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Report NEP-RMG-2021-08-09
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:
- Wen Su, 2021, "Volatility of S&P500: Estimation and Evaluation," Papers, arXiv.org, number 2107.09273, Jul.
- Shengzhong Chen & Niushan Gao & Denny Leung & Lei Li, 2021, "Automatic Fatou Property of Law-invariant Risk Measures," Papers, arXiv.org, number 2107.08109, Jul, revised Jan 2022.
- Petr Jakubik & Saida Teleu, 2021, "Impact of EU-wide Insurance Stress Tests on Equity Prices and Systemic Risk," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2021/25, Jul, revised Jul 2021.
- Henry Penikas & Anastasia Skarednova & Mikhail Surkov, 2021, "How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily?," Bank of Russia Working Paper Series, Bank of Russia, number wps74, Jul.
- Gouriéroux, Christian & Monfort, Alain & Mouabbi, Sarah & Renne, Jean-Paul, 2021, "Disastrous Defaults," TSE Working Papers, Toulouse School of Economics (TSE), number 21-1237, Aug.
- Wen Su, 2021, "Default Distances Based on the CEV-KMV Model," Papers, arXiv.org, number 2107.10226, Jul, revised May 2022.
- Keagile Lesame & Elie Bouri & David Gabauer & Rangan Gupta, 2021, "On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures," Working Papers, University of Pretoria, Department of Economics, number 202152, Jul.
- Grzegorz Halaj & Sofia Priazhkina, 2021, "Stressed but not Helpless: Strategic Behaviour of Banks Under Adverse Market Conditions," Staff Working Papers, Bank of Canada, number 21-35, Jul, DOI: 10.34989/swp-2021-35.
- Wei Li & Florentina Paraschiv & Georgios Sermpinis, 2021, "A Data-driven Explainable Case-based Reasoning Approach for Financial Risk Detection," Papers, arXiv.org, number 2107.08808, Jul.
- Anatoli Segura & Alonso Villacorta, 2021, "Firm-bank linkages and optimal policies in a lockdown," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1343, Jul.
- Thomas Conlon & John Cotter & Iason Kynigakis, 2021, "Machine Learning and Factor-Based Portfolio Optimization," Working Papers, Geary Institute, University College Dublin, number 202111, Mar.
- David Aikman & Kristina Bluwstein & Sudipto Karmakar, 2021, "A tail of three occasionally-binding constraints: a modelling approach to GDP-at-Risk," Bank of England working papers, Bank of England, number 931, Jul.
- Item repec:hal:wpaper:hal-03282991 is not listed on IDEAS anymore
- Anton J. Heckens & Thomas Guhr, 2021, "A New Attempt to Identify Long-term Precursors for Endogenous Financial Crises in the Market Correlation Structures," Papers, arXiv.org, number 2107.09048, Jul, revised Aug 2022.
- Calza, Alessandro & Hey, Julius-Benjamin & Parrini, Alessandro & Sauer, Stephan, 2021, "Corporate loans, banks’ internal risk estimates and central bank collateral: evidence from the euro area," Working Paper Series, European Central Bank, number 2579, Jul.
- Corsetti, G. & Lipińska, A. & Lombardo, G., 2021, "Sharing Asymmetric Tail Risk Smoothing, Asset Pricing and Terms of Trade," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2153, Jul.
- Peter Eccles & Paul Grout & Paolo Siciliani & Anna Zalewska, 2021, "The impact of machine learning and big data on credit markets," Bank of England working papers, Bank of England, number 930, Jul.
- Diekert, Florian & Goeschl, Timo & König-Kersting, Christian, 2021, "Social Risk Effects: The 'Experience of Social Risk' Factor," Working Papers, University of Heidelberg, Department of Economics, number 0704, Aug.
- Cem Cakmakli & Verda Ozturk, 2021, "Economic Value of Modeling the Joint Distribution of Returns and Volatility: Leverage Timing," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 2110, Jul.
- Mafalda Venâncio de Vasconcelos & Filipa Leão de Vasconcelos, 2021, "Risk perception and policy responses to Covid-19: New Evidence," CHILD Working Papers Series, Centre for Household, Income, Labour and Demographic Economics (CHILD) - CCA, number 91 JEL Classification: H1.
- Li, Yuexin & Ma, X. & Renneboog, Luc, 2021, "Pricing Art and the Art of Pricing : On Returns and Risk in Art Auction Markets," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8d25ec25-78dc-4cdc-b054-f.
- Reinhold Heinlein & Scott M. R. Mahadeo, 2021, "Oil and US stock market shocks: implications for Canadian equities," Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group, number 2021-07, Jul.
- Carlos Castro-Iragorri & Julian Ramirez & Sebastian Velez, 2021, "Financial intermediation and risk in decentralized lending protocols," Papers, arXiv.org, number 2107.14678, Jul.
- David Kohns & Tibor Szendrei, 2021, "Decoupling Shrinkage and Selection for the Bayesian Quantile Regression," Papers, arXiv.org, number 2107.08498, Jul.
- Illenin O. Kondo & Logan T. Lewis & Andrea Stella, 2021, "Heavy Tailed, but not Zipf: Firm and Establishment Size in the U.S," Working Papers, Center for Economic Studies, U.S. Census Bureau, number 21-15, Jul.
- Costola, Michele & Lorusso, Marco, 2021, "Spillovers among Energy Commodities and the Russian Stock Market," MPRA Paper, University Library of Munich, Germany, number 108990, Jul.
- Budnik, Katarzyna & Dimitrov, Ivan & Giglio, Carla & Groß, Johannes & Lampe, Max & Sarychev, Andrei & Tarbé, Matthieu & Vagliano, Gianluca & Volk, Matjaz, 2021, "The growth-at-risk perspective on the system-wide impact of Basel III finalisation in the euro area," Occasional Paper Series, European Central Bank, number 258, Jul.