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. Stan Miles issued this report. It is usually issued weekly.

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