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Report NEP-RMG-2021-10-25
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:
- Tolulope Fadina & Yang Liu & Ruodu Wang, 2021, "A Framework for Measures of Risk under Uncertainty," Papers, arXiv.org, number 2110.10792, Oct, revised Sep 2023.
- Radoslav Raykov, 2021, "Systemic Risk and Portfolio Diversification: Evidence from the Futures Market," Staff Working Papers, Bank of Canada, number 21-50, Oct, DOI: 10.34989/swp-2021-50.
- Virla, Leonardo Quero, 2021, "An empirical characterization of volatility dynamics in the DAX," IPE Working Papers, Berlin School of Economics and Law, Institute for International Political Economy (IPE), number 167/2021.
- Meng, Shu & Goodwin, Barry K., 2021, "Implied Volatility-Based Hedging Decisions with Futures and Options Markets," 2021 Annual Meeting, August 1-3, Austin, Texas, Agricultural and Applied Economics Association, number 314070, Aug, DOI: 10.22004/ag.econ.314070.
- Banco de España Strategic Plan 2024: Risk identification for the financial and macroeconomic stability, 2021, "How do central banks identify risks? A survey of indicators," Occasional Papers, Banco de España, number 2125, Sep.
- Robert Jarrow & Philip Protter & Alejandra Quintos, 2021, "Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk," Papers, arXiv.org, number 2110.10936, Oct, revised Dec 2022.
- Alev{s} v{C}ern'y & Christoph Czichowsky & Jan Kallsen, 2021, "Numeraire-invariant quadratic hedging and mean--variance portfolio allocation," Papers, arXiv.org, number 2110.09416, Oct, revised Jul 2025.
- Hongyan Liang, 2021, "The impact of bank liquidity risk on risk-taking and bank lending: evidence from European bank," GATR Journals, Global Academy of Training and Research (GATR) Enterprise, number jfbr187, Sep, DOI: https://doi.org/10.35609/jfbr.2021..
- Härdle, Wolfgang & Klochkov, Yegor & Petukhina, Alla & Zhivotovskiy, Nikita, 2021, "Robustifying Markowitz," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-018.
- Crama, Yves & Hübner, Georges & Leruth, Luc & Renneboog, Luc, 2021, "Identifying Ultimate Beneficial Owners : A Risk-Based Approach to Improving the Transparency of International Financial Flows," Other publications TiSEM, Tilburg University, School of Economics and Management, number eb0e5f55-aca6-4db8-a871-f.
- Yuval Heller & Ilan Nehama, 2021, "Evolutionary Foundation for Heterogeneity in Risk Aversion," Papers, arXiv.org, number 2110.11245, Oct, revised Jan 2023.
- Crama, Yves & Hübner, Georges & Leruth, Luc & Renneboog, Luc, 2021, "Identifying Ultimate Beneficial Owners : A Risk-Based Approach to Improving the Transparency of International Financial Flows," Discussion Paper, Tilburg University, Center for Economic Research, number 2021-027.
- Ayelen Banegas & Phillip J. Monin & Lubomir Petrasek, 2021, "Sizing hedge funds' Treasury market activities and holdings," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2021-10-06-3, Oct, DOI: 10.17016/2380-7172.2979.
- Jingtang Ma & Wensheng Yang & Zhenyu Cui, 2021, "Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models," Papers, arXiv.org, number 2110.08320, Oct, revised Oct 2021.
- Curtis Nybo, 2021, "Sector Volatility Prediction Performance Using GARCH Models and Artificial Neural Networks," Papers, arXiv.org, number 2110.09489, Oct.
- Susana Campos-Martins & Cristina Amado, 2021, "Modelling Time-Varying Volatility Interactions," NIPE Working Papers, NIPE - Universidade do Minho, number 12/2021.
- Viola Angelini & Irene Ferrari, 2021, "The long-term effects of experienced macroeconomic shocks on wealth," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2021:23.
- Ryo Aoki & Kunimasa Antoku & Shunsuke Fukushima & Tomoyuki Yagi & Shinichiro Watanabe, 2021, "Foreign Currency Funding of Major Japanese Banks - Review of the March 2020 market turmoil -," Bank of Japan Review Series, Bank of Japan, number 21-E-4, Oct.
- Yang, Yao & Karali, Berna, 2021, "Asymmetric Price Transmission in the Soybean Complex: A Multivariate Quantile Approach," 2021 Annual Meeting, August 1-3, Austin, Texas, Agricultural and Applied Economics Association, number 313923, Aug, DOI: 10.22004/ag.econ.313923.
- Bazzana, Davide & Colturato, Michele & Savona, Roberto, , "Learning about Unprecedented Events: Agent-Based Modelling and the Stock Market Impact of COVID-19," FEEM Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 314928, DOI: 10.22004/ag.econ.314928.
- Lorenzo Bretscher & Aytek Malkhozov & Andrea Tamoni, 2021, "Expectations and Aggregate Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-68, Oct.
- Comincioli, Nicola & Panteghini, Paolo M. & Vergalli, Sergio, , "The start-up decision under default risk," FEEM Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 314929, DOI: 10.22004/ag.econ.314929.
- Chen, Zhenshan & Towe, Charles A., 2021, "Sorting over the Dual Risk of Coastal Housing Market," 2021 Annual Meeting, August 1-3, Austin, Texas, Agricultural and Applied Economics Association, number 314031, Aug, DOI: 10.22004/ag.econ.314031.
- Katharina Bergant & Kristin Forbes, 2021, "Macroprudential Policy during COVID-19: The Role of Policy Space," NBER Working Papers, National Bureau of Economic Research, Inc, number 29346, Oct.
- Anese, Gianluca & Corazza, Marco & Costola, Michele & Pelizzon, Loriana, 2021, "Impact of public news sentiment on stock market index return and volatility," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 322.