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Report NEP-RMG-2021-03-29
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:
- Matthijs Breugem & Raffaele Corvino & Roberto Marfè & Lorenzo Schönleber, 2020, "Pandemic Tail Risk," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 623.
- Aravind Sampath & Sandip Chakraborty & Ram Kumar Kakani, 2020, "Portfolio Risk and Stress across Business Cycle," Working papers, Indian Institute of Management Kozhikode, number 379, May.
- Nicolás Álvarez & Antonio Fernandois & Andrés Sagner, 2021, "Economic Growth at Risk: An Application to Chile," Working Papers Central Bank of Chile, Central Bank of Chile, number 905, Mar.
- Roberto Marfè & Julien Pénasse, 2020, "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 621.
- Fouad Marri & Khouzeima Moutanabbir, 2021, "Risk aggregation and capital allocation using a new generalized Archimedean copula," Working Papers, HAL, number hal-03169291, Mar.
- Fricke, Daniel, 2021, "Synthetic leverage and fund risk-taking," Discussion Papers, Deutsche Bundesbank, number 09/2021.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021, "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," Working Papers, Federal Reserve Bank of Cleveland, number 21-08R, Mar, revised 12 Jul 2022, DOI: 10.26509/frbc-wp-202108r.
- Jennifer N. Carpenter & Fangzhou Lu & Robert F. Whitelaw, 2021, "The Price and Quantity of Interest Rate Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 28444, Feb.
- Delle Monache, Davide & De Polis, Andrea & Petrella, Ivan, 2021, "Modeling and forecasting macroeconomic downside risk," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1324, Mar.
- Xiaoyue Li & A. Sinem Uysal & John M. Mulvey, 2021, "Multi-Period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks," Papers, arXiv.org, number 2103.10813, Mar.
- M. Hashem Pesaran & Ron P. Smith, 2021, "Factor Strengths, Pricing Errors, and Estimation of Risk Premia," CESifo Working Paper Series, CESifo, number 8947.
- Haselmann, Rainer & Tröger, Tobias, 2021, "When and how to unwind COVID-support measures to the banking system?," SAFE White Paper Series, Leibniz Institute for Financial Research SAFE, number 83.
- Juan Andrés Serur & José P. Dapena & Julián R. Siri, 2021, "Decomposing the VIX Index into Greed and Fear," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 780, Mar.
- Apostolou, Apostolos & Papaioannou, Michael, 2021, "Towards Greening Finance: Integration of Environmental Factors in Risk Management & Impact of Climate Risks on Asset Portfolios," MPRA Paper, University Library of Munich, Germany, number 106779.
- Thomas Brand & Fabien Tripier, 2021, "Risk Shocks and Divergence between the Euro Area and the US in the aftermath of the Great Recession," Working Papers, CEPII research center, number 2021-04, Mar.
- Matthijs Breugem & Stefano Colonnello & Roberto Marfè & Francesca Zucchi, 2020, "Dynamic Equity Slope," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 626.
- Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter, 2021, "Looking into the futures markets: What are they really for?," IAMO Policy Briefs, Institute of Agricultural Development in Transition Economies (IAMO), number 310053, DOI: 10.22004/ag.econ.310053.
- Qi Zhang & Peng Di & Arash Farnoosh, 2021, "Study on the impacts of Shanghai crude oil futures on global oil market and oil industry based on VECM and DAG models," Post-Print, HAL, number hal-03151102, May, DOI: 10.1016/j.energy.2021.120050.
- Gloria González-Rivera & Carlos Vladimir Rodríguez-Caballero & Esther Ruiz Ortega, 2021, "Expecting the unexpected: economic growth under stress," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-06, Mar.
- Valentina Aprigliano & Simone Emiliozzi & Gabriele Guaitoli & Andrea Luciani & Juri Marcucci & Libero Monteforte, 2021, "The power of text-based indicators in forecasting the Italian economic activity," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1321, Mar.
- Andrés Alonso & José Manuel Marqués, 2019, "Financial innovation for a sustainable economy," Occasional Papers, Banco de España, number 1916, Oct.