Report NEP-RMG-2019-05-13

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.

Subscribe to this report: email, RSS, or Mastodon.

Other reports in NEP-RMG

The following items were announced in this report:

• Yang, Bill Huajian & Wu, Biao & Cui, Kaijie & Du, Zunwei & Fei, Glenn, 2019. "IFRS9 Expected Credit Loss Estimation: Advanced Models for Estimating Portfolio Loss and Weighting Scenario Losses," MPRA Paper 93634, University Library of Munich, Germany.
• Eduardo Abi Jaber & Omar El Euch, 2019. "Multi-factor approximation of rough volatility models," Post-Print hal-01697117, HAL.
• Christian Gourieroux & Yang Lu, 2019. "Least Impulse Response Estimator for Stress Test Exercises," Working Papers hal-02089698, HAL.
• Anna Denkowska & Stanis{l}aw Wanat, 2019. "Dependencies and systemic risk in the European insurance sector: Some new evidence based on copula-DCC-GARCH model and selected clustering methods," Papers 1905.03273, arXiv.org.
• Itzhak Ben-David & Ajay A. Palvia & René M. Stulz, 2019. "Do Distressed Banks Really Gamble for Resurrection?," NBER Working Papers 25794, National Bureau of Economic Research, Inc.
• Marco Bevilacqua & Francesco Cannata & Raffaele Arturo Cristiano & Simona Gallina & Michele Petronzi & Silvia Cardarelli, 2019. "The evolution of the Pillar 2 framework for banks: some thoughts after the financial crisis," Questioni di Economia e Finanza (Occasional Papers) 494, Bank of Italy, Economic Research and International Relations Area.
• Stefan Nagel & Amiyatosh Purnanandam, 2019. "Bank Risk Dynamics and Distance to Default," NBER Working Papers 25807, National Bureau of Economic Research, Inc.
• Mansur, Alfan, 2018. "Measuring Systemic Risk on Indonesia’s Banking System," MPRA Paper 93300, University Library of Munich, Germany, revised 12 Apr 2018.
• Fabrizio Ferriani & Filippo Natoli & Giovanni Veronese & Federica Zeni, 2019. "Risk premium in the era of shale oil," Temi di discussione (Economic working papers) 1215, Bank of Italy, Economic Research and International Relations Area.
• Wang, Weijia, 2019. "A Pareto Criterion on Systemic Risk," MPRA Paper 93699, University Library of Munich, Germany.
• Larch, Martin & Cugnasca, Alessandro & Kumps, Diederik & Orseau, Eloïse, 2019. "Fiscal policy and the assessment of output gaps in real time: An exercise in risk management," ZEW Discussion Papers 19-013, ZEW - Leibniz Centre for European Economic Research.
• Atwood, Joseph, 2019. "Applications of Relaxed Constraint (RC) Models in Portfolio Optimization Subject to VaR, cVaR and Related Risk Constraints," SCC-76 Meeting, 2019, April 4-6, Kansas City, Missouri 288090, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources.
• Henri Loubergé & Yannick Malevergne & Béatrice Rey, 2019. "New Results for Additive and Multiplicative Risk Apportionment," Working Papers halshs-02100855, HAL.
• Borman, Julia & Vergara, Oscar & Desnoyers, Andrew, 2019. "Overview of Updated and New Crop Risk Management Tools Available to Crop Insurers for the 2019 Crop Year," SCC-76 Meeting, 2019, April 4-6, Kansas City, Missouri 288088, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources.
• Heller, Yuval & Peleg Lazar, Sharon & Raviv, Alon, 2019. "A closed-form solution to the risk-taking motivation of subordinated debtholders," MPRA Paper 93698, University Library of Munich, Germany.
• Kerem Tuzcuoglu, 2019. "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers 19-16, Bank of Canada.
• Sung, Sangwook & Cho, Hoon & Ryu, Doojin, 2019. "Market runs of hedge funds during financial crises," Economics Discussion Papers 2019-31, Kiel Institute for the World Economy (IfW Kiel).
• Dominika Kolcunova & Simona Malovana, 2019. "The Effect of Higher Capital Requirements on Bank Lending: The Capital Surplus Matters," Working Papers 2019/2, Czech National Bank.
• Gong, Xuche & Hennessey, David & Feng, Hongli, 2019. "Roles of Systemic Risk and Premium Subsidies in Choices Between Area and Individual Insurance Contracts," SCC-76 Meeting, 2019, April 4-6, Kansas City, Missouri 288083, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources.
• Sarno, Lucio & Mäkinen, Taneli & Zinna, Gabriele, 2019. "Risky Bank Guarantees," CEPR Discussion Papers 13709, C.E.P.R. Discussion Papers.
• Cziraki, Peter & Xu, Moqi, 2020. "CEO turnover and volatility under long-term employment contracts," LSE Research Online Documents on Economics 100757, London School of Economics and Political Science, LSE Library.
• Babenko, Ilona & Bennett, Benjamin & Bizjak, John M. & Coles, Jeffrey L. & Sandvik, Jason J., 2019. "Clawback Provisions and Firm Risk," Working Paper Series 2019-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Randriamarolo, Marie Rose & Lupton, Sylvie, 2019. "Clarifying the Concept of Price Risk and Volatility, and its Role on Farmers' Decision Making: Application Based on French Milk Market," SCC-76 Meeting, 2019, April 4-6, Kansas City, Missouri 288091, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources.
• Zhang, Qiao & Wang, Ke & Li, Yue & Zuo, Xuan & Wang, Yueqin, 2019. "Evaluation of Chinese Agricultural Insurance: The Perspective of Risk Protection," SCC-76 Meeting, 2019, April 4-6, Kansas City, Missouri 288099, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources.
• Federica Ciocchetta & Wanda Cornacchia, 2019. "Assessing financial stability risks from the real estate market in Italy: an update," Questioni di Economia e Finanza (Occasional Papers) 493, Bank of Italy, Economic Research and International Relations Area.
• Russo, Marianna & Bertsch, Valentin, 2018. "A looming revolution: Implications of self-generation for the risk exposure of retailers," Papers WP597, Economic and Social Research Institute (ESRI).
• Aikman, David & Giese, Julia & Kapadia, Sujit & McLeay, Michael, 2019. "Targeting financial stability: macroprudential or monetary policy?," Working Paper Series 2278, European Central Bank.
• Kotchikpa Gabriel Lawin & Lota Tamini, 2019. "Determinants of Crop Diversification in Burkina Faso - What is the Impact of Risk Preference?," CIRANO Working Papers 2019s-07, CIRANO.