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Report NEP-RMG-2022-02-14
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:
- Liu, Francis & Packham, Natalie & Lu, Meng-Jou & Härdle, Wolfgang, 2021, "Hedging cryptos with Bitcoin futures," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2022-001.
- Martin Indergand & Eric Jondeau & Andreas Fuster, 2022, "Measuring and stress-testing market-implied bank capital," Working Papers, Swiss National Bank, number 2022-02.
- Manuela Pedio, 2021, "Option-Implied Network Measures of Tail Contagion and Stock Return Predictability," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 21154.
- Johannes König & Maximilian Longmuir, 2021, "Wage Risk and Portfolio Choice: The Role of Correlated Returns," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1974.
- Georges Prat & Remzi Uctum, 2021, "Modeling ex-ante risk premia in the oil market," Working Papers, HAL, number hal-03508699.
- Prehn, Sören, , "Minimum Variance Hedging: Levels versus first Difference," 60th Annual Conference, Halle/ Saale, Germany, September 23-25, 2020, German Association of Agricultural Economists (GEWISOLA), number 305608, DOI: 10.22004/ag.econ.305608.
- Martin Hodula & Jan Janku & Lukas Pfeifer, 2021, "Interaction of Cyclical and Structural Systemic Risks: Insights from Around and After the Global Financial Crisis," Research and Policy Notes, Czech National Bank, Research and Statistics Department, number 2021/03, Dec.
- SA Quimbo & CT Latinazo & JW Peabody, 2020, "Vulnerable to the Virus: Globally-Oriented Manufacturing Firms at Risk From the Spread of COVID-19," UP School of Economics Discussion Papers, University of the Philippines School of Economics, number 202007, Apr.
- Robert Czech & Shiyang Huang & Dong Lou & Tianyu Wang, 2021, "An unintended consequence of holding dollar assets," Bank of England working papers, Bank of England, number 953, Dec.
- Stéphane Lhuissier, 2022, "Financial Conditions and Macroeconomic Downside Risks in the Euro Area," Working papers, Banque de France, number 863.
- Iuri H. Ferreira & Marcelo C. Medeiros, 2021, "Modeling and Forecasting Intraday Market Returns: a Machine Learning Approach," Papers, arXiv.org, number 2112.15108, Dec.
- Jean-Guillaume Sahuc & Olivier de Bandt & Hibiki Ichiue & Bora Durdu & Yasin Mimir & Jolan Mohimont & Kalin Nikolov & Sigrid Roehrs & Valério Scalone & Michael Straughan, 2022, "Assessing the Impact of Basel III: Evidence from Structural Macroeconomic Models," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2022-3.
- Olivier de Bandt & Bora Durdu & Hibiki Ichiue & Yasin Mimir & Jolan Mohimont & Kalin Nikolov & Sigrid Roehrs & Jean-Guillaume Sahuc & Valerio Scalone & Michael Straughan, 2022, "Assessing the Impact of Basel III: Evidence from Structural Macroeconomic Models," Working papers, Banque de France, number 864.
- Eddie Gerba & Petros Katsoulis, 2021, "The repo market under Basel III," Bank of England working papers, Bank of England, number 954, Dec.
- Mei-Ling Cai & Zhang-HangJian Chen & Sai-Ping Li & Xiong Xiong & Wei Zhang & Ming-Yuan Yang & Fei Ren, 2022, "New volatility evolution model after extreme events," Papers, arXiv.org, number 2201.03213, Jan.
- Massimo Guidolin & Davide La Cara & Massimiliano Marcellino, 2021, "Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 21169.
- A. H. Nzokem, 2022, "Pricing European Options under Stochastic Volatility Models: Case of five-Parameter Variance-Gamma Process," Papers, arXiv.org, number 2201.03378, Jan, revised Jan 2023.
- Nurdaulet Abilov, 2021, "Risk indeed matters: Uncertainty shocks in an oil-exporting economy," NAC Analytica Working Paper, NAC Analytica, Nazarbayev University, number 16, Dec, revised Feb 2022.
- Gérard Mondello, 2021, "Splitting Nuclear Parks Or Not? The Third Party Liability Role," Working Papers, HAL, number halshs-03502601, Dec.
- John Caramichael & Gordon Y. Liao, 2022, "Stablecoins: Growth Potential and Impact on Banking," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1334, Jan, DOI: 10.17016/IFDP.2022.1334.
- Stephen Sullivan & Diana Garza, 2021, "Supply Chain Risks, Cybersecurity and C-TPAT, a Literature Review," RAIS Conference Proceedings 2021, Research Association for Interdisciplinary Studies, number 0082, Aug.
- Aaron Amburgey & Michael W. McCracken, 2022, "On the Real-Time Predictive Content of Financial Conditions Indices for Growth," Working Papers, Federal Reserve Bank of St. Louis, number 2022-003, Jan, revised 03 Jun 2022, DOI: 10.20955/wp.2022.003.
- Morita, Hiroshi & Ono, Taiki, 2022, "COVID-19 Uncertainty Index in Japan: Newspaper-Based Measures and Economic Activities," Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University, number HIAS-E-116, Jan.