Report NEP-RMG-2020-12-21

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Taras Bodnar & Mathias Lindholm & Vilhelm Niklasson & Erik Thors'en, 2020, "Bayesian Quantile-Based Portfolio Selection," Papers, arXiv.org, number 2012.01819, Dec.
• Daniel Felix Ahelegbey, 2020, "Statistical Modelling of Downside Risk Spillovers," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 193, Oct.
• Shige Peng & Shuzhen Yang, 2020, "Distributional uncertainty of the financial time series measured by G-expectation," Papers, arXiv.org, number 2011.09226, Nov, revised Jul 2021.
• Gian Paolo Clemente & Alessandra Cornaro, 2020, "Assessing Systemic Risk in the Insurance Sector via Network Theory," Papers, arXiv.org, number 2011.11394, Nov.
• Bahman Angoshtari & Virginia R. Young, 2020, "Optimal Insurance to Minimize the Probability of Ruin: Inverse Survival Function Formulation," Papers, arXiv.org, number 2012.03798, Dec.
• Daniel Felix Ahelegbey & Paolo Giudici, 2020, "NetVIX - A Network Volatility Index of Financial Markets," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 192, Sep.
• Laurence M. Ball, 2020, "Liquidity Risk at Large U.S. Banks," NBER Working Papers, National Bureau of Economic Research, Inc, number 28124, Nov.
• Anish Rai & Ajit Mahata & Md Nurujjaman & Om Prakash, 2020, "Statistical properties of the aftershocks of stock market crashes revisited: Analysis based on the 1987 crash, financial-crisis-2008 and COVID-19 pandemic," Papers, arXiv.org, number 2012.03012, Dec, revised Sep 2021.
• Dominika Ehrenbergerova & Martin Hodula & Zuzana Rakovska, 2020, "Does Capital-Based Regulation Affect Bank Pricing Policy?," Working Papers, Czech National Bank, Research and Statistics Department, number 2020/5, Nov.
• Shuzhen Yang, 2020, "Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis," Papers, arXiv.org, number 2011.10966, Nov.
• Harris, Timothy F. & Yelowitz, Aaron & Courtemanche, Charles, 2020, "Did COVID-19 Change Life Insurance Offerings?," IZA Discussion Papers, Institute of Labor Economics (IZA), number 13912, Nov.
• H. Fink & S. Geissel & J. Herbinger & F. T. Seifried, 2019, "Portfolio Optimization with Optimal Expected Utility Risk Measures," Working Paper Series, University of Trier, Research Group Quantitative Finance and Risk Analysis, number 2019-07.
• Filippo Giovannelli & Alessandra Iannamorelli & Aviram Levy & Marco Orlandi, 2020, "The In-house credit assessment system of Banca d'Italia," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 586, Nov.
• Levent Altinoglu & Joseph E. Stiglitz, 2020, "Collective Moral Hazard and the Interbank Market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-098, Dec, DOI: 10.17016/FEDS.2020.098.
• J-C Gerlach & Dongshuai Zhao, CFA & Didier Sornette, 2020, "Forecasting Financial Crashes: A Dynamic Risk Management Approach," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-103, Dec.
• Lars A. Lochstoer & Tyler Muir, 2020, "Volatility Expectations and Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 28102, Nov.
• Sebastian Infante & Guillermo Ordoñez, 2020, "The Collateral Link between Volatility and Risk Sharing," NBER Working Papers, National Bureau of Economic Research, Inc, number 28119, Nov.
• Sara Almadani & Michael M. Batty & Danielle Nemschoff & Wayne Passmore, 2020, "The Stability of Safe Asset Production," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2020-11-09-3, Nov, DOI: 10.17016/2380-7172.2787.
• Jack McCoy & Francisco J. Palomino & Ander Pérez-Orive & Charles Press & Gerardo Sanz-Maldonado, 2020, "Interest Coverage Ratios: Assessing Vulnerabilities in Nonfinancial Corporate Credit," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2020-12-03-1, Dec, DOI: 10.17016/2380-7172.2779.
• Florian Exler & Igor Livshits & James MacGee & Michèle Tertilt, 2020, "Consumer Credit With Over-Optimistic Borrowers," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2020_245, Nov.
• Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020, "Tempered Stable Processes with Time Varying Exponential Tails," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-03018495, Nov.
• Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2020, "Forecasting Realized Stock-Market Volatility: Do Industry Returns have Predictive Value?," Working Papers, University of Pretoria, Department of Economics, number 2020107, Dec.
• Xiaowei Chen & Wing Fung Chong & Runhuan Feng & Linfeng Zhang, 2020, "Pandemic risk management: resources contingency planning and allocation," Papers, arXiv.org, number 2012.03200, Dec.
• Felix Haase & Matthias Neuenkirch, 2020, "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Working Paper Series, University of Trier, Research Group Quantitative Finance and Risk Analysis, number 2020-03.
• M. Casares & H. Khan & Jean-Christophe Poutineau, 2020, "The extensive margin and US aggregate fluctuations: A quantitative assessment," Post-Print, HAL, number hal-03004552, DOI: 10.1016/j.jedc.2020.103997.
• Nicola, Giancarlo & Cerchiello, Paola & Aste, Tomaso, 2020, "Information network modeling for U.S. banking systemic risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 107563, Nov.
• Olkhov, Victor, 2020, "Business Cycles as Collective Risk Fluctuations," MPRA Paper, University Library of Munich, Germany, number 104598, Dec.
• Raphaël Douady & Yao Kuang, 2020, "Crisis Risk Prediction with Concavity from Polymodel," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-03018481, Nov.
• Van der Ghote, Alejandro, 2020, "Benefits of macro-prudential policy in low interest rate environments," Working Paper Series, European Central Bank, number 2498, Dec.
• Avela, Aleksi & Lehmus, Markku, 2020, "It’s in the News: Developing a Real Time Index for Economic Uncertainty Based on Finnish News Titles," ETLA Working Papers, The Research Institute of the Finnish Economy, number 84, Dec.