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Report NEP-RMG-2021-01-18
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:
- Karim Barigou & Valeria Bignozzi & Andreas Tsanakas, 2020, "Insurance valuation: A two-step generalised regression approach," Papers, arXiv.org, number 2012.04364, Dec, revised Nov 2021.
- International Monetary Fund, 2019, "Singapore: Financial Sector Assessment Program; Technical Note-Financial Stability Analysis and Stress Testing," IMF Staff Country Reports, International Monetary Fund, number 2019/228, Jul.
- Byström, Hans, 2021, "Credit Risk in a Pandemic," Working Papers, Lund University, Department of Economics, number 2021:1, Jan.
- Montagna, Mattia & Torri, Gabriele & Covi, Giovanni, 2020, "On the origin of systemic risk," Working Paper Series, European Central Bank, number 2502, Dec.
- Silvana Pesenti & Sebastian Jaimungal, 2020, "Portfolio Optimisation within a Wasserstein Ball," Papers, arXiv.org, number 2012.04500, Dec, revised Jun 2022.
- Fabio Bellini & Tolulope Fadina & Ruodu Wang & Yunran Wei, 2020, "Parametric measures of variability induced by risk measures," Papers, arXiv.org, number 2012.05219, Dec, revised Apr 2022.
- Sebnem Kalemli-Ozcan & Pierre-Olivier Gourinchas & Veronika Penciakova & Nick Sander, 2020, "COVID-19 and SME Failures," IMF Working Papers, International Monetary Fund, number 2020/207, Sep.
- Morrison, Alan D & Wang, Tianxi, 2021, "Bank liquidity, bank lending, and "bad bank" policies," Economics Discussion Papers, University of Essex, Department of Economics, number 29501, Jan.
- Victor Olkhov, 2020, "Business Cycles as Collective Risk Fluctuations," Papers, arXiv.org, number 2012.04506, Dec.
- Nicole Bauerle & Alexander Glauner, 2020, "Minimizing Spectral Risk Measures Applied to Markov Decision Processes," Papers, arXiv.org, number 2012.04521, Dec.
- Apostolos Chalkis & Emmanouil Christoforou & Ioannis Z. Emiris & Theodore Dalamagas, 2020, "Modeling asset allocation strategies and a new portfolio performance score," Papers, arXiv.org, number 2012.05088, Dec, revised Sep 2021.
- Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2021, "Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility," Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University, number HIAS-E-104, Jan.
- World Bank, 2020, "Disaster Property Insurance in Uzbekistan," World Bank Publications - Reports, The World Bank Group, number 33885, Jan.
- Thierry Roncalli & Fatma Karray-Meziou & Franc{c}ois Pan & Margaux Regnault, 2021, "Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk," Papers, arXiv.org, number 2101.02110, Jan.
- Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020, "Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach," Papers, arXiv.org, number 2012.04181, Dec.
- Alexander, Monica & Root, Leslie, 2020, "Competing effects on the average age of infant death," SocArXiv, Center for Open Science, number z4qg9, Dec, DOI: 10.31219/osf.io/z4qg9.
- Maheu, John M & McCurdy, Thomas H & Song, Yong, 2020, "Bull and Bear Markets During the COVID-19 Pandemic," MPRA Paper, University Library of Munich, Germany, number 104504, Nov.