Report NEP-RMG-2019-06-17

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, or Bluesky.

Other reports in NEP-RMG

The following items were announced in this report:

• Mathias Barkhagen & Brian Fleming & Sergio Garcia Quiles & Jacek Gondzio & Joerg Kalcsics & Jens Kroeske & Sotirios Sabanis & Arne Staal, 2019. "Optimising portfolio diversification and dimensionality," Papers 1906.00920, arXiv.org, revised Sep 2019.
• Ariah Klages-Mundt & Andreea Minca, 2019. "(In)Stability for the Blockchain: Deleveraging Spirals and Stablecoin Attacks," Papers 1906.02152, arXiv.org, revised Mar 2021.
• Pellecchia, Marco & Perciaccante, Giovambattista, 2019. "The calculation of Solvency Capital Requirement using Copulas," MPRA Paper 94213, University Library of Munich, Germany.
• Helder Rojas & David Dias, 2019. "Stress Testing Network Reconstruction via Graphical Causal Model," Papers 1906.01468, arXiv.org, revised Jan 2020.
• Qi Wu & Shumin Ma & Cheuk Hang Leung & Wei Liu & Nanbo Peng, 2019. "Understanding Distributional Ambiguity via Non-robust Chance Constraint," Papers 1906.01981, arXiv.org, revised Sep 2020.
• Wenyuan Wang & Ping Chen & Shuanming Li, 2019. "Generalized Expected Discounted Penalty Function at General Drawdown for L\'{e}vy Risk Processes," Papers 1906.01449, arXiv.org.
• Di Wang & Qi Wu & Wen Zhang, 2019. "Neural Learning of Online Consumer Credit Risk," Papers 1906.01923, arXiv.org.
• Dimitrios Anastasiou & Zacharias Bragoudakis & Ioannis Malandrakis, 2019. "Non-performing loans, governance indicators and systemic liquidity risk: evidence from Greece," Working Papers 260, Bank of Greece.
• Jin Sun & Kevin Fergusson & Eckhard Platen & Pavel V. Shevchenko, 2019. "Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach," Papers 1906.01320, arXiv.org.
• Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019. "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers of BETA 2019-24, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Shihao Zhu & Jingtao Shi, 2019. "Optimal Reinsurance and Investment Strategies under Mean-Variance Criteria: Partial and Full Information," Papers 1906.08410, arXiv.org, revised Jun 2020.
• Li, Z. M. & Laeven, R. J. A. & Vellekoop, M. H., 2019. "Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data," Cambridge Working Papers in Economics 1952, Faculty of Economics, University of Cambridge.
• Pagano, Marco & Sánchez Serrano, Antonio & Zechner, Jozef, 2019. "Can ETFs contribute to systemic risk?," Report of the Advisory Scientific Committee 9, European Systemic Risk Board.
• Yukihiro Nishimura & Pierre Pestieau, 2019. "Old age or dependence. Which social insurance?," Discussion Papers in Economics and Business 19-03, Osaka University, Graduate School of Economics.
• Bonga, Wellington Garikai, 2019. "Stock Market Volatility Analysis using GARCH Family Models: Evidence from Zimbabwe Stock Exchange," MPRA Paper 94201, University Library of Munich, Germany.
• M. Dashti Moghaddam & Jiong Liu & R. A. Serota, 2019. "Implied and Realized Volatility: A Study of Distributions and the Distribution of Difference," Papers 1906.02306, arXiv.org.
• Efthymios Pavlidis & Ivan Paya & Alex Skouralis, 2019. "House Prices, (Un)Affordability and Systemic Risk," Working Papers 266072868, Lancaster University Management School, Economics Department.
• Dionne, Georges & Zhou, Xiaozhou, 2019. "Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency," Working Papers 19-3, HEC Montreal, Canada Research Chair in Risk Management, revised 04 Nov 2019.