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Report NEP-RMG-2021-06-21
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:
- Schoenmaker, Dirk & Reinders, Henk Jan & Van Dijk, Mathijs, 2020, "Is COVID-19 a threat to financial stability in Europe?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14922, Jun.
- Faugeras, Olivier & Pages, Gilles, 2021, "Risk Quantization by Magnitude and Propensity," TSE Working Papers, Toulouse School of Economics (TSE), number 21-1226, Jun, revised Aug 2022.
- Pliszka, Kamil, 2021, "System-wide and banks' internal stress tests: Regulatory requirements and literature review," Discussion Papers, Deutsche Bundesbank, number 19/2021.
- Chao Wang & Richard Gerlach, 2021, "A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting," Papers, arXiv.org, number 2106.00288, Jun, revised Oct 2022.
- Andreï Kostyrka & Dmitry Igorevich Malakhov,, 2021, "The good, the bad, and the asymmetric: Evidence from a new conditional density model," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 21-09.
- Mathieu Mercadier & Jean-Pierre Lardy, 2019, "Credit spread approximation and improvement using random forest regression," Post-Print, HAL, number hal-03241566, Aug, DOI: 10.1016/j.ejor.2019.02.005.
- Juan M. Londono & Nancy R. Xu, 2021, "The Global Determinants of International Equity Risk Premiums," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1318, May, DOI: 10.17016/IFDP.2021.1318.
- Alejandro García & Josef Schroth, 2021, "Can regulating bank capital help prevent and mitigate financial downturns?," Staff Analytical Notes, Bank of Canada, number 2021-12, Jun, DOI: 10.34989/san-2021-12.
- Mathieu Mercadier & Frank Strobel, 2021, "A one-sided Vysochanskii-Petunin inequality with financial applications," Post-Print, HAL, number hal-03241628, Feb, DOI: 10.1016/j.ejor.2021.02.041.
- Renée Fry-McKibbin & Matthew Greenwood-Nimmo & Cody Yu-Ling Hsiao & Lin Qi, 2021, "Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2021-36, Apr.
- Gianni De Nicolò & Nataliya Klimenko & Sebastian Pfeil & Jean-Charles Rochet, 2021, "The Long-Term Effects of Capital Requirements," CESifo Working Paper Series, CESifo, number 9115.
- Dimitris Bertsimas & Agni Orfanoudaki, 2021, "Algorithmic Insurance," Papers, arXiv.org, number 2106.00839, Jun, revised Dec 2022.
- Afees A. Salisu & Elie Bouri & Rangan Gupta, 2021, "Out-of-Sample Predictability of Gold Market Volatility: The Role of US Nonfarm Payroll," Working Papers, University of Pretoria, Department of Economics, number 202143, Jun.
- Piero Quatto & Gianmarco Vacca & Maria Grazia Zoia, 2021, "Modeling Portfolios with Leptokurtic and Dependent Risk Factors," Papers, arXiv.org, number 2106.04218, Jun.
- Axel A. Araneda, 2021, "Asset volatility forecasting:The optimal decay parameter in the EWMA model," Papers, arXiv.org, number 2105.14382, May.
- Denny IRAWAN & Tatsuyoshi OKIMOTO, 2021, "Conditional Capital Surplus and Shortfall across Resource Firms," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI), number 21031, Apr.
- Julien Hok & Sergei Kucherenko, 2021, "Pricing and Risk Analysis in Hyperbolic Local Volatility Model with Quasi Monte Carlo," Papers, arXiv.org, number 2106.08421, Jun.
- Kuzmina, Olga & Kelly, Patrick & Gorovyy, Sergiy, 2020, "Does Secrecy Signal Skill? Characteristics and Performance of Secretive Hedge Funds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14873, Jun.
- Duc Khuong Nguyen & Dinh-Tri Vo, 2021, "Enterprise Risk Management and Solvency: The Case of the Listed EU Insurers," Working Papers, Department of Research, Ipag Business School, number 2021-010, Jan.
- van Binsbergen, Jules, 2020, "Duration-Based Stock Valuation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14904, Jun.
- Vacca, Valerio Paolo & Bichlmeier, Fabian & Biraschi, Paolo & Boschi, Natalie & Álvarez, Antonio J. Bravo & Di Primio, Luciano & Ebner, André & Hoeretzeder, Silvia & Ballesteros, Elisa Llorente & Mian, 2021, "Measuring the impact of a bank failure on the real economy: an EU-wide analytical framework," ESRB Working Paper Series, European Systemic Risk Board, number 122, Jun.
- Acharya, Viral & Bhadury, Soumya & Surti, Jay, 2020, "Financial Vulnerability and Risks to Growth in Emerging Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14962, Jun.
- Knut Are Aastveit & Jamie Cross & Herman K. van Dijk, 2021, "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-053/III, Jun.
- Christophe Schalck & Meryem Schalck, 2021, "Predicting French SME Failures: New Evidence from Machine Learning Techniques," Working Papers, Department of Research, Ipag Business School, number 2021-009, Jan.
- Luca Benzoni & Lorenzo Garlappi & Robert S. Goldstein & Julien Hugonnier & Chao Ying, 2020, "Optimal Debt Dynamics, Issuance Costs, and Commitment," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2020-20, Oct, DOI: 10.21033/wp-2020-20.