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Report NEP-RMG-2022-02-28
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:
- Mustafa Hakan Eratalay & Ariana Paola Cortés à ngel, 2022, "The Impact Of Esg Ratings On The Systemic Risk Of European Blue-Chip Firms," University of Tartu - Faculty of Economics and Business Administration Working Paper Series, Faculty of Economics and Business Administration, University of Tartu (Estonia), number 139.
- Tiantian Mao & Ruodu Wang & Qinyu Wu, 2022, "Model Aggregation for Risk Evaluation and Robust Optimization," Papers, arXiv.org, number 2201.06370, Jan, revised Jun 2024.
- Herr, Donovan & Clausse, Emilien & Vrins, Frédéric, 2021, "Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2021012, Jan.
- Dorian Henricot & Thibaut Piquard, 2022, "Credit Default Swaps and Credit Risk Reallocation," Working papers, Banque de France, number 860.
- Soren Bettels & Sojung Kim & Stefan Weber, 2022, "Multinomial Backtesting of Distortion Risk Measures," Papers, arXiv.org, number 2201.06319, Jan, revised Aug 2024.
- DeMiguel, Victor & Lassance, Nathan & Vrins, Frédéric, 2021, "Optimal Portfolio Diversification via Independent Component Analysis," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2021014, Jun.
- Item repec:cam:camjip:2111 is not listed on IDEAS anymore
- Lassance, Nathan & Vrins, Frédéric, 2021, "Portfolio Selection: A Target-Distribution Approach," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2021005, Jul.
- Samir Saissi Hassani, 2022, "Précisions importantes sur le backtesting comparatif de la VaR," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 21-5, Feb.
- Seipp, Vanessa & Michel, Alex & Siegfried, Patrick, 2020, "Review of International Supply Chain Risk Within Banking Regulations in Asia, US and EU Including Proposals to Improve Cost Efficiency by Meeting Regulatory Compliance," MPRA Paper, University Library of Munich, Germany, number 111579, Sep, revised 23 Aug 2020.
- Sebastien Valeyre, 2022, "Optimal trend following portfolios," Papers, arXiv.org, number 2201.06635, Jan.
- Tristan Jourde, 2022, "The Rising Interconnectedness of the Insurance Sector," Working papers, Banque de France, number 857.
- Lassance, Nathan, 2021, "Maximizing the Out-of-Sample Sharpe Ratio," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2021013, Dec.
- Karel Janda & Ladislav Kristoufek & Binyi Zhang, 2021, "Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks: Evidence from VAR-MGARCH estimations," FFA Working Papers, Prague University of Economics and Business, number 4.001, Nov, revised 17 Jan 2022.
- Elie Bouri & Christina Christou & Rangan Gupta, 2022, "Forecasting Returns of Major Cryptocurrencies: Evidence from Regime-Switching Factor Models," Working Papers, University of Pretoria, Department of Economics, number 202213, Feb.
- Allen, David, 2021, "Cryptocurrencies, Diversification and the COVID-19 Pandemic," MPRA Paper, University Library of Munich, Germany, number 111735, Dec.
- Item repec:hal:journl:hal-03511570 is not listed on IDEAS anymore