Report NEP-RMG-2021-07-19

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan 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:

• Onur Babat & Juan C. Vera & Luis F. Zuluaga, 2021. "Computing near-optimal Value-at-Risk portfolios using Integer Programming techniques," Papers 2107.07339, arXiv.org.
• Anna Dubinova & Andre Lucas & Sean Telg, 2021. "COVID-19, Credit Risk and Macro Fundamentals," Tinbergen Institute Discussion Papers 21-059/III, Tinbergen Institute.
• Alice Abboud & Christopher Anderson & Aaron L. Game & Diana A. Iercosan & Hulusi Inanoglu & David Lynch, 2021. "Banks' Backtesting Exceptions during the COVID-19 Crash: Causes and Consequences," FEDS Notes 2021-07-08-2, Board of Governors of the Federal Reserve System (U.S.).
• Said, Jamaliah & Alam, Md. Mahmudul & Johari, Razana Juhaida, 2020. "Assessment of Risk Management Practices in the Public Sector of Malaysia," SocArXiv am3hd, Center for Open Science.
• Daniel Hadley & Harry Joe & Natalia Nolde, 2021. "On the Selection of Loss Severity Distributions to Model Operational Risk," Papers 2107.03979, arXiv.org.
• Denuit, Michel & Robert, Christian Y., 2021. "From risk reduction to risk elimination by conditional mean risk sharing of independent losses," LIDAM Discussion Papers ISBA 2021022, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Mark Paddrik & H. Peyton Young, 2021. "Assessing the Safety of Central Counterparties," Working Papers 21-02, Office of Financial Research, US Department of the Treasury.
• {L}ukasz Bielak & Aleksandra Grzesiek & Joanna Janczura & Agnieszka Wy{l}oma'nska, 2021. "Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling," Papers 2107.07142, arXiv.org.
• Dong-Young Lim, 2021. "A Neural Frequency-Severity Model and Its Application to Insurance Claims," Papers 2106.10770, arXiv.org, revised Feb 2024.
• Ozili, Peterson K, 2021. "Basel III in Nigeria: making it work," MPRA Paper 108495, University Library of Munich, Germany.
• Matthieu Garcin & Samuel St'ephan, 2021. "Credit scoring using neural networks and SURE posterior probability calibration," Papers 2107.07206, arXiv.org.
• Yacine Koucha & Alfredo D. Egidio dos Reis, 2021. "Approximations to ultimate ruin probabilities with a Wienner process perturbation," Papers 2107.02537, arXiv.org.
• Andrew Ellul & Dasol Kim, 2021. "Counterparty Choice, Bank Interconnectedness, and Systemic Risk," Working Papers 21-03, Office of Financial Research, US Department of the Treasury.
• Howard Kunreuther & Jason Schupp, 2021. "Evaluating the Role of Insurance in Managing Risk of Future Pandemics," NBER Working Papers 28968, National Bureau of Economic Research, Inc.
• Areski Cousin & Djibril Gueye, 2021. "Kriging For Implied Volatility Surface," Working Papers hal-03274026, HAL.
• Dupret, Jean-Loup & Hainaut, Donatien, 2021. "Portfolio insurance under rough volatility and Volterra processes," LIDAM Discussion Papers ISBA 2021026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Kyle Dempsey & Felicia Ionescu, 2021. "Lending Standards and Borrowing Premia in Unsecured Credit Markets," Finance and Economics Discussion Series 2021-039, Board of Governors of the Federal Reserve System (U.S.).
• Can, S.U. & Einmahl, John & Laeven, Roger, 2021. "Two-Sample Testing for Tail Copulas with an Application to Equity Indices," Other publications TiSEM 65a9e694-665d-4671-aaf1-4, Tilburg University, School of Economics and Management.
• Can, S.U. & Einmahl, John & Laeven, Roger, 2021. "Two-Sample Testing for Tail Copulas with an Application to Equity Indices," Discussion Paper 2021-017, Tilburg University, Center for Economic Research.
• Anastasiya Ivanova & Alona Shmygel & Ihor Lubchuk, 2021. "The Growth-at-Risk (GaR) Framework: Implication For Ukraine," IHEID Working Papers 10-2021, Economics Section, The Graduate Institute of International Studies.
• Mathias S. Kruttli & Phillip J. Monin & Lubomir Petrasek & Sumudu W. Watugala, 2021. "Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis," Finance and Economics Discussion Series 2021-038, Board of Governors of the Federal Reserve System (U.S.).
• Russo, Marianna & Kraft, Emil & Bertsch, Valentin & Keles, Dogan, 2021. "Short-term risk management for electricity retailers under rising shares of decentralized solar generation," Working Paper Series in Production and Energy 57, Karlsruhe Institute of Technology (KIT), Institute for Industrial Production (IIP).
• Terri van der Zwan & Erik Hennink & Patrick Tuijp, 2021. "Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies," Tinbergen Institute Discussion Papers 21-062/III, Tinbergen Institute.
• Arthur Charpentier & Lariosse Kouakou & Matthias Lowe & Philipp Ratz & Franck Vermet, 2021. "Collaborative Insurance Sustainability and Network Structure," Papers 2107.02764, arXiv.org, revised Sep 2022.
• Maximilian Blesch & Philipp Eisenhauer, 2021. "Robust Decision-Making Under Risk and Ambiguity," ECONtribute Discussion Papers Series 104, University of Bonn and University of Cologne, Germany.
• Hainaut, Donatien, 2021. "A fractional multi-states model for insurance," LIDAM Discussion Papers ISBA 2021019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Osadchiy, Maksim, 2021. "Vasicek Model Extension. Premature default," MPRA Paper 108687, University Library of Munich, Germany.
• Felipe Aldunate & Dirk Jenter & Arthur Korteweg & Peter Koudijs, 2021. "Shareholder Liability and Bank Failure," CESifo Working Paper Series 9168, CESifo.
• Rian Dolphin & Barry Smyth & Yang Xu & Ruihai Dong, 2021. "Measuring Financial Time Series Similarity With a View to Identifying Profitable Stock Market Opportunities," Papers 2107.03926, arXiv.org.
• Knut Anton Mork & Vegard Skonseng Bjerketvedt, 2021. "Soft habits," Working Paper Series 18921, Department of Economics, Norwegian University of Science and Technology.
• Sebastian Barnes & Robert Hillman & George Wharf & Duncan MacDonald, 2021. "The impact of COVID-19 on corporate fragility in the United Kingdom: Insights from a new calibrated firm-level Corporate Sector Agent-Based (CAB) Model," OECD Economics Department Working Papers 1674, OECD Publishing.