Report NEP-RMG-2021-09-13

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:

• Qiuqi Wang & Ruodu Wang & Ricardas Zitikis, 2021, "Risk measures induced by efficient insurance contracts," Papers, arXiv.org, number 2109.00314, Sep, revised Sep 2021.
• Saeed Marzban & Erick Delage & Jonathan Yumeng Li, 2021, "Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures," Papers, arXiv.org, number 2109.04001, Sep.
• Alexander Groh & Cay Oertel, 2021, "Dynamic Extreme Value Regression of US REIT Returns conditional on Covariates," ERES, European Real Estate Society (ERES), number eres2021_37, Jan.
• Luitel, Kishor P. & Adhikari, Shyam, 2021, "Analyzing Farmer Risk Management Decision using Cause of Crop Loss Data," 2021 Annual Meeting, August 1-3, Austin, Texas, Agricultural and Applied Economics Association, number 312926, Aug, DOI: 10.22004/ag.econ.312926.
• Alejandro Drexler & Thomas B. King, 2021, "Capital Constraints and Risk Shifting: An Instrumental Approach," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2021-13, Sep, DOI: 10.21033/wp-2021-13.
• Carsten Lausberg & Tobias Schultheiß, 2021, "The gif Catalog of Real Estate Risk Measures: A Step towards Benchmarking Real Estate Risk," ERES, European Real Estate Society (ERES), number eres2021_113, Jan.
• Erasmo Giambona & Anil Kumar & Gordon M. Phillips, 2021, "Hedging and Competition," NBER Working Papers, National Bureau of Economic Research, Inc, number 29207, Sep.
• Söhnke M. Bartram & Jürgen Branke & Mehrshad Motahari, 2020, "Artificial intelligence in asset management," Working Papers, Cambridge Judge Business School, University of Cambridge, number 20202001, Mar.
• Stephen Lee, 2021, "Idiosyncratic Risk and Private Real Estate Returns," ERES, European Real Estate Society (ERES), number eres2021_219, Jan.
• Jiamin Yu, 2021, "Three fundamental problems in risk modeling on big data: an information theory view," Papers, arXiv.org, number 2109.03541, Sep.
• Felix Brandt & Carsten Lausberg, 2021, "Risk and Return of German Real Estate Stocks: A Simulation Approach with Geometric Brownian Motion," ERES, European Real Estate Society (ERES), number eres2021_86, Jan.
• Julius O. Campeci~no, 2021, "Portfolio Theory and Security Investment Risk Analysis Using Coefficient of Variation: An Alternative to Mean-Variance Analysis," Papers, arXiv.org, number 2109.03977, Sep, revised Jun 2022.
• Louis Johner & Martin Hoesli, 2021, "Real Estate Portfolio Diversification across U.S. Gateway and Non-Gateway Markets," ERES, European Real Estate Society (ERES), number eres2021_214, Jan.
• Natalia A. Van Heerden & Juan B. Cabral & Nadia Luczywo, 2021, "Evaluation of the importance of criteria for the selection of cryptocurrencies," Papers, arXiv.org, number 2109.00130, Aug.
• Cho, Thummim, 2020, "Turning alphas into betas: arbitrage and endogenous risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 102085, Aug.
• Bastien Lextrait, 2021, "Scaling up SME's credit scoring scope with LightGBM," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2021-25.
• Salisu, Afees & Ogbonna, Ahamuefula & Oloko, Tirimisiyu, 2020, "Pandemics and cryptocurrencies," MPRA Paper, University Library of Munich, Germany, number 109597, Jul.
• Juselius, Mikael & Tarashev, Nikola A., 2021, "Could corporate credit losses turn out higher than expected?," BoF Economics Review, Bank of Finland, number 3/2021.
• Marcos Escobar-Anel & Maximilian Gollart & Rudi Zagst, 2021, "Closed-form portfolio optimization under GARCH models," Papers, arXiv.org, number 2109.00433, Sep.
• Maureen Cowhey & Jane E. Ihrig & Cindy M. Vojtech & Gretchen C. Weinbach, 2021, "How Dynamic is Bank Liquidity, Including when the COVID-19 Pandemic First Set In?," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2021-08-30-1, Aug, DOI: 10.17016/2380-7172.2969.
• Riëtte Carstens & Julia Freybote, 2021, "The Predictive Value of Tone for REIT Riskiness," ERES, European Real Estate Society (ERES), number eres2021_85, Jan.
• Mark Whitmeyer, 2021, "Submission Fees in Risk-Taking Contests," Papers, arXiv.org, number 2108.13506, Aug.
• Shotaro Watanabe & Gianluca Marcato & Bing Zhu, 2021, "The Third Trigger of Strategic Default: Households’ Portfolio Composition," ERES, European Real Estate Society (ERES), number eres2021_203, Jan.
• Benjamin Avanzi & Gregory Clive Taylor & Melantha Wang, 2021, "SPLICE: A Synthetic Paid Loss and Incurred Cost Experience Simulator," Papers, arXiv.org, number 2109.04058, Sep, revised Mar 2022.
• Eric Djeutcha & Jules Sadefo-Kamdem, 2021, "Bull Spread Option pricing using a mixed modified fractional process with stochastic volatility and interest rates," Post-Print, HAL, number hal-03327512, Jul, DOI: 10.13140/RG.2.2.11881.21608.

Report NEP-RMG-2021-09-13

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: