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Report NEP-RMG-2021-10-04
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:
- Ogbonna, Ahamuefula & Olubusoye, Olusanya E, 2021, "Tail Risks and Stock Return Predictability: Evidence From Asia-Pacific," MPRA Paper, University Library of Munich, Germany, number 109922, Apr.
- Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2021, "Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility," Papers, arXiv.org, number 2109.12621, Sep.
- Nguyen, Phong Thanh & Phu Pham, Cuong & Thanh Phan, Phuong & Bich Vu, Ngoc & Tien Ha Duong, My & Le Hoang Thuy To Nguyen, Quyen, 2020, "Exploring Critical Risk Factors of Office Building Projects," MPRA Paper, University Library of Munich, Germany, number 109901, Aug, revised 30 Dec 2020.
- G. Mazzei & F. G. Bellora & J. A. Serur, 2021, "Delta Hedging with Transaction Costs: Dynamic Multiscale Strategy using Neural Nets," Papers, arXiv.org, number 2109.12337, Sep.
- Calleja, Romain & Katsigianni, Eleni & Laurent, François & Kaminska, Beata & Aparicio, Carlos & Dworak, Bartosz & Garcia, Luis & Durant, Dominique & Ristori, Lucia & Kirchner, Robert & Vitellas, Dimit, 2021, "The benefits of the Legal Entity Identifier for monitoring systemic risk JEL Classification: C81, E44, G28," ESRB Occasional Paper Series, European Systemic Risk Board, number 18, Sep.
- Bátiz-Zuk Enrique & Mohamed Abdulkadir & Sánchez-Cajal Fátima, 2021, "Exploring the sources of loan default clustering using survival analysis with frailty," Working Papers, Banco de México, number 2021-14, Sep.
- Alessandro Ferracci & Giulio Cimini, 2021, "Systemic risk in interbank networks: disentangling balance sheets and network effects," Papers, arXiv.org, number 2109.14360, Sep, revised Sep 2022.
- Knut Are Aastveit & Jamie L. Cross & Herman K. van Dijk, 2021, "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Working Paper, Norges Bank, number 2021/3, Jun.
- Rui Pedro Brito & Pedro Alarcão Judice, 2021, "Efficient credit portfolios under IFRS 9," CeBER Working Papers, Centre for Business and Economics Research (CeBER), University of Coimbra, number 2021-07, Jul.
- Emanuele Casamassima & Lech A. Grzelak & Frank A. Mulder & Cornelis W. Oosterlee, 2021, "Pricing and Hedging Prepayment Risk in a Mortgage Portfolio," Papers, arXiv.org, number 2109.14977, Sep, revised Oct 2021.
- Marco Fruzzetti & Giulio Gariano & Gerardo Palazzo & Antonio Scalia, 2021, "From SMP to PEPP: a further look at the risk endogeneity of the Central Bank," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems), Bank of Italy, Directorate General for Markets and Payment System, number 11, Oct.
- Romain Bocher, 2020, "Self-Organized Critical Markets: Implied Volatility and Avalanche Intensity," Post-Print, HAL, number hal-03352468.
- Abootaleb Shirvani & Stefan Mittnik & W. Brent Lindquist & Svetlozar T. Rachev, 2021, "Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes," Papers, arXiv.org, number 2109.15051, Sep, revised Aug 2023.
- Jaeyoung Cheong & Heejoon Lee & Minjung Kang, 2021, "Stock Index Prediction using Cointegration test and Quantile Loss," Papers, arXiv.org, number 2109.15045, Sep.
- Ali Al-Ameer & Khaled Alshehri, 2021, "Conditional Value-at-Risk for Quantitative Trading: A Direct Reinforcement Learning Approach," Papers, arXiv.org, number 2109.14438, Sep.