Report NEP-RMG-2021-08-16

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Cosimo Munari & Stefan Weber & Lutz Wilhelmy, 2021, "Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-58, Apr.
• Xia Han & Bin Wang & Ruodu Wang & Qinyu Wu, 2021, "Risk Concentration and the Mean-Expected Shortfall Criterion," Papers, arXiv.org, number 2108.05066, Aug, revised Apr 2022.
• Giovanni Bonaccolto & Massimiliano Caporin & Bertrand Maillet, 2022, "Dynamic Large Financial Networks via Conditional Expected Shortfalls," Post-Print, HAL, number hal-03287947, Apr, DOI: 10.1016/j.ejor.2021.06.037.
• Alexandre Carbonneau & Fr'ed'eric Godin, 2021, "Deep equal risk pricing of financial derivatives with non-translation invariant risk measures," Papers, arXiv.org, number 2107.11340, Jul.
• Lloyd, S. & Manuel, E. & Panchev, K., 2021, "Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2156, Aug.
• Nizar, Muhammad Afdi & Mansur, Alfan, 2021, "Can the Indonesian banking industry benefit from a risk-based deposit insurance system?," MPRA Paper, University Library of Munich, Germany, number 109083, May.
• Stéphane Verani & Pei Cheng Yu, 2021, "What's Wrong with Annuity Markets?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-044, Jul, DOI: 10.17016/FEDS.2021.044.
• Spiridon Penev & Pavel V. Shevchenko & Wei Wu, 2021, "The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion," Papers, arXiv.org, number 2108.02633, Aug.
• Jaydip Sen & Sidra Mehtab, 2021, "Optimum Risk Portfolio and Eigen Portfolio: A Comparative Analysis Using Selected Stocks from the Indian Stock Market," Papers, arXiv.org, number 2107.11371, Jul.
• Pashchenko, Svetlana & Porapakkarm, Ponpoje, 2021, "Value of Life and Annuity Demand," MPRA Paper, University Library of Munich, Germany, number 108886, Apr.
• Gian Paolo Clemente & Francesco Della Corte & Nino Savelli, 2021, "A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demographic risk," Papers, arXiv.org, number 2107.10891, Jul.
• Jean-Marc Vasnier & Mourad Messaadia & Nicolas Maranzana & Ameziane Aoussat, 2021, "A Novel Multi-Criteria Risk Matrix to Assist in the Strategy Formulation Process: The Case of SMEs," Post-Print, HAL, number hal-03295416, DOI: 10.1142/s0219622021500255.
• Papp, Gábor & Kondor, Imre & Caccioli, Fabio, 2021, "Optimizing expected shortfall under an ℓ1 constraint—an analytic approach," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 111051, May.
• Thomas Conlon & John Cotter & Iason Kynigakis, 2021, "Machine Learning and Factor-Based Portfolio Optimization," Papers, arXiv.org, number 2107.13866, Jul.
• Packham, Natalie & Woebbeking, Fabian, 2021, "Correlation scenarios and correlation stress testing," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-012.
• Matthieu Garcin & Samuel Stéphan, 2023, "Credit scoring using neural networks and SURE posterior probability calibration," Working Papers, HAL, number hal-03286760, Oct.
• Lykourgos Alexiou & Amit Goyal & Alexandros Kostakis & Leonidas Rompolis, 2021, "Pricing Event Risk: Evidence from Concave Implied Volatility Curves," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-48, May.
• Gianni De Nicolo & Nataliya Klimenko & Sebastian Pfeil & Jean-Charles Rochet, 2021, "The Long-Term Effects of Capital Requirements," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-52, Jun.
• Eduardo Abi Jaber, 2022, "The Laplace transform of the integrated Volterra Wishart process," Post-Print, HAL, number hal-02367200, Jan, DOI: 10.1111/mafi.12334.
• René M. Stulz & James G. Tompkins & Rohan Williamson & Zhongxia (Shelly) Ye, 2021, "Why do Bank Boards have Risk Committees?," NBER Working Papers, National Bureau of Economic Research, Inc, number 29106, Jul.
• Felix-Benedikt Liebrich, 2021, "Risk sharing under heterogeneous beliefs without convexity," Papers, arXiv.org, number 2108.05791, Aug, revised May 2022.
• Wenyuan Wang & Xiang Yu & Xiaowen Zhou, 2021, "On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy," Papers, arXiv.org, number 2108.01800, Aug, revised Nov 2023.
• Michele Azzone & Roberto Baviera, 2021, "Short-time implied volatility of additive normal tempered stable processes," Papers, arXiv.org, number 2108.02447, Aug.
