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Report NEP-RMG-2021-04-05
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:
- Ikeda, Yuki, 2021, "Efficient Computation of Portfolio Credit Risk with Chain Default," MPRA Paper, University Library of Munich, Germany, number 106652, Mar.
- Elif C. Arbatli-Saxegaard & Ragnar E. Juelsrud, 2020, "Countercyclical capital requirement reductions, state dependence and macroeconomic outcomes," Working Paper, Norges Bank, number 2020/9, Aug.
- Jin Cao & Ragnar E. Juelsrud, 2020, "Opacity and risk-taking: Evidence from Norway," Working Paper, Norges Bank, number 2020/12, Oct.
- Jay Cao & Jacky Chen & John Hull & Zissis Poulos, 2021, "Deep Learning for Exotic Option Valuation," Papers, arXiv.org, number 2103.12551, Mar, revised Sep 2021.
- Guusje Delsing & Michel Mandjes & Peter Spreij & Erik Winands, 2021, "On Capital Allocation for a Risk Measure Derived from Ruin Theory," Papers, arXiv.org, number 2103.16264, Mar.
- Sigurd Galaasen & Rustam Jamilov & Hélène Rey & Ragnar Juelsrud, 2020, "Granular credit risk," Working Paper, Norges Bank, number 2020/15, Oct.
- Mr. Plamen K Iossifov, 2021, "Cyclical Patterns of Systemic Risk Metrics: Cross-Country Analysis," IMF Working Papers, International Monetary Fund, number 2021/028, Feb.
- O'Brien, Martin & Velasco, Sofia, 2020, "Unobserved components models with stochastic volatility for extracting trends and cycles in credit," Research Technical Papers, Central Bank of Ireland, number 09/RT/20, Dec.
- Romain Lafarguette & Mr. Romain M Veyrune, 2021, "Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework," IMF Working Papers, International Monetary Fund, number 2021/032, Feb.
- Fouad Marri & Khouzeima Moutanabbir, 2021, "Risk aggregation and capital allocation using a new generalized Archimedean copula," Papers, arXiv.org, number 2103.10989, Mar.
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta, 2021, "Geopolitical Risk and Forecastability of Tail Risk in the Oil Market: Evidence from Over a Century of Monthly Data," Working Papers, University of Pretoria, Department of Economics, number 202122, Mar.
- Yousra El Hajel & Abdenbi El Marzouki & Hassane Zouiri, 2020, "Analysis and management of credit risk in Morocco
[Analyse et gestion du risque de crédit au Maroc]," Post-Print, HAL, number hal-03107867, Oct. - Hans Buehler & Phillip Murray & Mikko S. Pakkanen & Ben Wood, 2021, "Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics," Papers, arXiv.org, number 2103.11948, Mar, revised Jul 2021.
- Hamed Amini & Zhongyuan Cao & Agnes Sulem, 2021, "Limit Theorems for Default Contagion and Systemic Risk," Papers, arXiv.org, number 2104.00248, Apr.
- Thomas Deschatre & Olivier F'eron & Pierre Gruet, 2021, "A survey of electricity spot and futures price models for risk management applications," Papers, arXiv.org, number 2103.16918, Mar, revised Jul 2021.
- Luke Hartigan & Michelle Wright, 2021, "Financial Conditions and Downside Risk to Economic Activity in Australia," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2021-03, Mar, DOI: 10.47688/rdp2021-03.
- Viet Anh Nguyen & Fan Zhang & Shanshan Wang & Jose Blanchet & Erick Delage & Yinyu Ye, 2021, "Robustifying Conditional Portfolio Decisions via Optimal Transport," Papers, arXiv.org, number 2103.16451, Mar, revised Apr 2024.
- Phuong Anh Nguyen & Bich Le Tran & Michel Simioni, 2021, "Optimal capital adequacy ratio: an investigation of Vietnamese commercial banks using two-stage DEA," Post-Print, HAL, number hal-03125428, Jan, DOI: 10.1080/23311975.2020.1870796.
- Afees A. Salisu & Rangan Gupta & Riza Demirer, 2021, "Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model," Working Papers, University of Pretoria, Department of Economics, number 202121, Mar.
- Apostolos Chalkis & Emmanouil Christoforou & Theodore Dalamagkas & Ioannis Z. Emiris, 2021, "Modeling of crisis periods in stock markets," Papers, arXiv.org, number 2103.13294, Mar.
- Andreas Haufler, 2021, "Regulatory and Bailout Decisions in a Banking Union," CESifo Working Paper Series, CESifo, number 8964.
- Aleksy Klimowicz & Krzysztof Spirzewski, 2021, "Concept of peer-to-peer lending and application of machine learning in credit scoring," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2021-04.
- Pang Du & Christopher F. Parmeter & Jeffrey S. Racine, 2021, "Shape Constrained Kernel PDF and PMF Estimation," Department of Economics Working Papers, McMaster University, number 2021-05, Mar.
- Jay Cao & Jacky Chen & John Hull & Zissis Poulos, 2021, "Deep Hedging of Derivatives Using Reinforcement Learning," Papers, arXiv.org, number 2103.16409, Mar.
- Ole Boysen & Kirsten Boysen-Urban & Alan Matthews, 2021, "Alternative EU CAP Tools for Stabilising Farm Incomes in the Era of Climate Change," Working Papers, Geary Institute, University College Dublin, number 202103, Mar.