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Report NEP-RMG-2021-02-01
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:
- Aslanidis, Nektarios & Fernández Bariviera, Aurelio & Savva, Christos S., 2020, "Weekly dynamic conditional correlations among cryptocurrencies and traditional assets," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/417680.
- Bermin, Hans-Peter & Holm, Magnus, 2021, "Leverage and risk relativity: how to beat an index," Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies, number 2021/1, Jan.
- Mikael Juselius & Nikola Tarashev, 2020, "Forecasting expected and unexpected losses," BIS Working Papers, Bank for International Settlements, number 913, Dec.
- Mohamed Belkhir & Sami Ben Naceur & Mr. Ralph Chami & Anis Semet, 2019, "Bank Capital and the Cost of Equity," IMF Working Papers, International Monetary Fund, number 2019/265, Dec.
- Pedro Cadenas & Henryk Gzyl & Hyun Woong Park, 2020, "How dark is the dark side of diversification?," Papers, arXiv.org, number 2012.12154, Dec.
- Pierre Durand & Gaëtan Le Quang, 2021, "What do bankrupcty prediction models tell us about banking regulation? Evidence from statistical and learning approaches," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2021-2.
- Bali, Turan G. & Weigert, Florian, 2021, "Hedge funds and the positive idiosyncratic volatility effect," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 21-01.
- Andrew Papanicolaou, 2021, "Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options," Papers, arXiv.org, number 2101.00299, Jan, revised Mar 2021.
- Harald Scheule & Stephan Jortzik, 2020, "Benchmarking loss given default discount rates," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2020-5, Jan.
- Item repec:ehl:lserod:108535 is not listed on IDEAS anymore
- Rama Cont & Artur Kotlicki & Ms. Laura Valderrama, 2020, "Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity," IMF Working Papers, International Monetary Fund, number 2020/082, Jun.
- Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021, "Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission," Working papers, Banque de France, number 798.
- Tzougas, George & Jeong, Himchan, 2021, "An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 108210, Jan.
- Mr. Gaston Gelos & Lucyna Gornicka & Mr. Robin Koepke & Ms. Ratna Sahay & Ms. Silvia Sgherri, 2019, "Capital Flows at Risk: Taming the Ebbs and Flows," IMF Working Papers, International Monetary Fund, number 2019/279, Dec.
- Le Mezo, Helena & Ferrari Minesso, Massimo, 2021, "Text-based recession probabilities," Working Paper Series, European Central Bank, number 2516, Jan.
- Lilas Demmou & Sara Calligaris & Guido Franco & Dennis Dlugosch & Müge Adalet McGowan & Sahra Sakha, 2021, "Insolvency and debt overhang following the COVID-19 outbreak: Assessment of risks and policy responses," OECD Economics Department Working Papers, OECD Publishing, number 1651, Jan, DOI: 10.1787/747a8226-en.
- David R. Ba~nos, 2020, "Life insurance policies with cash flows subject to random interest rate changes," Papers, arXiv.org, number 2012.15541, Dec.
- Alexis Catanzaro & Christine Teyssier, 2021, "Export promotion programs, export capabilities, and risk management practices of internationalized SMEs," Post-Print, HAL, number hal-03034452, DOI: 10.1007/s11187-020-00358-4.
- Arif, Muhammad & Naeem, Muhammad Abubakr & Farid, Saqib & Nepal, Rabindra & Jamasb, Tooraj, 2020, "Diversifier or More? Hedge and Safe Haven Properties of Green Bonds During COVID-19," Working Papers, Copenhagen Business School, Department of Economics, number 1-2021, Oct.
- Baruník, Jozef & Bevilacqua, Mattia & Tunaru, Radu, 2022, "Asymmetric network connectedness of fears," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 108199, Nov.
- Bahar Akhtari & Francesca Biagini & Andrea Mazzon & Katharina Oberpriller, 2020, "Generalized Feynman-Kac Formula under volatility uncertainty," Papers, arXiv.org, number 2012.08163, Dec, revised Nov 2022.
- Nicola Comincioli & Paolo M. Panteghini & Sergio Vergalli, 2020, "Debt and Transfer Pricing: Implications on Business Tax Policy," Working Papers, Fondazione Eni Enrico Mattei, number 2020.16, Oct.
- Zea Bermudez, Patrícia de & Marín Díazaraque, Juan Miguel & Rue, Havard & Lopes Moreira da Veiga, María Helena, 2021, "Integrated nested Laplace approximations for threshold stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 31804, Jan.
- Nicola Comincioli & Paolo Panteghini & Sergio Vergalli, 2020, "Debt Shifting and Transfer Pricing in a Volatile World," CESifo Working Paper Series, CESifo, number 8807.
- Martin Hodula & Jan Janku & Martin Casta & Adam Kucera, 2020, "On the Determinants of Life and Non-Life Insurance Premiums," Working Papers, Czech National Bank, Research and Statistics Department, number 2020/8, Dec.
- Filippo de Feo, 2020, "The Averaging Principle for Non-autonomous Slow-fast Stochastic Differential Equations and an Application to a Local Stochastic Volatility Model," Papers, arXiv.org, number 2012.09082, Dec, revised Jan 2021.