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Report NEP-RMG-2021-12-13
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:
- Heng Z. Chen & Stephen R. Cosslett, 2021, "Semi-nonparametric Estimation of Operational Risk Capital with Extreme Loss Events," Papers, arXiv.org, number 2111.11459, Nov, revised Jul 2022.
- Francesco Cesarone & Manuel L Martino & Fabio Tardella, 2021, "Mean-Variance-VaR portfolios: MIQP formulation and performance analysis," Papers, arXiv.org, number 2111.09773, Nov.
- Mr. Ashraf Khan & Majid Malaika, 2021, "Central Bank Risk Management, Fintech, and Cybersecurity," IMF Working Papers, International Monetary Fund, number 2021/105, Apr.
- Jiarui Chu & Ludovic Tangpi, 2021, "Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics," Papers, arXiv.org, number 2111.12248, Nov, revised Feb 2023.
- Matic, Jovanka Lili & Packham, Natalie & Härdle, Wolfgang Karl, 2021, "Hedging Cryptocurrency Options," MPRA Paper, University Library of Munich, Germany, number 110774, Nov.
- Vishwajit Hegde & Arvind S. Menon & L. A. Prashanth & Krishna Jagannathan, 2021, "Online Estimation and Optimization of Utility-Based Shortfall Risk," Papers, arXiv.org, number 2111.08805, Nov, revised Nov 2023.
- Taras Bodnar & Nestor Parolya & Erik Thors'en, 2021, "Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?," Papers, arXiv.org, number 2111.12532, Nov.
- Adema, Joop & Nikolka, Till & Poutvaara, Panu & Sunde, Uwe, 2021, "On the Stability of Risk Preferences: Measurement Matters," IZA Discussion Papers, Institute of Labor Economics (IZA), number 14755, Sep.
- Nicolas Soenen & Rudi Vander Vennet, 2021, "Determinants of European Banks Default Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1033, Nov.
- Lavorato, Mateus & Braga, Marcelo José, 2021, "On the Risk Efficiency of a Weather Index Insurance Product for the Brazilian Semi-Arid Region," 2021 Conference, August 17-31, 2021, Virtual, International Association of Agricultural Economists, number 315193, Aug, DOI: 10.22004/ag.econ.315193.
- Nikitas Stamatopoulos & Guglielmo Mazzola & Stefan Woerner & William J. Zeng, 2021, "Towards Quantum Advantage in Financial Market Risk using Quantum Gradient Algorithms," Papers, arXiv.org, number 2111.12509, Nov, revised Jul 2022.
- Chao Zhang & Zihao Zhang & Mihai Cucuringu & Stefan Zohren, 2021, "A Universal End-to-End Approach to Portfolio Optimization via Deep Learning," Papers, arXiv.org, number 2111.09170, Nov.
- David Chen & Christian Friedrich, 2021, "The Countercyclical Capital Buffer and International Bank Lending: Evidence from Canada," Staff Working Papers, Bank of Canada, number 21-61, Nov, DOI: 10.34989/swp-2021-61.
- Minseog Oh & Donggyu Kim, 2021, "Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective," Papers, arXiv.org, number 2111.09655, Nov.
- Jan J. J. Groen & Adam I. Noble, 2021, "Is Higher Financial Stress Lurking around the Corner for China?," Liberty Street Economics, Federal Reserve Bank of New York, number 20211123, Nov.
- Xin Sheng & Won Joong Kim & Rangan Gupta & Qiang Ji, 2021, "The Impacts of Oil Price Volatility on Financial Stress: Is the COVID-19 Period Different?," Working Papers, University of Pretoria, Department of Economics, number 202184, Dec.
- Philip Protter & Alejandra Quintos, 2021, "Stopping Times Occurring Simultaneously," Papers, arXiv.org, number 2111.09458, Nov, revised Nov 2024.
- Laura Auria & Markus Bingmer & Carlos Mateo Caicedo Graciano & Clémence Charavel & Sergio Gavilá & Alessandra Iannamorelli & Aviram Levy & Alfredo Maldonado & Florian Resch & Anna Maria Rossi & Step, 2021, "Overview of central banks’ in-house credit assessment systems in the euro area," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems), Bank of Italy, Directorate General for Markets and Payment System, number 13, Nov.
- amri amamou, souhir, 2021, "Cryptocurrencies responses to the Covid-19 waves," MPRA Paper, University Library of Munich, Germany, number 110843, Nov.
- Diana Radu, 2021, "Disaster Risk Financing: Main Concepts and Evidence from EU Member States," European Economy - Discussion Papers, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 150, Oct.
- Lee, Y. & R., Shi & Blanc-Bates, E. & Jiang, C. & Guan, K. & Hudiburg, T & Guest, J & Khanna, M, 2021, "Risk, Uncertainty, and Biofuels’ Supply Chains," 2021 Conference, August 17-31, 2021, Virtual, International Association of Agricultural Economists, number 315310, Aug, DOI: 10.22004/ag.econ.315310.
- Jonathan Raimana Chan & Thomas Huckle & Antoine Jacquier & Aitor Muguruza, 2021, "Portfolio optimisation with options," Papers, arXiv.org, number 2111.12658, Nov, revised Sep 2024.
- Mitchell, Olivia S. & Utkus, Stephen P., 2021, "Target date funds and portfolio choice in 401(k) plans," CFS Working Paper Series, Center for Financial Studies (CFS), number 662.