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Report NEP-RMG-2021-09-27
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:
- Afees A. Salisu & Riza Demirer & Rangan Gupta, 2021, "Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility," Working Papers, University of Pretoria, Department of Economics, number 202162, Sep.
- Simon Fritzsch & Maike Timphus & Gregor Weiss, 2021, "Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?," Papers, arXiv.org, number 2109.10946, Sep.
- Simon Lloyd & Ed Manuel & Konstantin Panchev, 2021, "Foreign vulnerabilities, domestic risks: the global drivers of GDP-at-Risk," Bank of England working papers, Bank of England, number 940, Sep.
- Cyril Couaillier & Valerio Scalone, 2021, "Risk-to-Buffer: Setting Cyclical and Structural Capital Buffers through Banks Stress Tests," Working papers, Banque de France, number 830.
- Tomasz Olma, 2021, "Nonparametric Estimation of Truncated Conditional Expectation Functions," Papers, arXiv.org, number 2109.06150, Sep.
- Lina M Cortés & Juan F. Rend�n & Javier Perote, 2021, "Determining the banking solvency risk in times of COVID-19 through Gram-Charlier expansions," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 19593, Sep.
- Mahmoud Fatouh & Ioana Neamțu & Sweder van Wijnbergen, 2021, "Risk-taking and uncertainty: do contingent convertible (CoCo) bonds increase the risk appetite of banks?," Bank of England working papers, Bank of England, number 938, Aug.
- Solveig Flaig & Gero Junike, 2021, "Scenario generation for market risk models using generative neural networks," Papers, arXiv.org, number 2109.10072, Sep, revised Aug 2023.
- Fricke, Daniel, 2021, "Synthetic Leverage and Fund Risk-Taking," ESRB Working Paper Series, European Systemic Risk Board, number 126, Sep.
- Tommaso Oliviero & Min Park & Hong Zou, 2021, "Liquidity Effects of Litigation Risk: Evidence from a Legal Shock," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 623, Sep, revised 21 Jan 2023.
- Anthony E. Brockwell, 2021, "Fractional Growth Portfolio Investment," Papers, arXiv.org, number 2109.10814, Sep.
- Raphael Auer & Alexandra Matyunina & Steven Ongena, 2021, "The countercyclical capital buffer and the composition of bank lending," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-66, Sep.
- Fabien Perez & Guillaume Hollard & Radu Vranceanu, 2021, "How Serious is the Measurement-Error Problem in Risk-Aversion Tasks?," Working Papers, Center for Research in Economics and Statistics, number 2021-13, Jul.
- Carol Alexander & Xi Chen & Charles Ward, 2021, "Risk-Adjusted Valuation for Real Option Decisions," Papers, arXiv.org, number 2109.04793, Sep.