Report NEP-RMG-2019-03-25

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:

• Raphaël Oger & Frederick Benaben & Matthieu Lauras & Benoit Montreuil, 2018. "Towards Decision Support Automation for Supply Chain Risk Management among Logistics Network Stakeholders," Post-Print hal-01884393, HAL.
• Ahelegbey, Daniel Felix & Giudici, Paolo & Hadji-Misheva, Branka, 2019. "Factorial Network Models To Improve P2P Credit Risk Management," MPRA Paper 92633, University Library of Munich, Germany.
• Masoud Fekri & Babak Barazandeh, 2019. "Designing an Optimal Portfolio for Iran's Stock Market with Genetic Algorithm using Neural Network Prediction of Risk and Return Stocks," Papers 1903.06632, arXiv.org.
• c{C}au{g}{i}n Ararat & Nurtai Meimanjan, 2019. "Computation of systemic risk measures: a mixed-integer programming approach," Papers 1903.08367, arXiv.org, revised Aug 2023.
• Kuwahara, Satoshi & Yoshino, Naoyuki & Sagara, Megumi & Taghizadeh-Hesary, Farhad, 2019. "Establishment of the Credit Risk Database: Concrete Use to Evaluate the Creditworthiness of SMEs," ADBI Working Papers 924, Asian Development Bank Institute.
• Craig, Ben & Giuzio, Margherita & Paterlini, Sandra, 2019. "The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios," ESRB Working Paper Series 89, European Systemic Risk Board.
• Radanliev, Petar & De Roure, David & Nicolescu, Razvan & Huth, Michael & Mantilla Montalvo, Rafael & Cannady, Stacy & Burnap, Peter, 2018. "Future developments in cyber risk assessment for the internet of things," MPRA Paper 92567, University Library of Munich, Germany, revised Sep 2018.
• Hanene Ben Salah & Ali Gannoun & Mathieu Ribatet, 2018. "A New Approach in Nonparametric Estimation of Returns in Mean-DownSide Risk Portfolio frontier," Post-Print hal-01299561, HAL.
• Mehmet Balcilar & Rangan Gupta & Shixuan Wang & Mark E. Wohar, 2019. "Oil Price Uncertainty and Movements in the US Government Bond Risk Premia," Working Papers 201919, University of Pretoria, Department of Economics.
• Rongju Zhang & Mark Aarons & Gregoire Loeper, 2019. "Optimal FX Hedge Tenor with Liquidity Risk," Papers 1903.06346, arXiv.org.
• Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019. "Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis," ESRB Working Paper Series 90, European Systemic Risk Board.
• Gauthier de Maere d'Aertrycke & Andreas Ehrenmann & Daniel Ralph & Yves Smeers, 2018. "Risk trading in capacity equilibrium models," Working Papers EPRG 1720, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
• Nikki Kergozou & David Turner, 2019. "Using probit models of downturn risk to calibrate GDP Fan charts for New Zealand," OECD Economics Department Working Papers 1543, OECD Publishing.
• Marek Capinski, 2019. "Non-traded call's volatility smiles," Papers 1903.07875, arXiv.org.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2019. "The Total Risk Premium Puzzle," NBER Working Papers 25653, National Bureau of Economic Research, Inc.
• Enzo Busseti, 2019. "Risk and Return models for Equity Markets and Implied Equity Risk Premium," Papers 1903.07737, arXiv.org.
• Zura Kakushadze & Willie Yu, 2019. "Machine Learning Risk Models," Papers 1903.06334, arXiv.org, revised Apr 2019.
• Koumou, Gilles Boevi & Dionne, Georges, 2019. "Coherent diversification measures in portfolio theory: An axiomatic foundation," Working Papers 19-2, HEC Montreal, Canada Research Chair in Risk Management.
• Robert Cole, 2019. "Solvency trends for New Zealand licensed insurers: 2013 - 2018," Reserve Bank of New Zealand Analytical Notes series AN2019/01, Reserve Bank of New Zealand.
• Radanliev, Petar & De Roure, David & R.C. Nurse, Jason & Burnap, Pete & Anthi, Eirini & Ani, Uchenna & Maddox, La’Treall & Santos, Omar & Mantilla Montalvo, Rafael, 2019. "Definition of Internet of Things (IoT) Cyber Risk – Discussion on a Transformation Roadmap for Standardization of Regulations, Risk Maturity, Strategy Design and Impact Assessment," MPRA Paper 92569, University Library of Munich, Germany.
• Alev{s} v{C}ern'y, 2019. "Semimartingale theory of monotone mean--variance portfolio allocation," Papers 1903.06912, arXiv.org, revised Jan 2020.
• Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers 257939806, Lancaster University Management School, Economics Department.
• Minh Phi, Nguyet Thi & Hong Hoang, Hanh Thi & Taghizadeh-Hesary, Farhad & Yoshino, Naoyuki, 2019. "The Basel Capital Requirement, Lending Interest Rate, and Aggregate Economic Growth: An Empirical Study of Viet Nam," ADBI Working Papers 916, Asian Development Bank Institute.