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Report NEP-RMG-2021-02-08
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:
- Selin Ozen & c{S}ule c{S}ahin, 2021, "A Two-Population Mortality Model to Assess Longevity Basis Risk," Papers, arXiv.org, number 2101.06690, Jan.
- Daouia, Abdelaati & Gijbels, Irene & Stupfler, Gilles, 2021, "Extremile Regression," TSE Working Papers, Toulouse School of Economics (TSE), number 21-1176, Jan.
- Palumbo, D., 2021, "Testing and Modelling Time Series with Time Varying Tails," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2111, Jan.
- Maria Teresa Medeiros Garcia & Liane Costa Gabriel, 2021, "Asset Liability Management: Evidence from the Banco de Portugal defined benefit pension fund," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2021/0159, Jan.
- Sayuj Choudhari & Richard Licheng Zhu, 2021, "Diagnosis of systemic risk and contagion across financial sectors," Papers, arXiv.org, number 2101.06585, Jan.
- Stefano Giglio & Bryan T. Kelly & Johannes Stroebel, 2020, "Climate Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 28226, Dec.
- Will Kerry, 2019, "Finding the Bad Apples in the Barrel: Using the Market Value of Equity to Signal Banking Sector Vulnerabilities," IMF Working Papers, International Monetary Fund, number 2019/180, Aug.
- Olkhov, Victor, 2021, "To VaR, or Not to VaR, That is the Question," MPRA Paper, University Library of Munich, Germany, number 105458, Jan.
- Lorenzo Bretscher & Peter Feldhütter & Andrew Kane & Lukas Schmid, 2021, "Marking to Market Corporate Debt," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-06, Jan.
- Ben Boukai, 2021, "On the RND under Heston's stochastic volatility model," Papers, arXiv.org, number 2101.03626, Jan.
- Item repec:fip:a00001:89429 is not listed on IDEAS anymore
- Bastien Baldacci, 2020, "High-frequency dynamics of the implied volatility surface," Papers, arXiv.org, number 2012.10875, Dec.
- Mr. Sakai Ando, 2019, "International Financial Connection and Stock Return Comovement," IMF Working Papers, International Monetary Fund, number 2019/181, Aug.
- Bruno Bouchard & Gr'egoire Loeper & Xiaolu Tan, 2021, "A $C^{0,1}$-functional It\^o's formula and its applications in mathematical finance," Papers, arXiv.org, number 2101.03759, Jan.
- Maria Demertzis & Annamaria Lusardi & Marta Domínguez-Jiménez, 2020, "The financial fragility of European households in the time of COVID-19," Bruegel Policy Contributions, Bruegel, number 37489, Jul.
- Bernard Dumas & Tymur Gabuniya & Richard C. Marston, 2020, "Firms' Exposures to Geographic Risks," NBER Working Papers, National Bureau of Economic Research, Inc, number 28185, Dec.
- Bang Jeon & Yao Yao & Minghua Chen & Ji Wu, 2021, "Economic uncertainty, macroprudential policies and bank risk: Evidence from emerging Asian economies," School of Economics Working Paper Series, LeBow College of Business, Drexel University, number 2021-6, Jan.
- Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2020, "Uncertainty and Monetary Policy During Extreme Events," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0262, Aug.
- Min Shu & Ruiqiang Song & Wei Zhu, 2021, "The 'COVID' Crash of the 2020 U.S. Stock Market," Papers, arXiv.org, number 2101.03625, Jan.
- Besley, Timothy & Roland, Isabelle & Van Reenen, John, 2020, "The aggregate consequences of default risk: evidence from firm-level data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 108227, Jan.
- Lemeunier, Sébastien, 2021, ""OEconomicae et pecuniariae quaestiones" and Catholic Finance : A reading attempt from Merton's functions," MPRA Paper, University Library of Munich, Germany, number 105297, Jan.
- Florian Gach & Simon Hochgerner, 2021, "Estimation of future discretionary benefits in traditional life insurance," Papers, arXiv.org, number 2101.06077, Jan, revised Jul 2022.