Report NEP-RMG-2021-03-15

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Ren, Rui & Althof, Michael & Härdle, Wolfgang Karl, 2020, "Tail Risk Network Effects in the Cryptocurrency Market during the COVID-19 Crisis," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-028.
• Spilak, Bruno & Härdle, Wolfgang Karl, 2020, "Tail-risk protection: Machine Learning meets modern Econometrics," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-015.
• Eduardo Abi Jaber, 2022, "The Laplace transform of the integrated Volterra Wishart process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-02367200, Jan, DOI: 10.1111/mafi.12334.
• Ni, Xinwen & Härdle, Wolfgang Karl & Xie, Taojun, 2020, "A Machine Learning Based Regulatory Risk Index for Cryptocurrencies," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-013.
• Andrés Alonso & José Manuel Carbó, 2021, "Understanding the performance of machine learning models to predict credit default: a novel approach for supervisory evaluation," Working Papers, Banco de España, number 2105, Jan.
• Afees A. Salisu & Rangan Gupta & Qiang Ji, 2021, "Forecasting Oil Price over 150 Years: The Role of Tail Risks," Working Papers, University of Pretoria, Department of Economics, number 202120, Mar.
• Calo, Silvia & Emter, Lorenz & Galstyan, Vahagn, 2020, "Repricing of risk and EME assets: the behaviour of Irish-domiciled funds during the COVID-19 crisis," Financial Stability Notes, Central Bank of Ireland, number 9/FS/20, Oct.
• Wang, Weining & Wooldridge, Jeffrey M. & Xu, Mengshan, 2020, "Improved Estimation of Dynamic Models of Conditional Means and Variances," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-021.
• Ahmed, Hanan & Einmahl, John & Zhou, Chen, 2021, "Extreme Value Statistics in Semi-Supervised Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2021-007.
• Christoph Bertsch & Mike Mariathasan, 2021, "Optimal bank leverage and recapitalization in crowded markets," BIS Working Papers, Bank for International Settlements, number 923, Jan.
• T. Carraro & Edoardo Gaffeo & Marco Gallegati, 2021, "Risk and Strategic Complementarities: Banks Behavior, Supervision and Macroprudential Policies," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 452, Mar.
• Charles Smith & Peter Van Tassel, 2021, "Equity Volatility Term Premia," Liberty Street Economics, Federal Reserve Bank of New York, number 20210203, Feb.
• Charles Smith & Peter Van Tassel, 2021, "The Law of One Price in Equity Volatility Markets," Liberty Street Economics, Federal Reserve Bank of New York, number 20210201, Feb.
• Henri Fraisse & Matthias Laporte, 2021, "Return on Investment on AI: The Case of Capital Requirement," Working papers, Banque de France, number 809.
• Inoue, Atsushi & Kilian, Lutz, 2020, "Joint Bayesian inference about impulse responses in VAR models," CFS Working Paper Series, Center for Financial Studies (CFS), number 650.
• Matteo Burzoni & Marco Frittelli & Federico Zorzi, 2021, "Robust market-adjusted systemic risk measures," Papers, arXiv.org, number 2103.02920, Mar, revised Aug 2021.
• Shota Imaki & Kentaro Imajo & Katsuya Ito & Kentaro Minami & Kei Nakagawa, 2021, "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging," Papers, arXiv.org, number 2103.01775, Mar.
• Joel Suss & David Bholat & Alex Gillespie & Tom Reader, 2021, "Organisational culture and bank risk," Bank of England working papers, Bank of England, number 912, Mar.
• Branka Hadji Misheva & Joerg Osterrieder & Ali Hirsa & Onkar Kulkarni & Stephen Fung Lin, 2021, "Explainable AI in Credit Risk Management," Papers, arXiv.org, number 2103.00949, Mar.
• Busch, Christopher & Ludwig, Alexander, 2021, "Higher-order income risk over the business cycle," ICIR Working Paper Series, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR), number 36/21.
• Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2020, "Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-020.
• Feng, Yuanhua & Härdle, Wolfgang Karl, 2020, "A data-driven P-spline smoother and the P-Spline-GARCH models," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-016.
• Lubben, Bradley, , "Risk Management Needs and Challenges for Agriculture," Cornhusker Economics, University of Nebraska-Lincoln, Department of Agricultural Economics, number 309749, DOI: 10.22004/ag.econ.309749.
• Nassim Dehouche, 2021, "Scale matters: The daily, weekly and monthly volatility and predictability of Bitcoin, Gold, and the S&P 500," Papers, arXiv.org, number 2103.00395, Feb.
• Huber, Christoph & Huber, Juergen & Kirchler, Michael, 2021, "Volatility shocks and investment behavior," OSF Preprints, Center for Open Science, number jr4eb, Mar, DOI: 10.31219/osf.io/jr4eb.
• Wahyudi, Christanto Arief & Arbay, Evi Aryati, 2021, "The Impact of OJK Regulation No. 48/POJK.03/2020 on the Quality of Credit and Risk Management of Banking Credit," OSF Preprints, Center for Open Science, number ue2bw, Mar, DOI: 10.31219/osf.io/ue2bw.
• Kim Christensen & Mikkel Slot Nielsen & Mark Podolskij, 2021, "High-dimensional estimation of quadratic variation based on penalized realized variance," Papers, arXiv.org, number 2103.03237, Mar, revised Jan 2026.
• Christoph Huber & Jürgen Huber & Michael Kirchler, 2021, "Volatility Shocks and Investment Behavior," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2021-06, Jun.
• Wu, Desheng Dang & Härdle, Wolfgang Karl, 2020, "Service Data Analytics and Business Intelligence," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-002.
• Yanhong Chen & Zachary Feinstein, 2021, "Set-Valued Dynamic Risk Measures for Processes and Vectors," Papers, arXiv.org, number 2103.00905, Mar, revised Nov 2021.
• Ayten Kahya & Bhaskar Krishnamachari & Seokgu Yun, 2021, "Reducing the Volatility of Cryptocurrencies -- A Survey of Stablecoins," Papers, arXiv.org, number 2103.01340, Mar.
• Ahmed, Hanan & Einmahl, John & Zhou, Chen, 2021, "Extreme Value Statistics in Semi-Supervised Models," Other publications TiSEM, Tilburg University, School of Economics and Management, number ad83a546-fb09-408e-80cc-b.
• Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021, "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-09, Jan.
• Hunt, Eric D. & Walters, Cory & Klemm, Toni & Eronmwon, Iyore, , "Seasonal Forecast Based Preharvest Hedging," Cornhusker Economics, University of Nebraska-Lincoln, Department of Agricultural Economics, number 309761, DOI: 10.22004/ag.econ.309761.
• Petr Jakubik & Saida Teleu, 2021, "Suspension of Insurers´ Dividends as a Response to the Covid-19 Crisis: Evidence from Equity Market," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2021/05, Mar, revised Mar 2021.
• Kroencke, Tim-Alexander & Schmeling, Maik & Schrimpf, Andreas, 2021, "The FOMC risk shift," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 302, DOI: 10.2139/ssrn.3774275.
• John H. Cochrane, 2021, "Portfolios for Long-Term Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 28513, Feb.
• Youngsoo Jang & Soyoung Lee, 2021, "A Generalized Endogenous Grid Method for Default Risk Models," Staff Working Papers, Bank of Canada, number 21-11, Mar, DOI: 10.34989/swp-2021-11.
• Ercument Cahan & Jushan Bai & Serena Ng, 2021, "Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions," Papers, arXiv.org, number 2103.03045, Mar, revised Feb 2022.
• Philipp Eisenhauer & Jano's Gabler & Lena Janys & Christopher Walsh, 2021, "Structural models for policy-making: Coping with parametric uncertainty," Papers, arXiv.org, number 2103.01115, Mar, revised Jun 2022.

Report NEP-RMG-2021-03-15

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: