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Report NEP-RMG-2021-04-26
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:
- Salomey Osei & Berthine Nyunga Mpinda & Jules Sadefo-Kamdem & Jeremiah Fadugba, 2021, "Accuracies of some Learning or Scoring Models for Credit Risk Measurement," Working Papers, HAL, number hal-03194081, Mar.
- Christian Kubitza, 2021, "Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 079, Apr.
- Afees A. Salisu & Rangan Gupta & Christian Pierdzioch, 2021, "Predictability of Tail Risks of Canada and the U.S. Over a Century: The Role of Spillovers and Oil Tail Risks," Working Papers, University of Pretoria, Department of Economics, number 202127, Apr.
- Yuyu Chen & Liyuan Lin & Ruodu Wang, 2021, "Risk Aggregation under Dependence Uncertainty and an Order Constraint," Papers, arXiv.org, number 2104.07718, Apr, revised Oct 2021.
- Hasan, Iftekhar & Kim, Suk-Joong & Politsidis, Panagiotis & Wu, Eliza, 2021, "Loan syndication under Basel II: How do firm credit ratings affect the cost of credit?," MPRA Paper, University Library of Munich, Germany, number 107083, Mar.
- Tobias Fissler & Yannick Hoga, 2021, "Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability," Papers, arXiv.org, number 2104.10673, Apr, revised Feb 2022.
- Sebastian Letmathe & Yuanhua Feng & André Uhde, 2021, "Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 141, Apr.
- Eric Benhamou & David Saltiel & Serge Tabachnik & Sui Kai Wong & Franc{c}ois Chareyron, 2021, "Adaptive learning for financial markets mixing model-based and model-free RL for volatility targeting," Papers, arXiv.org, number 2104.10483, Apr, revised Apr 2021.
- Berthine Nyunga Mpinda & Jules Sadefo-Kamdem & Salomey Osei & Jeremiah Fadugba, 2021, "Accuracies of Model Risks in Finance using Machine Learning," Working Papers, HAL, number hal-03191437, Apr.
- Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2021, "A Black-Scholes user's guide to the Bachelier model," Papers, arXiv.org, number 2104.08686, Apr, revised Feb 2022.
- Hibiki Kaibuchi & Yoshinori Kawasaki & Gilles Stupfler, 2021, "GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series," Papers, arXiv.org, number 2104.09879, Apr.
- Sangita Das & Suchandan Kayal, 2021, "Ordering results between the largest claims arising from two general heterogeneous portfolios," Papers, arXiv.org, number 2104.08605, Apr.
- Fabien, Perez & Guillaume, Hollard & Radu, Vranceanu & Delphine, Dubart, 2019, "How Serious is the Measurement-Error Problem in a Popular Risk-Aversion Task?," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1911, Sep.
- Claudiu Tiberiu Albulescu & Eugenia Grecu, 2022, "Government Interventions and Sovereign Bond Market Volatility during COVID 19: A Quantile Analysis," Working Papers, HAL, number hal-03195678, Nov.
- Eduardo Dávila & Itay Goldstein, 2021, "Optimal Deposit Insurance," NBER Working Papers, National Bureau of Economic Research, Inc, number 28676, Apr.
- Martin, Ian & Wagner, Christian, 2019, "What is the expected return on a stock?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 90158, Aug.
- Núñez Ferrer, Jorge, 2021, "Avoiding the Main Risks in the Recovery Plans of Member States," CEPS Papers, Centre for European Policy Studies, number 32463, Mar.
- Ana-Maria Fuertes & Maria-Dolores Robles, 2021, "Bank Credit Risk Events and Peers’ Equity Value," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2021-06, Mar.
- Item repec:nys:sunysb:21-03 is not listed on IDEAS anymore
- Ghassan, Hassan & Boulanouar, Zakaria & Hassan, Kabir Mohammed, 2020, "Revisiting Banking Stability Using a New Panel Cointegration Test," MPRA Paper, University Library of Munich, Germany, number 107085, revised 2020.
- Jan Rosenzweig, 2021, "Power-law Portfolios," Papers, arXiv.org, number 2104.07976, Apr, revised Sep 2021.