Report NEP-RMG-2019-04-29

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:

• Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2019. "Hedging longevity risk in defined contribution pension schemes," Papers 1904.10229, arXiv.org, revised May 2020.
• Yang, Bill Huajian, 2019. "Monotonic Estimation for the Survival Probability over a Risk-Rated Portfolio by Discrete-Time Hazard Rate Models," MPRA Paper 93398, University Library of Munich, Germany.
• Yang, Bill Huajian, 2019. "Resolutions to flip-over credit risk and beyond," MPRA Paper 93389, University Library of Munich, Germany.
• Xiaochuan Deng & Fei Sun, 2019. "Regulator-based risk statistics with scenario analysis," Papers 1904.11032, arXiv.org, revised Jul 2020.
• Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2018. "Risk Management-Driven Policy Rate Gap," Melbourne Institute Working Paper Series wp2018n10, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
• Wang, Frank Xuyan, 2019. "Shape Factor Asymptotic Analysis I," MPRA Paper 93357, University Library of Munich, Germany.
• Abdelbary, Amr, 2019. "Changing The Game; New Frame Work Of Capital Adequacy Ratio," MPRA Paper 93388, University Library of Munich, Germany.
• Junyao Chen & Tony Sit & Hoi Ying Wong, 2019. "Simulation-based Value-at-Risk for Nonlinear Portfolios," Papers 1904.09088, arXiv.org.
• Rogelio A. Mancisidor & Michael Kampffmeyer & Kjersti Aas & Robert Jenssen, 2019. "Deep Generative Models for Reject Inference in Credit Scoring," Papers 1904.11376, arXiv.org, revised Sep 2021.
• Yang, Bill Huajian, 2019. "Monotonic Estimation for Probability Distribution and Multivariate Risk Scales by Constrained Minimum Generalized Cross-Entropy," MPRA Paper 93400, University Library of Munich, Germany.
• Pástor, LuboÅ¡ & Stambaugh, Robert F., 2019. "Liquidity Risk After 20 Years," CEPR Discussion Papers 13680, C.E.P.R. Discussion Papers.
• Mauricio Calani, 2019. "Can regulation on loan-loss-provisions for credit risk affect the mortgage market? Evidence from administrative data in Chile," BIS Working Papers 780, Bank for International Settlements.