, Jan.
• Dave Altig & Scott Baker & Jose Maria Barrero & Nick Bloom & Phil Bunn & Scarlet Chen & Steven J Davis & Julia Leather & Brent Meyer & Emil Mihaylov & Paul Mizen & Nick Parker & Thomas Renault & Pawel, 2020, "Economic uncertainty before and during the COVID-19 pandemic," Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM), number 2020/07.
• Einmahl, John & He, Y., 2020, "Unified Extreme Value Estimation for Heterogeneous Data," Other publications TiSEM, Tilburg University, School of Economics and Management, number dfe6c38c-823b-4394-b4fd-a.
• Einmahl, John & Segers, Johan, 2020, "Empirical Tail Copulas for Functional Data," Other publications TiSEM, Tilburg University, School of Economics and Management, number edc722e6-cc70-4221-87a2-8.
• de Bresser, Jochem & Knoef, Marike, 2019, "Heterogeneous Default Effects on Retirement Saving : Sledgehammers or Precision Instruments," Other publications TiSEM, Tilburg University, School of Economics and Management, number c889dcee-39b2-4817-99fc-7.
• Javier Pantoja Robayo & Juan C. Vera, 2020, "Static Hedging of Weather and Price Risks in Electricity Markets," Papers, arXiv.org, number 2011.08620, Nov.
• Atul Deshpande & John A Gubner & B. Ross Barmish, 2020, "On Simultaneous Long-Short Stock Trading Controllers with Cross-Coupling," Papers, arXiv.org, number 2011.09109, Nov.
• Ignaszak, Marek & Jung, Philip & Kuester, Keith, 2020, "Federal Unemployment Reinsurance and Local Labor-Market Policies," IZA Discussion Papers, Institute of Labor Economics (IZA), number 13886, Nov.
• Matey, Juabin, 2019, "Financial Performance Analysis Of Distressed Banks: Exploration Of Financial Ratios And The Z-score," MPRA Paper, University Library of Munich, Germany, number 104499, Nov, revised 19 Nov 2019.
• Gunduz Caginalp, 2020, "Fat tails arise endogenously in asset prices from supply/demand, with or without jump processes," Papers, arXiv.org, number 2011.08275, Nov, revised Mar 2021.
• Francesca Di Iorio & Stefano Fachin, 2020, "Forecasting mortality rates and life expectancy in the year of Covid-19," DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome, number 2020/1, Nov.

Report NEP-RMG-2020-12-14

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: