Report NEP-RMG-2021-12-20

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Daniele Bianchi & Mykola Babiak, 2021, "A Factor Model for Cryptocurrency Returns," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp710, Nov.
• Skouralis, Alexandros, 2021, "The role of systemic risk spillovers in the transmission of Euro Area monetary policy," ESRB Working Paper Series, European Systemic Risk Board, number 129, Dec.
• Yajie Yang & Longfeng Zhao & Lin Chen & Chao Wang & Jihui Han, 2021, "Portfolio optimization with idiosyncratic and systemic risks for financial networks," Papers, arXiv.org, number 2111.11286, Nov.
• Kamesh Korangi & Christophe Mues & Cristi'an Bravo, 2021, "A transformer-based model for default prediction in mid-cap corporate markets," Papers, arXiv.org, number 2111.09902, Nov, revised Apr 2023.
• Bin Xie & Weiping Li, 2021, "The Parameter Sensitivities of a Jump-diffusion Process in Basic Credit Risk Analysis," Papers, arXiv.org, number 2111.13334, Nov.
• Yuechen Dai & Tonghui Xu, 2021, "A Lifecycle Approach to Insurance Solvency," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 21/13, Nov.
• Julian Jetses & Marcus C. Christiansen, 2021, "A General Surplus Decomposition Principle in Life Insurance," Papers, arXiv.org, number 2111.12967, Nov.
• David Murphy & Nicholas Vause, 2021, "A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models," Bank of England working papers, Bank of England, number 950, Nov.
• Sebastiano Michele Zema & Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2021, "Mesoscopic Structure of the Stock Market and Portfolio Optimization," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2021/45, Dec.
• Maria Arduca & Cosimo Munari, 2021, "Risk measures beyond frictionless markets," Papers, arXiv.org, number 2111.08294, Nov.
• Matthieu Stigler & David Lobell, 2021, "Optimal index insurance and basis risk decomposition: an application to Kenya," Papers, arXiv.org, number 2111.08601, Nov, revised Mar 2023.
• Claire Mouminoux & Christophe Dutang & Stéphane Loisel & Hansjoerg Albrecher, 2021, "On a Markovian game model for competitive insurance pricing," Post-Print, HAL, number hal-03448339, Oct, DOI: 10.1007/s11009-021-09906-1.
• Gabriele Lattanzio & Jerome Taillard, 2021, "M&A and Cybersecurity Risk: Empirical Evidence," Working Papers, Nazarbayev University, Graduate School of Business, number 2021/02, Oct.
• E Philip Davis & Ka Kei Chan & Dilruba Karim, 2021, "Macroprudential Policy, Bank Competition and Bank Risk in East Asia," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 533, Dec.
• Heinzel, Christoph & Peter, Richard, 2021, "Precautionary motives with multiple instruments," Working Papers, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2), number 316521, Dec, DOI: 10.22004/ag.econ.316521.
• Ding, Yulian & Yu, Jianyu & Sun, Yangyang & Nayga, Rodolfo M. Jr. & Liu, Yunyun, 2021, "Gene-Edited or Genetically Modified Food? The Impacts of Risk and Ambiguity on Chinese Consumers’ Willingness to Pay," 2021 Conference, August 17-31, 2021, Virtual, International Association of Agricultural Economists, number 315239, Aug, DOI: 10.22004/ag.econ.315239.
• Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021, "Sovereign Risk and Financial Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 29501, Nov.
• Douadia Bougherara & Lana Friesen & Céline Nauges, 2021, "Risk Taking and Skewness Seeking Behavior in a Demographically Diverse Population," Discussion Papers Series, School of Economics, University of Queensland, Australia, number 650, Nov.
• Gottlieb, Daniel & Smetters, Kent, 2021, "Lapse-based insurance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 110241, Aug.
• Nick James & Kevin Chin, 2021, "On the systemic nature of global inflation, its association with equity markets and financial portfolio implications," Papers, arXiv.org, number 2111.11022, Nov, revised Jan 2022.
• Misha Perepelitsa, 2021, "Investing in crypto: speculative bubbles and cyclic stochastic price pumps," Papers, arXiv.org, number 2111.11315, Nov, revised Oct 2022.
• Bin Xie & Weiping Li & Nan Liang, 2021, "Pricing S&P 500 Index Options with L\'evy Jumps," Papers, arXiv.org, number 2111.10033, Nov, revised Nov 2021.
• Tarek Alexander Hassan & Jesse Schreger & Markus Schwedeler & Ahmed Tahoun, 2021, "Sources and Transmission of Country Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 29526, Nov.
• Mr. Jorge A Chan-Lau, 2020, "UnFEAR: Unsupervised Feature Extraction Clustering with an Application to Crisis Regimes Classification," IMF Working Papers, International Monetary Fund, number 2020/262, Nov.