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Report NEP-RMG-2021-07-12
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:
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta, 2021, "Oil Tail Risks and the Forecastability of the Realized Variance of Oil-Price: Evidence from Over 150 Years of Data," Working Papers, University of Pretoria, Department of Economics, number 202146, Jun.
- Christopher L. Culp & Mihir Gandhi & Yoshio Nozawa & Pietro Veronesi, 2021, "Option-Implied Spreads and Option Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 28941, Jun.
- Baptista Palazzi, Rafael & Waldemar, Marcelo, 2021, "Evaluation of Volatility Spillovers and Quantile Hedging: a closer look to Brazilian agricultural markets," 95th Annual Conference, March 29-30, 2021, Warwick, UK (Hybrid), Agricultural Economics Society - AES, number 312073, Mar, DOI: 10.22004/ag.econ.312073.
- Maria Ludovica Drudi & Stefano Nobili, 2021, "A liquidity risk early warning indicator for Italian banks: a machine learning approach," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1337, Jun.
- Szymon Lis & Marcin Chlebus, 2021, "Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2021-11.
- Knut Are Aastveit & Jamie Cross & Herman K. Djik, 2021, "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 03/2021, Jun.
- Tirupam Goel & Isha Agarwal, 2021, "Limits of stress-test based bank regulation," BIS Working Papers, Bank for International Settlements, number 953, Jul.
- An Chen & Motonobu Kanagawa & Fangyuan Zhang, 2021, "Intergenerational risk sharing in a Defined Contribution pension system: analysis with Bayesian optimization," Papers, arXiv.org, number 2106.13644, Jun, revised Mar 2023.
- Charles-Cadogan, G., 2021, "Market Instability, Investor Sentiment, And Probability Judgment Error in Index Option Prices," CRETA Online Discussion Paper Series, Centre for Research in Economic Theory and its Applications CRETA, number 71.
- Ioannis Chatziantoniou & David Gabauer & Rangan Gupta, 2021, "Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach," Working Papers, University of Pretoria, Department of Economics, number 202147, Jun.
- Gardenier, Julius & Lac, Visieu & Ashfaq, Muhammad, 2021, "Risk-adjusted return in sustainable finance: A comparative analysis of European positively screened and best-in-class ESG investment portfolios and the Euro Stoxx 50 index using the Sharpe Ratio," IU Discussion Papers - Business & Management, IU International University of Applied Sciences, number 7/2021.
- Jarek Kk{e}dra & Assaf Libman & Victoria Steblovskaya, 2021, "Pricing multi-asset contingent claims in a multi-dimensional binomial market," Papers, arXiv.org, number 2106.13283, Jun, revised Feb 2023.
- Andrew Paskaramoorthy & Tim Gebbie & Terence van Zyl, 2021, "The efficient frontiers of mean-variance portfolio rules under distribution misspecification," Papers, arXiv.org, number 2106.10491, Jun, revised Jul 2021.
- Bent Jesper Christensen & Mads Markvart Kjær & Bezirgen Veliyev, 2021, "The incremental information in the yield curve about future interest rate risk," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-11, Jul.
- Samuel Rufat & Iuliana Armaș & Wouter Botzen & Emeline Comby & Mariana Madruga de Brito & Alexander Fekete & Christian Kuhlicke & Peter Robinson, 2021, "Risk Perception & Behaviour Survey of Surveyors. Risk-SoS 2020 Preliminary results," Post-Print, HAL, number hal-03228369.
- Böck, Maximilian, 2021, "The Identification of Non-Rational Risk Shocks," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 314, Jun.
- Prehn, Sören, 2021, "Minimum variance hedging: Levels versus first differences," 95th Annual Conference, March 29-30, 2021, Warwick, UK (Hybrid), Agricultural Economics Society - AES, number 312051, Mar, DOI: 10.22004/ag.econ.312051.
- Item repec:hal:wpaper:hal-03256606 is not listed on IDEAS anymore
- Jelena Zivanovic, 2021, "An Optimal Macroprudential Policy Mix for Segmented Credit Markets," Staff Working Papers, Bank of Canada, number 21-31, Jun, DOI: 10.34989/swp-2021-31.