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. Stan 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:

• Qiuqi Wang & Ruodu Wang & Ricardas Zitikis, 2021. "Risk measures induced by efficient insurance contracts," Papers 2109.00314, arXiv.org, 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 2109.04001, arXiv.org.
• Alexander Groh & Cay Oertel, 2021. "Dynamic Extreme Value Regression of US REIT Returns conditional on Covariates," ERES eres2021_37, European Real Estate Society (ERES).
• 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 312926, Agricultural and Applied Economics Association.
• Alejandro Drexler & Thomas B. King, 2021. "Capital Constraints and Risk Shifting: An Instrumental Approach," Working Paper Series WP-2021-13, Federal Reserve Bank of Chicago.
• Carsten Lausberg & Tobias Schultheiß, 2021. "The gif Catalog of Real Estate Risk Measures: A Step towards Benchmarking Real Estate Risk," ERES eres2021_113, European Real Estate Society (ERES).
• Erasmo Giambona & Anil Kumar & Gordon M. Phillips, 2021. "Hedging and Competition," NBER Working Papers 29207, National Bureau of Economic Research, Inc.
• Söhnke M. Bartram & Jürgen Branke & Mehrshad Motahari, 2020. "Artificial intelligence in asset management," Working Papers 20202001, Cambridge Judge Business School, University of Cambridge.
• Stephen Lee, 2021. "Idiosyncratic Risk and Private Real Estate Returns," ERES eres2021_219, European Real Estate Society (ERES).
• Jiamin Yu, 2021. "Three fundamental problems in risk modeling on big data: an information theory view," Papers 2109.03541, arXiv.org.
• Felix Brandt & Carsten Lausberg, 2021. "Risk and Return of German Real Estate Stocks: A Simulation Approach with Geometric Brownian Motion," ERES eres2021_86, European Real Estate Society (ERES).
• Julius O. Campeci~no, 2021. "Portfolio Theory and Security Investment Risk Analysis Using Coefficient of Variation: An Alternative to Mean-Variance Analysis," Papers 2109.03977, arXiv.org, revised Jun 2022.
• Louis Johner & Martin Hoesli, 2021. "Real Estate Portfolio Diversification across U.S. Gateway and Non-Gateway Markets," ERES eres2021_214, European Real Estate Society (ERES).
• Natalia A. Van Heerden & Juan B. Cabral & Nadia Luczywo, 2021. "Evaluation of the importance of criteria for the selection of cryptocurrencies," Papers 2109.00130, arXiv.org.
• Cho, Thummim, 2020. "Turning alphas into betas: arbitrage and endogenous risk," LSE Research Online Documents on Economics 102085, London School of Economics and Political Science, LSE Library.
• Bastien Lextrait, 2021. "Scaling up SME's credit scoring scope with LightGBM," EconomiX Working Papers 2021-25, University of Paris Nanterre, EconomiX.
• Salisu, Afees & Ogbonna, Ahamuefula & Oloko, Tirimisiyu, 2020. "Pandemics and cryptocurrencies," MPRA Paper 109597, University Library of Munich, Germany.
• Juselius, Mikael & Tarashev, Nikola A., 2021. "Could corporate credit losses turn out higher than expected?," BoF Economics Review 3/2021, Bank of Finland.
• Marcos Escobar-Anel & Maximilian Gollart & Rudi Zagst, 2021. "Closed-form portfolio optimization under GARCH models," Papers 2109.00433, arXiv.org.
• 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 2021-08-30-1, Board of Governors of the Federal Reserve System (U.S.).
• Riëtte Carstens & Julia Freybote, 2021. "The Predictive Value of Tone for REIT Riskiness," ERES eres2021_85, European Real Estate Society (ERES).
• Mark Whitmeyer, 2021. "Submission Fees in Risk-Taking Contests," Papers 2108.13506, arXiv.org.
• Shotaro Watanabe & Gianluca Marcato & Bing Zhu, 2021. "The Third Trigger of Strategic Default: Households’ Portfolio Composition," ERES eres2021_203, European Real Estate Society (ERES).
• Benjamin Avanzi & Gregory Clive Taylor & Melantha Wang, 2021. "SPLICE: A Synthetic Paid Loss and Incurred Cost Experience Simulator," Papers 2109.04058, arXiv.org, 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-03327512, HAL.