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Report NEP-RMG-2021-06-28
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:
- Jaehyung Choi & Hyangju Kim & Young Shin Kim, 2021, "Diversified reward-risk parity in portfolio construction," Papers, arXiv.org, number 2106.09055, Jun, revised Sep 2022.
- Luca Merlo & Lea Petrella & Valentina Raponi, 2021, "Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation," Papers, arXiv.org, number 2106.06518, Jun.
- Sandrine Spaeter, 2021, "How to Reconcile Pandemic Business Interruption Risk With Insurance Coverage," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2021-18.
- Runhuan Feng & Peng Li, 2021, "Sample Recycling Method -- A New Approach to Efficient Nested Monte Carlo Simulations," Papers, arXiv.org, number 2106.06028, Jun.
- Anand Deo & Karthyek Murthy, 2021, "Efficient Black-Box Importance Sampling for VaR and CVaR Estimation," Papers, arXiv.org, number 2106.10236, Jun.
- Muyang Ge & Shen Zhou & Shijun Luo & Boping Tian, 2021, "3D Tensor-based Deep Learning Models for Predicting Option Price," Papers, arXiv.org, number 2106.02916, Jun, revised Sep 2021.
- Kartik Sethi & Siddhartha P. Chakrabarty, 2021, "Modeling premiums of non-life insurance companies in India," Papers, arXiv.org, number 2106.02446, Jun.
- Chenyanzi Yu & Tianyang Xie, 2021, "Multivariate Pair Trading by Volatility & Model Adaption Trade-off," Papers, arXiv.org, number 2106.09132, Jun.
- Nuno Coimbra & Daisoon Kim & Hélène Rey, 2021, "Central Bank Policy and the Concentration of Risk: Empirical Estimates," NBER Working Papers, National Bureau of Economic Research, Inc, number 28907, Jun.
- Areski Cousin & Ying Jiao & Christian y Robert & Olivier David Zerbib, 2021, "Optimal asset allocation subject to withdrawal risk and solvency constraints," Working Papers, HAL, number hal-03244380, Jun.
- Nick James & Max Menzies, 2021, "A new measure between sets of probability distributions with applications to erratic financial behavior," Papers, arXiv.org, number 2106.07377, Jun, revised Dec 2021.
- Alex Garivaltis, 2021, "Universal Risk Budgeting," Papers, arXiv.org, number 2106.10030, Jun, revised Oct 2022.
- Samuel Palmer & Serkan Sahin & Rodrigo Hernandez & Samuel Mugel & Roman Orus, 2021, "Quantum Portfolio Optimization with Investment Bands and Target Volatility," Papers, arXiv.org, number 2106.06735, Jun, revised Aug 2021.
- Roncalli, Thierry & Cherief, Amina & Karray-Meziou, Fatma & Regnault, Margaux, 2021, "Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk," MPRA Paper, University Library of Munich, Germany, number 108295, Apr.
- Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2021, "Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis," Papers, arXiv.org, number 2106.09128, Jun.
- Item repec:hal:wpaper:hal-03244324 is not listed on IDEAS anymore
- Ormazabal, Gaizka & López-Espinosa, Germán & Sakasai, Yuki, 2020, "Switching From Incurred to Expected Loan Loss Provisioning: Early Evidence," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14803, May.
- Dong, Xueqi, 2021, "Uncertainty Aversion and Convexity in Portfolio Choice," MPRA Paper, University Library of Munich, Germany, number 108264, Jun.
- Eva Lutkebohmert & Thorsten Schmidt & Julian Sester, 2021, "Robust deep hedging," Papers, arXiv.org, number 2106.10024, Jun, revised Nov 2021.
- Wenyong Zhang & Lingfei Li & Gongqiu Zhang, 2021, "A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface," Papers, arXiv.org, number 2106.07177, Jun, revised Jan 2022.
- Estepa-Mohedano, Lorenzo & Espinosa, Maria Paz, 2021, "Comparing risk elicitation in lotteries with visual or contextual framing aids," MPRA Paper, University Library of Munich, Germany, number 108440, Jun.
- Jiri Witzany & Martin Divis, 2021, "Interest Rate Risk of Savings Accounts," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2021/21, Jun, revised Jun 2021.
- Marc-Arthur Diaye & André Lapidus & Christian Schmidt, 2024, "From Decision in Risk to Decision in Time - and Return: A Restatement of Probability Discounting," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-03256606, Oct, DOI: 10.4236/tel.2024.145101.
- Francesco Buono & Camilla Cal`i & Maria Longobardi, 2021, "Dispersion indices based on Kerridge inaccuracy and Kullback-Leibler divergence," Papers, arXiv.org, number 2106.12292, Jun, revised Dec 2021.
- Laura Alfaro & Mauricio Calani & Liliana Varela, 2021, "Granular Corporate Hedging Under Dominant Currency," NBER Working Papers, National Bureau of Economic Research, Inc, number 28910, Jun.
- Pagano, Marco & Carletti, Elena & Oliviero, Tommaso & Pelizzon, Loriana & Subrahmanyam, Marti, 2020, "The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14831, May.
- Ojea-Ferreiro, Javier & Reboredo, Juan C., 2021, "Exchange rates and the global transmission of equity market shocks," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2021-05, Apr.