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Report NEP-RMG-2021-02-22
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:
- Giglio, Carla & Shaw, Frances & Syrichas, Nicolas & Cappelletti, Giuseppe, 2021, "Stress-testing net trading income: the case of European banks," Working Paper Series, European Central Bank, number 2525, Feb.
- Giuseppe Buccheri & Stefano Grassi & Giorgio Vocalelli, 2021, "Estimating Risk in Illiquid Markets: a Model of Market Friction with Stochastic Volatility," CEIS Research Paper, Tor Vergata University, CEIS, number 506, Jan, revised 08 Nov 2021.
- Jean-Philippe Aguilar & Nicolas Pesci & Victor James, 2021, "A structural approach to default modelling with pure jump processes," Papers, arXiv.org, number 2102.06299, Feb, revised Aug 2021.
- J. David Cummins & Georges Dionne & Robert Gagné & Abdelhakim Nouira, 2021, "The costs and benefits of reinsurance," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 08-1, Feb.
- João A. Bastos & Sara M. Matos, 2021, "Explainable models of credit losses," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2021/0161, Feb.
- Tetsuya Takaishi, 2021, "Time-varying properties of asymmetric volatility and multifractality in Bitcoin," Papers, arXiv.org, number 2102.07425, Feb.
- Pennoni, Fulvia & Bartolucci, Francesco & Forte, Gianfranco & Ametrano, Ferdinando, 2020, "Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model," MPRA Paper, University Library of Munich, Germany, number 106150.
- Schwaab, Bernd & Zhang, Xin & Lucas, André, 2021, "Modeling extreme events: time-varying extreme tail shape," Working Paper Series, European Central Bank, number 2524, Feb.
- Ken-ichi Hashimoto & Ryonghun Im & Takuma Kunieda & Akihisa Shibata, 2021, "Financial Destabilization," Discussion Papers, Graduate School of Economics, Kobe University, number 2103, Feb.
- Bruno de Menna, 2021, "The Joint Impact of Bank Capital and Funding Liquidity on the Monetary Policy's Risk-Taking Channel," Working Papers, HAL, number hal-03138724, Feb.
- Adrian, Tobias & Borowiecki, Karol Jan & Tepper, Alexander, 2021, "A Leverage-Based Measure of Financial Stability," Discussion Papers on Economics, University of Southern Denmark, Department of Economics, number 3/2021, Feb.
- Kirill Dragun & Kris Boudt & Orimar Sauri & Steven Vanduffel, 2021, "Beta-Adjusted Covariance Estimation," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1010, Feb.
- Andrew Butler & Roy H. Kwon, 2021, "Integrating prediction in mean-variance portfolio optimization," Papers, arXiv.org, number 2102.09287, Feb, revised Nov 2022.
- Mathieu Simoens & Rudi Vander Vennet, 2021, "Does diversification protect European banks' market valuation in a pandemic?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1009, Feb.
- Eduardo Abi Jaber & Enzo Miller & Huyên Pham, 2021, "Markowitz portfolio selection for multivariate affine and quadratic Volterra models," Post-Print, HAL, number hal-02877569, DOI: 10.1137/20M1347449.
- Dave Altig & Scott Baker & Jose Maria Barrero & Nick Bloom & Phil Bunn & Scarlet Chen & Steven J. Davis & Brent Meyer & Emil Mihaylov & Paul Mizen & Nick Parker & Thomas Renault & Pawel Smietanka & Gr, 2020, "Economic Uncertainty Before and During the COVID-19 Pandemic," Working Papers, Becker Friedman Institute for Research In Economics, number 2020-88.
- Kondor, Peter & Vayanos, Dimitri, 2019, "Liquidity risk and the dynamics of arbitrage capital," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 87520, Jun.
- Asani Sarkar, 2021, "Did Subsidies to Too-Big-To-Fail Banks Increase during the COVID-19 Pandemic?," Liberty Street Economics, Federal Reserve Bank of New York, number 20210211, Feb.
- Alexandra Horobet & Georgiana Maria Vrinceanu, , "Oil Price Exposure Of Cee Financial Companies," Review of Socio - Economic Perspectives, Reviewsep, number 201941, DOI: https://doi.org/10.19275/RSEP067.
- Mu Zhang, 2021, "A Theory of Choice Bracketing under Risk," Papers, arXiv.org, number 2102.07286, Feb, revised Aug 2021.
- Balatti, Mirco & López-Quiles, Carolina, 2021, "Limited liability, strategic default and bargaining power," Working Paper Series, European Central Bank, number 2519, Jan.
- T. Takaishi, 2021, "Power-Law Return-Volatility Cross Correlations of Bitcoin," Papers, arXiv.org, number 2102.08187, Feb.
- Julia Kielmann & Hans Manner & Aleksey Min, 2021, "Stock Market Returns and Oil Price Shocks: A CoVaR Analysis based on Dynamic Vine Copula Models," Graz Economics Papers, University of Graz, Department of Economics, number 2021-01, Jan.
- Brent Meyer & Emil Mihaylov & Steven J. Davis & Nicholas Parker & David Altig & Jose Maria Barrero & Nicholas Bloom, 2020, "Pandemic-Era Uncertainty on Main Street and Wall Street," Working Papers, Becker Friedman Institute for Research In Economics, number 2020-189.