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Report NEP-RMG-2021-05-03
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:
- Ren, Rui & Lu, Meng-Jou & Li, Yingxing & Härdle, Wolfgang, 2021, "Financial Risk Meter based on expectiles," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-008.
- Christian Haddad & Lars Hornuf, 2021, "The Impact of Fintech Startups on Financial Institutions' Performance and Default Risk," CESifo Working Paper Series, CESifo, number 9050.
- Lech A. Grzelak, 2021, "Sparse Grid Method for Highly Efficient Computation of Exposures for xVA," Papers, arXiv.org, number 2104.14319, Apr, revised May 2022.
- Ross Buckley & Emilios Avgouleas & Douglas Arner, 2020, "Three Decades of International Financial Crises: What Have We Learned and What Still Needs to be Done?," ADB Economics Working Paper Series, Asian Development Bank, number 615, Jun.
- Christian Brownlees & Gu{dh}mundur Stef'an Gu{dh}mundsson, 2021, "Performance of Empirical Risk Minimization for Linear Regression with Dependent Data," Papers, arXiv.org, number 2104.12127, Apr, revised May 2023.
- Bahareh Afhami & Mohsen Rezapour & Mohsen Madadi & Vahed Maroufy, 2021, "Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk," Papers, arXiv.org, number 2104.11594, Apr.
- Narayan Ganesan & Bernhard Hientzsch, 2021, "Estimating Future VaR from Value Samples and Applications to Future Initial Margin," Papers, arXiv.org, number 2104.11768, Apr.
- Zhibin Niu & Junqi Wu & Dawei Cheng & Jiawan Zhang, 2021, "Regshock: Interactive Visual Analytics of Systemic Risk in Financial Networks," Papers, arXiv.org, number 2104.11863, Apr.
- Philipp Eisenhauer & Janos Gabler & Lena Janys, 2021, "Structural Models for Policy-Making: Coping with Parametric Uncertainty," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 082, Apr.
- Pashchenko, Svetlana & Porapakkarm, Ponpoje, 2021, "Value of Life and Annuity Demand," MPRA Paper, University Library of Munich, Germany, number 107378, Apr.
- Anton Koshelev, 2021, "FX Market Volatility," Papers, arXiv.org, number 2104.14190, Apr.
- Dirk van Straaten & René Fahr, 2021, "Fighting Fire with Fire - Overcoming Ambiguity Aversion by Introducing more Ambiguity," Working Papers Dissertations, Paderborn University, Faculty of Business Administration and Economics, number 73, Apr.
- Darren Shannon & Grigorios Fountas, 2021, "Extending the Heston Model to Forecast Motor Vehicle Collision Rates," Papers, arXiv.org, number 2104.11461, Apr, revised May 2021.
- Maximilian Blesch & Philipp Eisenhauer, 2021, "Robust decision-making under risk and ambiguity," Papers, arXiv.org, number 2104.12573, Apr, revised Oct 2021.
- Candelon, Bertrand & Fuerst, Franz & Hasse, Jean-Baptiste, 2021, "Diversification Potential in Real Estate Portfolios," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2021001, Feb.
- Wang, Bingling & Li, Yingxing & Härdle, Wolfgang, 2021, "K-expectiles clustering," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-003.
- Musaab Mousa & Saeed Nosratabadi & Judit Sagi & Amir Mosavi, 2021, "The Effect of Marketing Investment on Firm Value and Systematic Risk," Papers, arXiv.org, number 2104.14301, Apr.
- Gärtner, Manja & Tinghög, Gustav & Västfjäll, Daniel, 2019, "Decision-Making Traits and States as Determinants of Risky Choices," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 195, Oct.
- Luciana Juvenal & Paulo Santos Monteiro, 2021, "Risky Gravity," Discussion Papers, Department of Economics, University of York, number 21/02, Apr.
- Erniel B. Barrios & Paolo Victor T. Redondo, 2021, "Nonparametric Test for Volatility in Clustered Multiple Time Series," Papers, arXiv.org, number 2104.14412, Apr, revised May 2024.