Report NEP-RMG-2019-02-18

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:

• Tobias Fissler & Johanna F. Ziegel, 2019. "Evaluating Range Value at Risk Forecasts," Papers 1902.04489, arXiv.org, revised Nov 2020.
• Simon F'ecamp & Joseph Mikael & Xavier Warin, 2019. "Risk management with machine-learning-based algorithms," Papers 1902.05287, arXiv.org, revised Aug 2020.
• Antonio Falato & Diana A. Iercosan & Filip Zikes, 2019. "Banks as Regulated Traders," Finance and Economics Discussion Series 2019-005r1, Board of Governors of the Federal Reserve System (U.S.), revised 04 Aug 2021.
• Ronald Heijmans & Chen Zhou, 2019. "Outlier detection in TARGET2 risk indicators," DNB Working Papers 624, Netherlands Central Bank, Research Department.
• Marco Bottone & Mauro Bernardi & Lea Petrella, 2019. "Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution," Papers 1902.03982, arXiv.org, revised Sep 2019.
• Oliver Kley & Claudia Kluppelberg & Sandra Paterlini, 2019. "Modelling Extremal Dependence for Operational Risk by a Bipartite Graph," Papers 1902.03041, arXiv.org.
• David Barrera & Stéphane Crépey & Babacar Diallo & Gersende Fort & Emmanuel Gobet & Uladzislau Stazhynski, 2019. "Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations," Post-Print hal-01710394, HAL.
• Masato Hisakado & Shintaro Mori, 2019. "Phase transition in the Bayesian estimation of the default portfolio," Papers 1902.03797, arXiv.org, revised Nov 2019.
• Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos & Touche, Nassim, 2019. "Integer-valued stochastic volatility," MPRA Paper 91962, University Library of Munich, Germany, revised 04 Feb 2019.
• Svetlana Boyarchenko & Sergei Levendorskii, 2019. "Static and semi-static hedging as contrarian or conformist bets," Papers 1902.02854, arXiv.org.
• Fabrizio Ferriani & Wanda Cornacchia & Paolo Farroni & Eliana Ferrara & Francesco Guarino & Francesco Pisanti, 2019. "An early warning system for less significant Italian banks," Questioni di Economia e Finanza (Occasional Papers) 480, Bank of Italy, Economic Research and International Relations Area.
• Jamal Bouoiyour & Refk Selmi & Mark E Wohar, 2019. "Bitcoin: competitor or complement to gold?," Post-Print hal-01994187, HAL.
• Mohammad Ali Elminejad, 2018. "Contagious Defaults in Inter-bank Networks," Working Papers IES 2018/39, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Dec 2018.
• Cormac O'Dea & David Sturrock, 2019. "Survival pessimism and the demand for annuities," IFS Working Papers W19/02, Institute for Fiscal Studies.
• Kanamura, Takashi, 2019. "Volumetric Risk Hedging Strategies and Basis Risk Premium for Solar Power," MPRA Paper 92009, University Library of Munich, Germany.
• Edouard Debonneuil & Anne Eyraud-Loisel & Frédéric Planchet, 2018. "Can Pension Funds Partially Manage Longevity Risk by Investing in a Longevity Megafund?," Post-Print hal-01571937, HAL.
• Wataru Hirata & Mayumi Ojima, 2019. "Competition and Bank Systemic Risk: New Evidence from Japan's Regional Banking," Bank of Japan Working Paper Series 19-E-1, Bank of Japan.
• Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
• John Leventides & Kalliopi Loukaki & Vassilios G. Papavassiliou, 2019. "Simulating financial contagion dynamics in random interbank networks," Open Access publications 10197/9601, Research Repository, University College Dublin.
• Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.