Printed from https://ideas.repec.org/n/nep-rmg/2021-08-30.html
Report NEP-RMG-2021-08-30
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:
- Dario Caldara & Chiara Scotti & Molin Zhong, 2021, "Macroeconomic and Financial Risks: A Tale of Mean and Volatility," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1326, Aug, DOI: 10.17016/IFDP.2021.1326.
- Farmer, J. Doyne & Kleinnijenhuis, Alissa & Nahai-Williamson, Paul & Wetzer, Thom, 2020, "Foundations of system-wide financial stress testing with heterogeneous institutions," INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford, number 2020-14, May.
- Ragnar Levy Gudmundarson & Manuel Guerra & Alexandra Bugalho de Moura, 2021, "Minimizing ruin probability under dependencies for insurance pricing," Papers, arXiv.org, number 2108.10075, Aug.
- Bryan, Calvin & Manning, Dale & Goemans, Christopher & Sloggy, Matthew R., 2021, "What’s past is prologue? The effect of prior losses on agricultural risk management," 2021 Annual Meeting, August 1-3, Austin, Texas, Agricultural and Applied Economics Association, number 312784, Aug, DOI: 10.22004/ag.econ.312784.
- Sébastien Betermier & Nicholas Byrne & Jean-Sébastien Fontaine & Hayden Ford & Jason Ho & Chelsea Mitchell, 2021, "Reaching for yield or resiliency? Explaining the shift in Canadian pension plan portfolios," Staff Analytical Notes, Bank of Canada, number 2021-20, Aug, DOI: 10.34989/san-2021-20.
- Matteo Michielon & Asma Khedher & Peter Spreij, 2021, "From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations," Papers, arXiv.org, number 2108.06578, Aug.
- International Monetary Fund, 2021, "How to Assess Country Risk: The Vulnerability Exercise Approach Using Machine Learning," IMF Technical Notes and Manuals, International Monetary Fund, number 2021/003, May.
- Sebastian Jaimungal & Silvana Pesenti & Ye Sheng Wang & Hariom Tatsat, 2021, "Robust Risk-Aware Reinforcement Learning," Papers, arXiv.org, number 2108.10403, Aug, revised Dec 2021.
- Sung Je Byun & Aaron L. Game & Alexander Jiron & Pavel Kapinos & Kelly Klemme & Bert Loudis, 2021, "The Pandemic's Impact on Credit Risk: Averted or Delayed?," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2021-07-30-3, Jul, DOI: 10.17016/2380-7172.2957.
- Giancarlo Corsetti & Anna Lipinska & Giovanni Lombardo, 2021, "Sharing Asymmetric Tail Risk: Smoothing, Asset Prices and Terms of Trade," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1324, Aug, DOI: 10.17016/IFDP.2021.1324.
- Dal Borgo, Mariela, 2021, "Do bankruptcy protection levels affect households' demand for stocks?," CAGE Online Working Paper Series, Competitive Advantage in the Global Economy (CAGE), number 564.
- Lori Chappell, 2021, "Use of the bayesmh command in Stata to calculate excess relative and excess absolute risk for radiation health risk estimates," 2021 Stata Conference, Stata Users Group, number 29, Aug.
- Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021, "The RQE-CAPM : New insights about the pricing of idiosyncratic risk," CIRANO Working Papers, CIRANO, number 2021s-28, Aug.
- Narayana R. Kocherlakota, 2021, "Public Debt Bubbles in Heterogeneous Agent Models with Tail Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 29138, Aug.
- Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2021, "The Risk Premia of Energy Futures," Post-Print, HAL, number hal-03312959, Oct, DOI: 10.1016/j.eneco.2021.105460.
- Ben Jann, 2021, "dstat: A new command for the analysis of distributions," 2021 Stata Conference, Stata Users Group, number 1, Aug.
- Yixiao Lu & Yihong Wang & Tinggan Yang, 2021, "Adaptive Gradient Descent Methods for Computing Implied Volatility," Papers, arXiv.org, number 2108.07035, Aug, revised Mar 2023.