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Report NEP-RMG-2021-10-11
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:
- Shijia Song & Handong Li, 2021, "A Method for Predicting VaR by Aggregating Generalized Distributions Driven by the Dynamic Conditional Score," Papers, arXiv.org, number 2110.02953, Oct.
- Grochola, Nicolaus & Browne, Mark Joseph & Gründl, Helmut & Schlütter, Sebastian, 2021, "Exploring the market risk profiles of U.S. and European life insurers," ICIR Working Paper Series, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR), number 39/21.
- Shijia Song & Handong Li, 2021, "Value-at-Risk forecasting model based on normal inverse Gaussian distribution driven by dynamic conditional score," Papers, arXiv.org, number 2110.02492, Oct.
- Thierry Roncalli, 2021, "Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk," Papers, arXiv.org, number 2110.01302, Oct.
- Brice Corgnet & Camille Cornand & Nobuyuki Hanaki, 2021, "Emotional Markets: Competitive Arousal, Overbidding and Bubbles," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon, number 2117.
- K. S. Naik, 2021, "Predicting Credit Risk for Unsecured Lending: A Machine Learning Approach," Papers, arXiv.org, number 2110.02206, Oct.
- Andreas Binder & Onkar Jadhav & Volker Mehrmann, 2021, "Error Analysis of a Model Order Reduction Framework for Financial Risk Analysis," Papers, arXiv.org, number 2110.00774, Oct.
- Simon Rudkin & Wanling Qiu & Pawel Dlotko, 2021, "Uncertainty, volatility and the persistence norms of financial time series," Papers, arXiv.org, number 2110.00098, Sep.
- Felix Polyakov, 2021, "Representation of probability distributions with implied volatility and biological rationale," Papers, arXiv.org, number 2110.03517, Sep.
- Yuta Kurose, 2021, "Stochastic volatility model with range-based correction and leverage," Papers, arXiv.org, number 2110.00039, Sep, revised Oct 2021.
- Jianying Xie, 2021, "A New Multivariate Predictive Model for Stock Returns," Papers, arXiv.org, number 2110.01873, Oct.
- Manuel Arellano & Stéphane Bonhomme & Micole De Vera & Laura Hospido & Siqi Wei, 2021, "Income Risk Inequality: Evidence from Spanish Administrative Records," Working Papers, CEMFI, number wp2021_2109, Sep.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021, "Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model," Papers, arXiv.org, number 2110.03411, Oct.
- Farnè, Matteo & Vouldis, Angelos, 2021, "Banks' risk-taking within a banking union," Working Paper Series, European Central Bank, number 2595, Oct.
- Athanasia Dimitriadou & Anna Agrapetidou & Periklis Gogas & Theophilos Papadimitriou, 2021, "Credit Rating Agencies: Evolution or Extinction?," DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics, number 9-2021, Oct.