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Report NEP-RMG-2021-12-06
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:
- Mr. Jorge A Chan-Lau, 2021, "Scenario Analysis with the DD-PD Mapping Approach: Stock Market Shocks and U.S. Corporate Default Risk," IMF Working Papers, International Monetary Fund, number 2021/143, May.
- Bhumjai Tangsawasdirat & Suranan Tanpoonkiat & Burasakorn Tangsatchanan, 2021, "Credit Risk Database: Credit Scoring Models for Thai SMEs," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 168, Nov.
- Nuerxiati Abudurexiti & Kai He & Dongdong Hu & Svetlozar T. Rachev & Hasanjan Sayit & Ruoyu Sun, 2021, "Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models," Papers, arXiv.org, number 2111.04311, Nov, revised Feb 2023.
- Gabriele D'Acunto & Paolo Bajardi & Francesco Bonchi & Gianmarco De Francisci Morales, 2021, "The Evolving Causal Structure of Equity Risk Factors," Papers, arXiv.org, number 2111.05072, Nov.
- Valdivia Coria, Joab Dan & Valdivia Coria, Daney David, 2021, "Impacto del Stress Sistémico en el Crecimiento Económico: Caso Guatemala
[Systemic Stress Impact on Economic Growth: The case of Guatemala]," MPRA Paper, University Library of Munich, Germany, number 110669, Feb. - Susana Campos-Martins & Cristina Amado, 2021, "Modelling time-varying volatility interactions," Economics Series Working Papers, University of Oxford, Department of Economics, number 947 JEL classification: C, Sep.
- Sattarhoff, Cristina & Lux, Thomas, 2021, "Forecasting the Variability of Stock Index Returns with the Multifractal Random Walk Model for Realized Volatilities," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2021-02.
- Fabio Alessandrini & David Baptista Balula & Eric Jondeau, 2021, "ESG Screening in the Fixed-Income Universe," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-77, Nov.
- Viral V. Acharya & Yang Liu & Mr. Yunhui Zhao, 2021, "COVID-19 Containment Measures and Expected Stock Volatility: High-Frequency Evidence from Selected Advanced Economies," IMF Working Papers, International Monetary Fund, number 2021/157, Jun.
- Battulga Gankhuu, 2021, "Equity-Linked Life Insurances on Maximum of Several Assets," Papers, arXiv.org, number 2111.04038, Nov, revised Sep 2024.
- Donggyu Kim, 2021, "Exponential GARCH-Ito Volatility Models," Papers, arXiv.org, number 2111.04267, Nov.
- Hea-Jung Hyun & Jung Hur, 2021, "Global Financial Crisis, Export Credit Insurance, and Scope Adjustment of Multiproduct Exporting Firms," Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), number 2106.
- Giacomo De Giorgi & Matthew Harding & Gabriel Vasconcelos, 2021, "Predicting Mortality from Credit Reports," Papers, arXiv.org, number 2111.03662, Nov.