Printed from https://ideas.repec.org/n/nep-rmg/2021-01-25.html
Report NEP-RMG-2021-01-25
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:
- Samir Saissi Hassani & Georges Dionne, 2021, "The New International Regulation of Market Risk: Roles of VaR and CVaR in Model Validation," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 21-1, Jan.
- Carol Alexander & Jun Deng & Bin Zou, 2021, "Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading," Papers, arXiv.org, number 2101.01261, Jan, revised Aug 2021.
- Item repec:hal:wpaper:hal-03043244 is not listed on IDEAS anymore
- Kentaro Imajo & Kentaro Minami & Katsuya Ito & Kei Nakagawa, 2020, "Deep Portfolio Optimization via Distributional Prediction of Residual Factors," Papers, arXiv.org, number 2012.07245, Dec.
- Stefano Giglio & Bryan Kelly & Johannes Stroebel, 2020, "Climate Finance," CESifo Working Paper Series, CESifo, number 8772.
- Katharina Bergant & Thore Kockerols, 2020, "Forbearance Patterns in the Post-Crisis Period," IMF Working Papers, International Monetary Fund, number 2020/140, Jul.
- Jir^o Akahori & Yuuki Ida & Maho Nishida & Shuji Tamada, 2020, "The Thermodynamic Approach to Whole-Life Insurance: A Method for Evaluation of Surrender Risk," Papers, arXiv.org, number 2012.09606, Dec.
- Guangyan Jia & Jianming Xia & Rongjie Zhao, 2020, "Monetary Risk Measures," Papers, arXiv.org, number 2012.06751, Dec.
- International Monetary Fund, 2019, "Canada: Financial System Stability Assessment," IMF Staff Country Reports, International Monetary Fund, number 2019/177, Jun.
- Mariano Zeron & Ignacio Ruiz, 2020, "Tensoring volatility calibration," Papers, arXiv.org, number 2012.07440, Dec, revised Dec 2020.
- Loïc Berger & Louis Eeckhoudt, 2021, "Risk, ambiguity, and the value of diversification," Post-Print, HAL, number hal-02910906, Mar, DOI: 10.1287/mnsc.2020.3823.
- Alexander Glauner, 2020, "Dynamic Reinsurance in Discrete Time Minimizing the Insurer's Cost of Capital," Papers, arXiv.org, number 2012.09648, Dec.
- Item repec:kan:wpaper:202105 is not listed on IDEAS anymore
- Knapp, S., 2020, "Quantification and analysis of risk exposure in the maritime industry," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2020-09, Sep.
- Mr. Marco Gross & Mr. Dimitrios Laliotis & Mindaugas Leika & Pavel Lukyantsau, 2020, "Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective," IMF Working Papers, International Monetary Fund, number 2020/111, Jul.
- Alexis Marchal, 2020, "Risk & returns around FOMC press conferences: a novel perspective from computer vision," Papers, arXiv.org, number 2012.06573, Dec, revised Jan 2021.
- Masoud Ataei & Shengyuan Chen & Zijiang Yang & M. Reza Peyghami, 2021, "Theory and Applications of Financial Chaos Index," Papers, arXiv.org, number 2101.02288, Jan.
- Pablo Orazi & Mario Torriani & Matias Vicens, 2020, "Strategic Asset Allocation of a Reserves' Portfolio: Hedging against Shocks," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 202088, Jul.
- Ms. Deniz O Igan & Ali Mirzaei, 2020, "Does Going Tough on Banks Make the Going Get Tough? Bank Liquidity Regulations, Capital Requirements, and Sectoral Activity," IMF Working Papers, International Monetary Fund, number 2020/103, Jun.
- Mr. Tobias Adrian & Mr. Francis Vitek, 2020, "Managing Macrofinancial Risk," IMF Working Papers, International Monetary Fund, number 2020/151, Aug.
- Mahan Tahvildari, 2021, "Forward indifference valuation and hedging of basis risk under partial information," Papers, arXiv.org, number 2101.00251, Jan.
- Sridhar Ravula, 2021, "Bankruptcy prediction using disclosure text features," Papers, arXiv.org, number 2101.00719, Jan.
- Yiyan Huang & Cheuk Hang Leung & Xing Yan & Qi Wu & Nanbo Peng & Dongdong Wang & Zhixiang Huang, 2020, "The Causal Learning of Retail Delinquency," Papers, arXiv.org, number 2012.09448, Dec.
- Victor Olkhov, 2021, "To VaR, or Not to VaR, That is the Question," Papers, arXiv.org, number 2101.08559, Jan, revised Apr 2024.
- Paweł Sakowski & Daria Turovtseva, 2020, "Does Bitcoin Improve Investment Portfolio Efficiency?," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-42.
- International Monetary Fund, 2019, "The Bahamas: Financial Sector Assessment Program-Technical Note on Financial Stability and Stress Testing," IMF Staff Country Reports, International Monetary Fund, number 2019/202, Jul.
- Li, Chenxing & Maheu, John M, 2020, "A Multivariate GARCH-Jump Mixture Model," MPRA Paper, University Library of Munich, Germany, number 104770, Dec.