Printed from https://ideas.repec.org/n/nep-rmg/2021-05-24.html
Report NEP-RMG-2021-05-24
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:
- Rey, Hélène & Galaasen, Sigurd & Jamilov, Rustam & Juelsrud, Ragnar, 2020, "Granular Credit Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15385, Oct.
- Acharya, Viral & Iyer, Aaditya M. & Sundaram, Rangarajan K, 2020, "Risk-Sharing and the Creation of Systemic Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15269, Sep.
- Karoline Bax & Ozge Sahin & Claudia Czado & Sandra Paterlini, 2021, "ESG, Risk, and (Tail) Dependence," Papers, arXiv.org, number 2105.07248, May, revised Nov 2021.
- Gourinchas, Pierre-Olivier & Kalemli-Özcan, Ṣebnem & Penciakova, Veronika & Sander, Nick, 2022, "SME Failures Under Large Liquidity Shocks: An Application to the COVID-19 Crisis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15323, Jan.
- Dodo Natatou Moutari & Hassane Abba Mallam & Diakarya Barro & Bisso Saley, 2021, "Dependence Modeling and Risk Assessment of a Financial Portfolio with ARMA-APARCH-EVT models based on HACs," Papers, arXiv.org, number 2105.09473, May.
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2021, "Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets," Papers, arXiv.org, number 2105.07524, May.
- Peydró, José-Luis & Jiménez, Gabriel & Bedayo, Mikel & Vegas, Raquel, 2020, "Screening and Loan Origination Time: Lending Standards, Loan Defaults and Bank Failures," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15445, Nov.
- Bruno P. C. Levy & Hedibert F. Lopes, 2021, "Dynamic Portfolio Allocation in High Dimensions using Sparse Risk Factors," Papers, arXiv.org, number 2105.06584, May, revised Nov 2021.
- Nicolas Veron & Anna Gelpern & Lynn Shibut & Marco Bodellini & Michael Schillig & Margit Vanberg & Sven Balder & Francisco Sotelo & Jens Verner Andersen & Mathias Semay Hovedskov & Fernando Restoy & R, 2021, "The crisis management framework for banks in the EU. How can we deal with the crisis of small and medium-sized banks?," Workshop and Conferences, Bank of Italy, Economic Research and International Relations Area, number 24, May.
- Dumas, Bernard & Gabuniya, Tymur & Marston, Richard C, 2020, "Firms' Exposures to Geographic Risks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15503, Nov.
- Ludovic Cal`es & Apostolos Chalkis & Ioannis Z. Emiris, 2021, "The cross-sectional distribution of portfolio returns and applications," Papers, arXiv.org, number 2105.06573, May.
- Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021, "A risk management perspective on macroprudential policy," Working Paper Series, European Central Bank, number 2556, May.
- Kok, Christoffer & Müller, Carola & Ongena, Steven & Pancaro, Cosimo, 2021, "The disciplining effect of supervisory scrutiny in the EU-wide stress test," Working Paper Series, European Central Bank, number 2551, May.
- Fulghieri, Paolo & Dicks, David, 2021, "Uncertainty, Contracting, and Beliefs in Organizations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15378, Jul.
- Bartosz Jaroszkowski & Max Jensen, 2021, "Valuation of European Options under an Uncertain Market Price of Volatility Risk," Papers, arXiv.org, number 2105.09581, May.
- Eichenbaum, Martin & Godinho de Matos, Miguel & Lima, Francisco & Rebelo, Sérgio & Trabandt, Mathias, 2022, "Expectations, Infections, and Economic Activity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15373, Apr.
- David Adeabah & Charles Andoh & Simplice A. Asongu & Albert Gemegah, 2021, "Reputational risks in banks: A review of research themes, frameworks, methods, and future research directions," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 21/028, May.
- Röthke, Konstantin & Albrecht, Gregor & Adam, Martin & Benlian, Alexander, 2021, "Monetizing Loot Boxes in Gamblified Digital Business Models — The Role of Risk Avoidance and Loss Aversion," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 126523, May.
- Alok Johri & Shahed Khan & César Sosa-Padilla, 2020, "Interest Rate Uncertainty and Sovereign Default Risk," Working Papers, Red Nacional de Investigadores en Economía (RedNIE), number 31, Dec.
- Thomas Krabichler & Marcus Wunsch, 2021, "Hedging Goals," Papers, arXiv.org, number 2105.07915, May, revised Oct 2021.
- Hansen, Stephen & Davis, Steven & Seminario-Amez, Cristhian, 2020, "Firm-level Risk Exposures and Stock Returns in the Wake of COVID-19," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15314, Sep.