Report NEP-RMG-2021-07-19

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:

• Onur Babat & Juan C. Vera & Luis F. Zuluaga, 2021, "Computing near-optimal Value-at-Risk portfolios using Integer Programming techniques," Papers, arXiv.org, number 2107.07339, Jun.
• Anna Dubinova & Andre Lucas & Sean Telg, 2021, "COVID-19, Credit Risk and Macro Fundamentals," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-059/III, Jun.
• Alice Abboud & Christopher Anderson & Aaron L. Game & Diana A. Iercosan & Hulusi Inanoglu & David Lynch, 2021, "Banks' Backtesting Exceptions during the COVID-19 Crash: Causes and Consequences," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2021-07-08-2, Jul, DOI: 10.17016/2380-7172.2939.
• Said, Jamaliah & Alam, Md. Mahmudul & Johari, Razana Juhaida, 2020, "Assessment of Risk Management Practices in the Public Sector of Malaysia," SocArXiv, Center for Open Science, number am3hd, Jun, DOI: 10.31219/osf.io/am3hd.
• Daniel Hadley & Harry Joe & Natalia Nolde, 2021, "On the Selection of Loss Severity Distributions to Model Operational Risk," Papers, arXiv.org, number 2107.03979, Jul.
• Denuit, Michel & Robert, Christian Y., 2021, "From risk reduction to risk elimination by conditional mean risk sharing of independent losses," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021022, Jan.
• Mark Paddrik & H. Peyton Young, 2021, "Assessing the Safety of Central Counterparties," Working Papers, Office of Financial Research, US Department of the Treasury, number 21-02, Jun, revised 14 Jul 2021.
• {L}ukasz Bielak & Aleksandra Grzesiek & Joanna Janczura & Agnieszka Wy{l}oma'nska, 2021, "Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling," Papers, arXiv.org, number 2107.07142, Jul.
• Dong-Young Lim, 2021, "A Neural Frequency-Severity Model and Its Application to Insurance Claims," Papers, arXiv.org, number 2106.10770, Jun, revised Mar 2025.
• Ozili, Peterson K, 2021, "Basel III in Nigeria: making it work," MPRA Paper, University Library of Munich, Germany, number 108495.
• Matthieu Garcin & Samuel Stephan, 2021, "Credit scoring using neural networks and SURE posterior probability calibration," Papers, arXiv.org, number 2107.07206, Jul, revised Jan 2025.
• Yacine Koucha & Alfredo D. Egidio dos Reis, 2021, "Approximations to ultimate ruin probabilities with a Wienner process perturbation," Papers, arXiv.org, number 2107.02537, Jul.
• Item repec:ofr:wpaper:21-03 is not listed on IDEAS anymore

• Howard Kunreuther & Jason Schupp, 2021, "Evaluating the Role of Insurance in Managing Risk of Future Pandemics," NBER Working Papers, National Bureau of Economic Research, Inc, number 28968, Jun.
• Areski Cousin & Djibril Gueye, 2021, "Kriging For Implied Volatility Surface," Working Papers, HAL, number hal-03274026, Jun.
• Dupret, Jean-Loup & Hainaut, Donatien, 2021, "Portfolio insurance under rough volatility and Volterra processes," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021026, Jan.
• Kyle Dempsey & Felicia Ionescu, 2021, "Lending Standards and Borrowing Premia in Unsecured Credit Markets," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-039, Jun, DOI: 10.17016/FEDS.2021.039.
• Can, S.U. & Einmahl, John & Laeven, Roger, 2021, "Two-Sample Testing for Tail Copulas with an Application to Equity Indices," Other publications TiSEM, Tilburg University, School of Economics and Management, number 65a9e694-665d-4671-aaf1-4.
• Can, S.U. & Einmahl, John & Laeven, Roger, 2021, "Two-Sample Testing for Tail Copulas with an Application to Equity Indices," Discussion Paper, Tilburg University, Center for Economic Research, number 2021-017.
• Anastasiya Ivanova & Alona Shmygel & Ihor Lubchuk, 2021, "The Growth-at-Risk (GaR) Framework: Implication For Ukraine," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 10-2021, Jul.
• Mathias S. Kruttli & Phillip J. Monin & Lubomir Petrasek & Sumudu W. Watugala, 2021, "Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-038, Jun, DOI: 10.17016/FEDS.2021.038.
• Russo, Marianna & Kraft, Emil & Bertsch, Valentin & Keles, Dogan, 2021, "Short-term risk management for electricity retailers under rising shares of decentralized solar generation," Working Paper Series in Production and Energy, Karlsruhe Institute of Technology (KIT), Institute for Industrial Production (IIP), number 57, DOI: 10.5445/IR/1000134345.
• Terri van der Zwan & Erik Hennink & Patrick Tuijp, 2021, "Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-062/III, Jul.
• Arthur Charpentier & Lariosse Kouakou & Matthias Lowe & Philipp Ratz & Franck Vermet, 2021, "Collaborative Insurance Sustainability and Network Structure," Papers, arXiv.org, number 2107.02764, Jul, revised Sep 2022.
• Maximilian Blesch & Philipp Eisenhauer, 2021, "Robust Decision-Making Under Risk and Ambiguity," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 104, Jul.
• Hainaut, Donatien, 2021, "A fractional multi-states model for insurance," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021019, Jan.
• Osadchiy, Maksim, 2021, "Vasicek Model Extension. Premature default," MPRA Paper, University Library of Munich, Germany, number 108687, Jul.
• Felipe Aldunate & Dirk Jenter & Arthur Korteweg & Peter Koudijs, 2021, "Shareholder Liability and Bank Failure," CESifo Working Paper Series, CESifo, number 9168.
• Rian Dolphin & Barry Smyth & Yang Xu & Ruihai Dong, 2021, "Measuring Financial Time Series Similarity With a View to Identifying Profitable Stock Market Opportunities," Papers, arXiv.org, number 2107.03926, Jul.
• Knut Anton Mork & Vegard Skonseng Bjerketvedt, 2021, "Soft habits," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 18921, Jun.
• Sebastian Barnes & Robert Hillman & George Wharf & Duncan MacDonald, 2021, "The impact of COVID-19 on corporate fragility in the United Kingdom: Insights from a new calibrated firm-level Corporate Sector Agent-Based (CAB) Model," OECD Economics Department Working Papers, OECD Publishing, number 1674, Jul, DOI: 10.1787/b6805eed-en.

Report NEP-RMG-2021-07-19

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: