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Report NEP-RMG-2021-03-01
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:
- Anna Burova & Henry Penikas & Svetlana Popova, 2020, "Probability of Default (PD) Model to Estimate Ex Ante Credit Risk," Bank of Russia Working Paper Series, Bank of Russia, number wps66, Dec.
- Takeo Hoshi & Ke Wang, 2021, "Bank Regulatory Reforms and Declining Diversity of Bank Credit Allocation," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-506, Feb.
- Montshioa, Keitumetse & Muteba Mwamba, John Weirstrass & Bonga-Bonga, Lumengo, 2021, "Asset allocation in extreme market conditions: a comparative analysis between developed and emerging economies," MPRA Paper, University Library of Munich, Germany, number 106248, Feb.
- Chris Florakis & Christodoulos Louca & Roni Michaely & Michael Weber, 2020, "Cybersecurity Risk," Working Papers, Becker Friedman Institute for Research In Economics, number 2020-178.
- Jamaal Ahmad, 2021, "Multivariate higher order moments in multi-state life insurance," Papers, arXiv.org, number 2102.11714, Feb, revised Oct 2021.
- Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2021, "Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data," Papers, arXiv.org, number 2102.12783, Feb, revised Feb 2022.
- Xiuqin Xu & Ying Chen, 2021, "Deep Stochastic Volatility Model," Papers, arXiv.org, number 2102.12658, Feb.
- Hongwei Chuang, 2021, "Momentum Has Its Own Values," Working Papers, Research Institute, International University of Japan, number EMS_2021_02, Feb.
- Raju, Rajan & Agarwalla, Sobhesh Kumar, 2021, "Equity portfolio diversification: how many stocks are enough? Evidence from India," IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department, number WP 2021-02-02, Feb.
- Martin, Alberto & Mendicino, Caterina & Van der Ghote, Alejandro, 2021, "On the interaction between monetary and macroprudential policies," Working Paper Series, European Central Bank, number 2527, Feb.
- Mukashov, Askar, 2021, "Parameter uncertainty in policy planning models: Using portfolio management methods to choose optimal policies under world market volatility," Working Papers of Agricultural Policy, University of Kiel, Department of Agricultural Economics, Chair of Agricultural Policy, number WP2021-01.
- N'Golo Kone, 2021, "Efficient mean-variance portfolio selection by double regularization," Working Paper, Economics Department, Queen's University, number 1453, Feb.
- McKendree, Melissa G. S. & Tonsor, Glynn T. & Schulz, Lee L., 2021, "Management of Multiple Sources of Risk in Livestock Production," ISU General Staff Papers, Iowa State University, Department of Economics, number 202101010800001793, Jan.
- Daniel Felix Ahelegbey & Paola Cerchiello & Roberta Scaramozzino, 2021, "Network Based Evidence of the Financial Impact of Covid-19 Pandemic," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 198, Feb.
- Tal Gross & Raymond Kluender & Feng Liu & Matthew J. Notowidigdo & Jialan Wang, 2020, "The Economic Consequences of Bankruptcy Reform," Working Papers, Becker Friedman Institute for Research In Economics, number 2020-164.
- Tim Leung & Yang Zhou, 2021, "Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model," Papers, arXiv.org, number 2102.12601, Feb.
- Santiago Gamba-Santamaria & Luis Fernando Melo-Velandia & Camilo Orozco-Vanegas, 2021, "What can credit vintages tell us about non-performing loans?," Borradores de Economia, Banco de la Republica de Colombia, number 1154, Feb, DOI: https://doi.org/10.32468/be.1154.