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Report NEP-RMG-2021-03-22
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:
- Patrick S. Hagan & Andrew Lesniewski & Georgios E. Skoufis & Diana E. Woodward, 2021, "Portfolio risk allocation through Shapley value," Papers, arXiv.org, number 2103.05453, Mar.
- G'abor Papp & Imre Kondor & Fabio Caccioli, 2021, "Optimizing Expected Shortfall under an $\ell_1$ constraint -- an analytic approach," Papers, arXiv.org, number 2103.04375, Mar.
- Raymond C. W. Leung & Yu-Man Tam, 2021, "Statistical Arbitrage Risk Premium by Machine Learning," Papers, arXiv.org, number 2103.09987, Mar.
- Yuan Hu & W. Brent Lindquist, 2021, "Portfolio Optimization Constrained by Performance Attribution," Papers, arXiv.org, number 2103.04432, Mar.
- Michel Alexandre & Kau^e Lopes de Moraes & Francisco Aparecido Rodrigues, 2021, "Risk-dependent centrality in the Brazilian stock market," Papers, arXiv.org, number 2103.09059, Mar.
- Caterina Mendicino & Kalin Nikolov & Juan Rubio-Ramirez & Javier Suarez & Dominik Supera, 2020, "Twin Default Crises," Working Papers, CEMFI, number wp2020_2006, Jun.
- Hyunsu Kim, 2021, "Deep Hedging, Generative Adversarial Networks, and Beyond," Papers, arXiv.org, number 2103.03913, Mar.
- Paddrick, Mark & Young, H. Peyton, 2021, "How safe are central counterparties in credit default swap markets?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 101170, Jan.
- Viral V. Acharya & Robert F. Engle III & Maximilian Jager & Sascha Steffen, 2021, "Why Did Bank Stocks Crash During COVID-19?," NBER Working Papers, National Bureau of Economic Research, Inc, number 28559, Mar.
- Michael Krisper, 2021, "Problems with Risk Matrices Using Ordinal Scales," Papers, arXiv.org, number 2103.05440, Mar.
- Nicole Bauerle & Gregor Leimcke, 2021, "Bayesian optimal investment and reinsurance with dependent financial and insurance risks," Papers, arXiv.org, number 2103.05777, Feb.
- Colombo, Jéfferson Augusto & Cruz, Fernando I. L. & Paese, Luis H. Z. & Cortes, Renan X., 2021, "The diversification benefits of cryptocurrencies in multi-asset portfolios: cross-country evidence," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 542, Feb.
- Baishuai Zuo & Chuancun Yin, 2021, "Multivariate tail covariance for generalized skew-elliptical distributions," Papers, arXiv.org, number 2103.05201, Mar.
- Mykola Babiak & Jozef Barunik, 2021, "Uncertainty Network Risk and Currency Returns," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp687, Feb.
- Josselin Garnier & Jean-Baptiste Gaudemet & Anne Gruz, 2021, "The Climate Extended Risk Model (CERM)," Papers, arXiv.org, number 2103.03275, Mar, revised Apr 2022.
- Guohui Guan & Zongxia Liang & Yi xia, 2021, "Optimal management of DC pension fund under relative performance ratio and VaR constraint," Papers, arXiv.org, number 2103.04352, Mar.
- Muhammad Arif & Muhammad Abubakr Naeem & Saqib Farid & Rabindra Nepal & Tooraj Jamasb, 2021, "Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2021-20, Feb.
- Delis, Manthos & Iosifidi, Maria & Hasan, Iftekhar & Tsoumas, Chris, 2021, "Economic preferences over risk-taking and corporate finance," MPRA Paper, University Library of Munich, Germany, number 106321, Feb.
- Bianchi, Benedetta, 2021, "Cross-border credit derivatives linkages," ESRB Working Paper Series, European Systemic Risk Board, number 115, Mar.