Report NEP-RMG-2021-01-11

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:

• Matteo Burzoni & Cosimo Munari & Ruodu Wang, 2020, "Adjusted Expected Shortfall," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-120, Aug.
• Hieber, Peter & Lucas, Nathalie, 2020, "Life-Care Tontines," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020026, Jan.
• Chris Florackis & Christodoulos Louca & Roni Michaely & Michael Weber, 2020, "Cybersecurity Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-108, Nov.
• Alexis Louaas & Pierre Picard, 2020, "A Pandemic Business Interruption Insurance," CESifo Working Paper Series, CESifo, number 8758.
• Mirco Rubin & Dario Ruzzi, 2020, "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1311, Dec.
• Denuit, Michel & Robert, Christian Y., 2020, "Risk reduction by conditional mean risk sharing with application to collaborative insurance," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020024, Jan.
• Denuit, Michel & Robert, Christian Y., 2020, "Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent risks," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020018, Jan.
• Denuit, Michel & Robert, Christian Y., 2020, "From risk sharing to risk transfer: the analytics of collaborative insurance," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020017, Jan.
• Denuit, Michel & Robert, Christian Y., 2020, "Stop-loss protection for a large P2P insurance pool," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020028, Jan.
• Denuit, Michel & Robert, Christian Y., 2020, "Conditional mean risk sharing for dependent risks using graphical models," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020029, Jan.
• Timothy F. Harris & Aaron Yelowitz & Charles J. Courtemanche, 2020, "Did COVID-19 Change Life Insurance Offerings?," NBER Working Papers, National Bureau of Economic Research, Inc, number 28172, Dec.
• Denuit, Michel & Lu, Yang, 2020, "Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020016, Jan.
• Subhojit Biswas & Diganta Mukherjee & Indranil SenGupta, 2020, "Multi-asset Generalised Variance Swaps in Barndorff-Nielsen and Shephard model," Papers, arXiv.org, number 2011.13474, Nov.
• Runsheng Gu & Lioudmila Vostrikova & Bruno Séjourné, 2020, "Portfolio optimization of euro-denominated funds in French life insurance," Working Papers, HAL, number hal-03025191, Nov.
• Guillaume Arnould & Benjamin Guin & Steven Ongena & Paolo Siciliani, 2020, "(When) Do Banks React to Anticipated Capital Reliefs?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-113, Nov.
• David Newton & Steven Ongena & Ru Xie & Binru Zhao, 2020, "Leveraged Loans: Is High Leverage Risk Priced in?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-111, Dec.
• Matthew O. Jackson & Agathe Pernoud, 2020, "Systemic Risk in Financial Networks: A Survey," Papers, arXiv.org, number 2012.12702, Dec.
• Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020, "Tempered Stable Processes with Time Varying Exponential Tails," Working Papers, HAL, number hal-03018495, Nov.
• Bhupal Singh, 2020, "House Prices and Macroprudential Policies: Evidence from City-level Data in India," IMF Working Papers, International Monetary Fund, number 2020/291, Dec.
• Bauwens, Luc & Otranto, Edoardo, 2020, "Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2020034, Nov.
• Chepngenoh, Florence & Muriu, Peter W & Institute of Research, Asian, 2020, "Does Risk-Taking Behaviour Matter for Bank Efficiency?," OSF Preprints, Center for Open Science, number n7r2c, Dec, DOI: 10.31219/osf.io/n7r2c.
• Walter Distaso & Antonio Mele & Grigory Vilkov, 2020, "Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-119, Sep.
• World Bank, 2020, "Learning from Japan's Experience in Integrated Urban Flood Risk Management," World Bank Publications - Reports, The World Bank Group, number 33379, Feb.
• N'Golo Kone, 2021, "Regularized Maximum Diversification Investment Strategy," Working Paper, Economics Department, Queen's University, number 1450, Jan.
• Reint Gropp & Thomas C. Mosk & Steven Ongena & Carlo Wix & Ines Simac, 2020, "Supranational Rules, National Discretion: Increasing versus Inflating Regulatory Bank Capital?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-112, Dec.
• Jan Rosenzweig, 2020, "Fat Tailed Factors," Papers, arXiv.org, number 2011.13637, Nov, revised Dec 2021.
• Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021, "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2021:05.
• Raphaël Douady & Yao Kuang, 2020, "Crisis Risk Prediction with Concavity from Polymodel," Working Papers, HAL, number hal-03018481, Nov.
• Maria Rosa Borges & Raquel Machado, 2020, "Modelling credit risk: evidence for EMV methodology on Portuguese mortgage data," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2020/03, Nov.
• Mahlstedt, Robert & Weber, Rüdiger, 2020, "Risk Sharing Within and Outside the Firm: The Disparate Effects of Wrongful Discharge Laws on Expected Stock Returns," IZA Discussion Papers, Institute of Labor Economics (IZA), number 13941, Dec.
• Hainaut, Donatien, 2020, "An actuarial approach for modeling pandemic risk," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020025, Jan.
• International Monetary Fund, 2019, "Ukraine: Technical Assistance Report-Strengthening Budget Formulation and Fiscal Risk Management," IMF Staff Country Reports, International Monetary Fund, number 2019/360, Dec.
• Florian Exler & Igor Livshits & James MacGee & Michèle Tertilt, 2020, "Consumer Credit with Over-optimistic Borrowers," Staff Working Papers, Bank of Canada, number 20-57, Dec, DOI: 10.34989/swp-2020-57.

Report NEP-RMG-2021-01-11

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: