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Report NEP-RMG-2021-03-08
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:
- Item repec:baf:cbafwp:cbafwp20154 is not listed on IDEAS anymore
- Marcus Buckmann & Paula Gallego Marquez & Mariana Gimpelewicz & Sujit Kapadia & Katie Rismanchi, 2021, "The more the merrier? Evidence from the global financial crisis on the value of multiple requirements in bank regulation," Bank of England working papers, Bank of England, number 905, Jan.
- Ben Amor, Souhir & Althof, Michael & Härdle, Wolfgang Karl, 2021, "FRM Financial Risk Meter for Emerging Markets," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-002.
- Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2021, "Tail Risks and Forecastability of Stock Returns of Advanced Economies: Evidence from Centuries of Data," Working Papers, University of Pretoria, Department of Economics, number 202117, Feb.
- Alessandro Bitetto & Paola Cerchiello & Stefano Filomeni & Alessandra Tanda & Barbara Tarantino, 2021, "Machine Learning and Credit Risk: Empirical Evidence from SMEs," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 201, Feb.
- Valentyn Khokhlov, 2021, "Conditional Value at Risk and Partial Moments for the Metalog Distributions," Papers, arXiv.org, number 2102.10999, Feb.
- Javier Ojea-Ferreiro, 2021, "Deconstructing systemic risk: A reverse stress testing approach," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 7.
- Wang, Weining & Yu, Lining & Wang, Bingling, 2020, "Tail Event Driven Factor Augmented Dynamic Model," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-022.
- Mattia Montagna & Gabriele Torri & Giovanni Covi, 2021, "On the origin of systemic risk," Bank of England working papers, Bank of England, number 906, Jan.
- Vasilios Plakandaras & Rangan Gupta & Mehmet Balcilar & Qiang Ji, 2021, "Evolving United States Stock Market Volatility: The Role of Conventional and Unconventional Monetary Policies," Working Papers, University of Pretoria, Department of Economics, number 202113, Feb.
- Vojtech Siuda, 2020, "A Top-down Stress-testing Framework for the Nonfinancial Corporate Sector," Working Papers, Czech National Bank, Research and Statistics Department, number 2020/12, Dec.
- Anne-Caroline Hüser & Caterina Lepore & Luitgard Veraart, 2021, "How does the repo market behave under stress? Evidence from the Covid-19 crisis," Bank of England working papers, Bank of England, number 910, Feb.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2021, "Forecasting Realized Volatility of International REITs: The Role of Realized Skewness and Realized Kurtosis," Working Papers, University of Pretoria, Department of Economics, number 202114, Feb.
- Gomez-Gonzalez, Jose Eduardo & Gualtero-Briceño, Daniela & Melo-Velandia, Luis Fernando, 2021, "Estimating the Value at Risk of a bank’s portfolio in sovereign bonds using a DCC-Copula model," Working papers, Red Investigadores de Economía, number 75, Feb.
- Martin Bodenstein & Pablo A. Cuba-Borda & Jay Faris & Nils M. Gornemann, 2021, "Forecasting During the COVID-19 Pandemic: A Structural Analysis of Downside Risk," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2021-02-01-2, Feb, DOI: 10.17016/2380-7172.2806.
- Li, M. Z. & Linton, O., 2021, "Robust Estimation of Integrated and Spot Volatility," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2115, Feb.
- Fornari, Fabio & Zaghini, Andrea, 2021, "It's not time to make a change: Sovereign fragility and the corporate credit risk," CFS Working Paper Series, Center for Financial Studies (CFS), number 652.
- Kovacevic, Vlado & Subić, Jonel & Jankovic, Irena, 2020, "Development of soft commodity derivative market in function of the risk management in CEE," MPRA Paper, University Library of Munich, Germany, number 106303, Nov.
- Oecd, 2021, "Understanding the digital security of products: An in-depth analysis," OECD Digital Economy Papers, OECD Publishing, number 305, Feb, DOI: 10.1787/abea0b69-en.
- Roberto Blanco & Sergio Mayordomo & Álvaro Menéndez & Maristela Mulino, 2020, "Spanish non-financial corporations’ liquidity needs and solvency after the covid-19 shock," Occasional Papers, Banco de España, number 2020, Aug.
- Dörr, Julian Oliver & Murmann, Simona & Licht, Georg, 2021, "The COVID-19 insolvency gap: First-round effects of policy responses on SMEs," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 21-018.
- Serge Garcia & Julien Jacob & Eve-Angéline Lambert, 2021, "Efficiency of sharing liability rules: An experimental case," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2021-07.