Report NEP-RMG-2019-08-12

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:

• Xuehai Zhang, 2019. "Value at Risk and Expected Shortfall under General Semi-parametric GARCH models," Working Papers CIE 123, Paderborn University, CIE Center for International Economics.
• Heinrich, Torsten & Sabuco, Juan & Farmer, J. Doyne, 2019. "A simulation of the insurance industry: The problem of risk model homogeneity," MPRA Paper 95096, University Library of Munich, Germany.
• Alessi, Lucia & Ossola, Elisa & Panzica, Roberto, 2019. "The Greenium matters: greenhouse gas emissions, environmental disclosures, and stock prices," JRC Working Papers in Economics and Finance 2019-12, Joint Research Centre, European Commission, revised Apr 2020.
• Larsson, Bo & Wijkander, Hans, 2019. "Banking, Capital Regulation, Risk and Dynamics," Research Papers in Economics 2019:4, Stockholm University, Department of Economics.
• Aikman, David & Chichkanov, Pavel & Douglas, Graeme & Georgiev, Yordan & Howat, James & King, Benjamin, 2019. "System-wide stress simulation," Bank of England working papers 809, Bank of England.
• Fontana, Silvia Dalla & Holz auf der Heide, Marco & Pelizzon, Loriana & Scheicher, Martin, 2019. "The anatomy of the euro area interest rate swap market," SAFE Working Paper Series 255, Leibniz Institute for Financial Research SAFE.
• Anne Opschoor & André Lucas, 2019. "Observation-driven Models for Realized Variances and Overnight Returns," Tinbergen Institute Discussion Papers 19-052/IV, Tinbergen Institute.
• Magni, Carlo Alberto & Malagoli, Stefano & Marchioni, Andrea & Mastroleo, Giovanni, 2019. "Rating firms and sensitivity analysis," MPRA Paper 95265, University Library of Munich, Germany.
• Anne Opschoor & André Lucas, 2019. "Time-varying tail behavior for realized kernels," Tinbergen Institute Discussion Papers 19-051/IV, Tinbergen Institute.
• Michael Weylandt & Yu Han & Katherine B. Ensor, 2019. "Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility," Papers 1907.10152, arXiv.org.
• Joseph Attia, 2019. "Evaluating the Effectiveness of Common Technical Trading Models," Papers 1907.10407, arXiv.org.
• Laura Abrardi & Luca Colombo & Piero Tedeschi, 2019. "The Gains of Ignoring Risk: Insurance with Better Informed Principals," DISCE - Working Papers del Dipartimento di Economia e Finanza def084, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
• Juan M. Londono & Nancy R. Xu, 2019. "Variance Risk Premium Components and International Stock Return Predictability," International Finance Discussion Papers 1247, Board of Governors of the Federal Reserve System (U.S.).
• Thiago Christiano Silva & Solange Maria Guerra & Benjamin Miranda Tabak, 2019. "Fiscal Risk and Financial Fragility," Working Papers Series 495, Central Bank of Brazil, Research Department.
• Mohamed Amine Lkabous, 2019. "Poissonian occupation times of spectrally negative L\'evy processes with applications," Papers 1907.09990, arXiv.org.
• Stefan Mittnik & Willi Semmler & Alexander Haider, 2019. "Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model," IMF Working Papers 19/145, International Monetary Fund.
• Zhenzhen Fan & Juan M. Londono & Xiao Xiao, 2019. "US Equity Tail Risk and Currency Risk Premia," International Finance Discussion Papers 1253, Board of Governors of the Federal Reserve System (U.S.).
• Elizabeth Jane Casabianca & Michele Catalano & Lorenzo Forni & Elena Giarda & Simone Passeri, 2019. "An Early Warning System for banking crises: From regression-based analysis to machine learning techniques," "Marco Fanno" Working Papers 0235, Dipartimento di Scienze Economiche "Marco Fanno".
• Seung Jung Lee & Lucy Qian Liu & Viktors Stebunovs, 2019. "Risk-Taking Spillovers of U.S. Monetary Policy in the Global Market for U.S. Dollar Corporate Loans," International Finance Discussion Papers 1251, Board of Governors of the Federal Reserve System (U.S.).
• Lewis Gaul & Jonathan Jones & Pinar Uysal, 2019. "Forecasting High-Risk Composite CAMELS Ratings," International Finance Discussion Papers 1252, Board of Governors of the Federal Reserve System (U.S.).
• Kassas, Bachir & Palma, Marco A. & Porter, Maria, 2019. "Happy to Take Some Risk: Investigating the Dependence of Risk Preferences on Mood Using Biometric Data," 2019 Annual Meeting, July 21-23, Atlanta, Georgia 290844, Agricultural and Applied Economics Association.
• Giuzio, Margherita & Rousová, Linda, 2019. "Insurers’ investment strategies: pro- or countercyclical?," Working Paper Series 2299, European Central Bank.
• Olkhov, Victor, 2019. "New Essentials of Economic Theory," MPRA Paper 95065, University Library of Munich, Germany.