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Report NEP-RMG-2021-04-19
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:
- Alexander Jiron & Wayne Passmore & Aurite Werman, 2021, "An empirical foundation for calibrating the G-SIB surcharge," BIS Working Papers, Bank for International Settlements, number 935, Mar.
- Denuit, Michel & Robert, Christian Y., 2021, "Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021016, Mar.
- Giuseppe Storti & Chao Wang, 2021, "Modelling uncertainty in financial tail risk: a forecast combination and weighted quantile approach," Papers, arXiv.org, number 2104.04918, Apr, revised Jul 2021.
- Christian Diem & Andr'as Borsos & Tobias Reisch & J'anos Kert'esz & Stefan Thurner, 2021, "Quantifying firm-level economic systemic risk from nation-wide supply networks," Papers, arXiv.org, number 2104.07260, Apr.
- Eiji OGAWA & Pengfei LUO, 2021, "Macroeconomic Effects of Global Policy and Financial Risks," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI), number 21020, Mar.
- Dupret, Jean-Loup & Barbarin, Jérôme & Hainaut, Donatien, 2021, "Impact of rough stochastic volatility models on long-term life insurance pricing," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021017, Jan.
- Blanka Horvath & Josef Teichmann & Zan Zuric, 2021, "Deep Hedging under Rough Volatility," Papers, arXiv.org, number 2102.01962, Feb.
- Eisenberg, Julia & Fabrykowski, Lukas & Schmeck, Maren Diane, 2021, "Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 648, Apr.
- Denuit, Michel & Robert, Christian Y., 2021, "Risk sharing under the dominant peer-to-peer property and casualty insurance business models," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021001, Jan.
- Bruno Scalzo & Alvaro Arroyo & Ljubisa Stankovic & Danilo P. Mandic, 2021, "Nonstationary Portfolios: Diversification in the Spectral Domain," Papers, arXiv.org, number 2102.00477, Jan.
- Samuel N. Cohen & Derek Snow & Lukasz Szpruch, 2021, "Black-box model risk in finance," Papers, arXiv.org, number 2102.04757, Feb.
- Fabrizio Lillo & Giulia Livieri & Stefano Marmi & Anton Solomko & Sandro Vaienti, 2021, "Analysis of bank leverage via dynamical systems and deep neural networks," Papers, arXiv.org, number 2104.04960, Apr.
- Ketelbuters, John John & Hainaut, Donatien, 2021, "Time-Consistent Evaluation of Credit Risk with Contagion," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021004, Jan.
- Eric Benhamou & Beatrice Guez, 2021, "Computation of the marginal contribution of Sharpe ratio and other performance ratios," Working Papers, HAL, number hal-03189299, Apr.
- Leitner, Georg & Hübel, Teresa & Wolfmayr, Anna & Zerobin, Manuel, 2021, "How risky is Monetary Policy? The Effect of Monetary Policy on Systemic Risk in the Euro Area," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 312, Mar.
- Jozef Barunik & Josef Kurka, 2021, "Frequency-Dependent Higher Moment Risks," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2021/11, Apr, revised Apr 2021.
- Minglian Lin & Indranil SenGupta, 2021, "Analysis of optimal portfolio on finite and small time horizons for a stochastic volatility market model," Papers, arXiv.org, number 2104.06293, Apr.
- Jozef Barunik & Josef Kurka, 2021, "Risks of heterogeneously persistent higher moments," Papers, arXiv.org, number 2104.04264, Apr, revised Mar 2024.
- Trufin, Julien & Denuit, Michel, 2021, "Boosting cost-complexity pruned trees On Tweedie responses: the ABT machine," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021015, Mar.
- Zheng Gong & Carmine Ventre & John O'Hara, 2021, "The Efficient Hedging Frontier with Deep Neural Networks," Papers, arXiv.org, number 2104.05280, Apr.
- Erlend Berg & Michael Blake & Karlijn Morsink, 2021, "Risk Sharing and the Demand for Insurance: Theory and Experimental Evidence from Ethiopia," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 21/742, Apr.
- Georg Leitner & Teresa Hübel & Anna Wolfmayr & Manuel Zerobin, 2021, "How risky is Monetary Policy? The Effect of Monetary Policy on Systemic Risk in the Euro Area," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp312, Mar.
- Alice Abboud & Elizabeth Duncan & Akos Horvath & Diana A. Iercosan & Bert Loudis & Francis Martinez & Timothy Mooney & Ben Ranish & Ke Wang & Missaka Warusawitharana & Carlo Wix, 2021, "COVID-19 as a Stress Test: Assessing the Bank Regulatory Framework," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-024, Apr, DOI: 10.17016/FEDS.2021.024.
- Alfred Galichon, 2021, "The VAR at Risk," Papers, arXiv.org, number 2102.02577, Feb.
- Müller, Henrik & Rieger, Jonas & Hornig, Nico, 2021, ""We're rolling". Our Uncertainty Perception Indicator (UPI) in Q4 2020: introducing RollingLDA, a new method for the measurement of evolving economic narratives," DoCMA Working Papers, TU Dortmund University, Dortmund Center for Data-based Media Analysis (DoCMA), number 6, DOI: 10.17877/DE290R-21974.
- E. Ferreira & S. Orbe & J. Ascorbebeitia & B. 'Alvarez Pereira & E. Estrada, 2021, "Loss of structural balance in stock markets," Papers, arXiv.org, number 2104.06254, Apr.
- Ketelbuters, John John & Hainaut, Donatien, 2021, "CDS Pricing with Fractional Hawkes Processes," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021018, Jan.
- Przemys{l}aw Biecek & Marcin Chlebus & Janusz Gajda & Alicja Gosiewska & Anna Kozak & Dominik Ogonowski & Jakub Sztachelski & Piotr Wojewnik, 2021, "Enabling Machine Learning Algorithms for Credit Scoring -- Explainable Artificial Intelligence (XAI) methods for clear understanding complex predictive models," Papers, arXiv.org, number 2104.06735, Apr.