• Francesca Biagini & Lukas Gonon & Thomas Reitsam, 2021, "Neural network approximation for superhedging prices," Papers, arXiv.org, number 2107.14113, Jul.
• Kennedy, Gerard & Killeen, Neill & Skouralis, Alexandros & Velasco, Sofia & Wosser, Michael, 2021, "COVID-19 and the commercial real estate market in Ireland," Financial Stability Notes, Central Bank of Ireland, number 4/FS/21, Jun.
• Abdoulaye Sy & Catherine Araujo-Bonjean & Marie-Eliette Dury & Nourddine Azzaoui & Arnaud Guillin, 2021, "An Extreme Value Mixture model to assess drought hazard in West Africa," Working Papers, HAL, number hal-03297023, Jul.
• Andrea Bergesio & Pablo Koch-Medina & Cosimo Munari, 2021, "Limited Liability and the Demand for Coinsurance by Individuals and Corporations," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-57, May.
• Ruf, Johannes & Wang, Weiguan, 2022, "Hedging with linear regressions and neural networks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 107811, Oct.
• Jan Matas & Jan Posp'iv{s}il, 2021, "On simulation of rough Volterra stochastic volatility models," Papers, arXiv.org, number 2108.01999, Jul, revised Aug 2022.
• Haering, Alexander, 2021, "Framing decisions in experiments on higher-order risk preferences," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 913, DOI: 10.4419/96973058.
• Benjamin Bureau & Anne Duquerroy & Julien Giorgi & Mathias Lé & Suzanne Scott & Frédéric Vinas, 2021, "Corporate activity in France amid the Covid-19 crisis. A granular data analysis," Working papers, Banque de France, number 823.
• Sydow, Matthias & Schilte, Aurore & Covi, Giovanni & Deipenbrock, Marija & Del Vecchio, Leonardo & Fiedor, Paweł & Fukker, Gábor & Gehrend, Max & Gourdel, Régis & Grassi, Alberto & Hilberg, Björn & Ka, 2021, "Shock amplification in an interconnected financial system of banks and investment funds," Working Paper Series, European Central Bank, number 2581, Aug.
• Foresti, Pasquale & Napolitano, Oreste, 2022, "Risk sharing in the EMU: a time-varying perspective," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 111483, Mar.
• Han Lin Shang & Fearghal Kearney, 2021, "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," Papers, arXiv.org, number 2107.14026, Jul.
• Tommaso Perez & Francesco Potente & Andrea Carboni & Alberto Di Iorio & Jacopo Raponi, 2021, "The impact of complex financial instruments on banks’ vulnerability: empirical evidence on SSM banks," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 633, Jul.
• Eghbal Rahimikia & Stefan Zohren & Ser-Huang Poon, 2021, "Realised Volatility Forecasting: Machine Learning via Financial Word Embedding," Papers, arXiv.org, number 2108.00480, Aug, revised Jan 2026.
• Nguyen, Hoang & Nguyen, Trong-Nghia & Tran, Minh-Ngoc, 2021, "A dynamic leverage stochastic volatility model," Working Papers, Örebro University, School of Business, number 2021:14, May.
• Sania Wadud & Robert D. Durand & Marc Gronwald, 2021, "Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras," CESifo Working Paper Series, CESifo, number 9202.
• Li, Erqian & Härdle, Wolfgang & Dai, Xiaowen & Tian, Maozai, 2021, "Penalized weigted competing risks models based on quantile regression," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-013.
• Christian Bayer & Simon Breneis, 2021, "Markovian approximations of stochastic Volterra equations with the fractional kernel," Papers, arXiv.org, number 2108.05048, Aug, revised Jul 2022.
• Zihao Wang & Kun Li & Steve Q. Xia & Hongfu Liu, 2021, "Economic Recession Prediction Using Deep Neural Network," Papers, arXiv.org, number 2107.10980, Jul.
• NAKASHIMA, KIYOTAKA & Ogawa, Toshiaki, 2021, "The Impacts of Strengthening Regulatory Surveillance on Bank Behavior: A Dynamic Analysis from Incomplete to Complete Enforcement of Capital Regulation in Microprudential Policy," MPRA Paper, University Library of Munich, Germany, number 109147, Aug.
• Benjamin Bureau & Anne Duquerroy & Julien Giorgi & Mathias Lé & Suzanne Scott & Frédéric Vinas, 2021, "What Individual Data Tells us about the Covid-19 Impact on Corporate Liquidity in 2020," Working papers, Banque de France, number 824.

Report NEP-RMG-2021-08-16

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: