Report NEP-RMG-2021-08-09This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.
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The following items were announced in this report:
- Wen Su, 2021. "Volatility of S&P500: Estimation and Evaluation," Papers 2107.09273, arXiv.org.
- Shengzhong Chen & Niushan Gao & Denny Leung & Lei Li, 2021. "Automatic Fatou Property of Law-invariant Risk Measures," Papers 2107.08109, arXiv.org, revised Jan 2022.
- Petr Jakubik & Saida Teleu, 2021. "Impact of EU-wide Insurance Stress Tests on Equity Prices and Systemic Risk," Working Papers IES 2021/25, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, 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 wps74, Bank of Russia.
- Gouriéroux, Christian & Monfort, Alain & Mouabbi, Sarah & Renne, Jean-Paul, 2021. "Disastrous Defaults," TSE Working Papers 21-1237, Toulouse School of Economics (TSE).
- Wen Su, 2021. "Default Distances Based on the CEV-KMV Model," Papers 2107.10226, arXiv.org, 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 202152, University of Pretoria, Department of Economics.
- Grzegorz Halaj & Sofia Priazhkina, 2021. "Stressed but not Helpless: Strategic Behaviour of Banks Under Adverse Market Conditions," Staff Working Papers 21-35, Bank of Canada.
- Wei Li & Florentina Paraschiv & Georgios Sermpinis, 2021. "A Data-driven Explainable Case-based Reasoning Approach for Financial Risk Detection," Papers 2107.08808, arXiv.org.
- Anatoli Segura & Alonso Villacorta, 2021. "Firm-bank linkages and optimal policies in a lockdown," Temi di discussione (Economic working papers) 1343, Bank of Italy, Economic Research and International Relations Area.
- Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Working Papers 202111, Geary Institute, University College Dublin.
- Aikman, David & Bluwstein, Kristina & Karmakar, Sudipto, 2021. "A tail of three occasionally-binding constraints: a modelling approach to GDP-at-Risk," Bank of England working papers 931, Bank of England.
- Ayad Assoil & Ndéné Ka & Jules Sadefo Kamdem, 2021. "Analysis of the Dynamic Relationship between Liquidityproxies and returns on French CAC 40 index," Working Papers hal-03282991, HAL.
- Anton J. Heckens & Thomas Guhr, 2021. "A New Attempt to Identify Long-term Precursors for Endogenous Financial Crises in the Market Correlation Structures," Papers 2107.09048, arXiv.org, 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 2579, European Central Bank.
- Corsetti, G. & LipiÅ„ska, A. & Lombardo, G., 2021. "Sharing Asymmetric Tail Risk Smoothing, Asset Pricing and Terms of Trade," Cambridge Working Papers in Economics 2153, Faculty of Economics, University of Cambridge.
- Eccles, Peter & Grout, Paul & Siciliani, Paolo & Zalewska, Anna, 2021. "The impact of machine learning and big data on credit markets," Bank of England working papers 930, Bank of England.
- Diekert, Florian & Goeschl, Timo & König-Kersting, Christian, 2021. "Social Risk Effects: The 'Experience of Social Risk' Factor," Working Papers 0704, University of Heidelberg, Department of Economics.
- 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 2110, Koc University-TUSIAD Economic Research Forum.
- Mafalda VenÃ¢ncio de Vasconcelos & Filipa LeÃ£o de Vasconcelos, 2021. "Risk perception and policy responses to Covid-19: New Evidence," CHILD Working Papers Series 91 JEL Classification: H1, Centre for Household, Income, Labour and Demographic Economics (CHILD) - CCA.
- 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 8d25ec25-78dc-4cdc-b054-f, Tilburg University, School of Economics and Management.
- Reinhold Heinlein & Scott M. R. Mahadeo, 2021. "Oil and US stock market shocks: implications for Canadian equities," Working Papers in Economics & Finance 2021-07, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Carlos Castro-Iragorri & Julian Ramirez & Sebastian Velez, 2021. "Financial intermediation and risk in decentralized lending protocols," Papers 2107.14678, arXiv.org.
- David Kohns & Tibor Szendrei, 2021. "Decoupling Shrinkage and Selection for the Bayesian Quantile Regression," Papers 2107.08498, arXiv.org.
- Illenin O. Kondo & Logan T. Lewis & Andrea Stella, 2021. "Heavy Tailed, but not Zipf: Firm and Establishment Size in the U.S," Working Papers 21-15, Center for Economic Studies, U.S. Census Bureau.
- Costola, Michele & Lorusso, Marco, 2021. "Spillovers among Energy Commodities and the Russian Stock Market," MPRA Paper 108990, University Library of Munich, Germany.
- 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 258, European Central Bank.