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Report NEP-RMG-2022-05-16
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:
- Radoslav Raykov & Consuelo Silva-Buston, 2022, "Asymmetric Systemic Risk," Staff Working Papers, Bank of Canada, number 22-19, May, DOI: 10.34989/swp-2022-19.
- Duan, Fang, 2022, "Forecasting risk measures based on structural breaks in the correlation matrix," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 945, DOI: 10.4419/96973106.
- Victoria Böhnke & Steven Ongena & Florentina Paraschiv & Endre J Reite, 2022, "Back to the Roots of Internal Credit Risk Models: Why Do Banks’ Risk-Weighted Asset Levels Converge over Time?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-33, Apr.
- John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2022, "Idiosyncratic Equity Risk Two Decades Later," NBER Working Papers, National Bureau of Economic Research, Inc, number 29916, Apr.
- Valentina Galvani, 2022, "Country-Based Investing with Exchange Rate and Reserve Currency," Working Papers, University of Alberta, Department of Economics, number 2022-05, Mar.
- Zexuan Yin & Paolo Barucca, 2022, "Variational Heteroscedastic Volatility Model," Papers, arXiv.org, number 2204.05806, Apr.
- Maria Logvaneva & Mikhail Tselishchev, 2022, "On a Stochastic Model of Diversification," Papers, arXiv.org, number 2204.01284, Apr.
- Benjamin Knox, 2022, "A Stock Return Decomposition Using Observables," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2022-014r1, Mar, revised 31 Jan 2025, DOI: 10.17016/FEDS.2022.014r1.
- Vito Polito & Yunyi Zhang, 2022, "Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression," Working Papers, The University of Sheffield, Department of Economics, number 2022004, Mar.
- Mr. Marco Gross & Mr. Thierry Tressel & Xiaodan Ding & Eugen Tereanu, 2022, "What Drives Mortgage Default Risk in Europe and the U.S.?," IMF Working Papers, International Monetary Fund, number 2022/065, Apr.
- Ryan Defina, 2021, "Impact of the COVID-19 Pandemic on Deposit Insurance," IADI Survey Briefs, International Association of Deposit Insurers, number 1, May.
- Meyer, Brent & Mihaylov, Emil & Barrero, José María & Davis, Steven J. & Altig, David & Bloom, Nicholas, 2022, "Pandemic-Era Uncertainty," IZA Discussion Papers, Institute of Labor Economics (IZA), number 15229, Apr.
- Cosmin L. Ilut & Martin Schneider, 2022, "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers, National Bureau of Economic Research, Inc, number 29915, Apr.
- Jialong Li, 2022, "Household Debt and Risk Tolerance: Evidence from China," Working Papers, The University of Sheffield, Department of Economics, number 2022001, Feb.
- Ropponen, Olli & Kuusi, Tero & Valkonen, Tarmo, 2022, "The Life Insurance Gap in Finland," ETLA Reports, The Research Institute of the Finnish Economy, number 129, May.
- Ralf R. Meisenzahl & Karen M. Pence, 2022, "Crisis Liquidity Facilities with Nonbank Counterparties: Lessons from the Term Asset-Backed Securities Loan Facility," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2022-021, Apr, DOI: 10.17016/FEDS.2022.021.
- Ignacio Lozano-Espitia & Fernando Arias-Rodríguez, 2022, "The Relationship between Fiscal and Monetary Policies in Colombia: An Empirical Exploration of the Credit Risk Channel," Borradores de Economia, Banco de la Republica de Colombia, number 1196, Apr, DOI: 10.32468/be.1196.