Report NEP-RMG-2019-09-30

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:

• Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & O. Scaillet, 2019. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Swiss Finance Institute Research Paper Series 19-48, Swiss Finance Institute.
• Nicole Lux, 2019. "Relevance of loan characteristics in probability of default prediction for commercial mortgage loans," ERES eres2019_86, European Real Estate Society (ERES).
• Fantazzini, Dean & Zimin, Stephan, 2019. "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," MPRA Paper 95988, University Library of Munich, Germany.
• Fantazzini, Dean & Shangina, Tamara, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," MPRA Paper 95992, University Library of Munich, Germany.
• Item repec:hal:wpaper:hal-02291548 is not listed on IDEAS anymore

• José Valentim Machado Vicente & Jaqueline Terra Moura Marins, 2019. "A Volatility Smile-Based Uncertainty Index," Working Papers Series 502, Central Bank of Brazil, Research Department.
• Donald J. Brown, 2019. "Affective Portfolio Analysis: Risk, Ambiguity and (IR)rationality," Cowles Foundation Discussion Papers 2202, Cowles Foundation for Research in Economics, Yale University.
• Franziska Bremus & Melina Ludolph, 2019. "The Nexus between Loan Portfolio Size and Volatility: Does Banking Regulation Matter?," Discussion Papers of DIW Berlin 1822, DIW Berlin, German Institute for Economic Research.
• Donadelli, Michael & Jüppner, Marcus & Prosperi, Lorenzo, 2019. "Risk weighting, private lending and macroeconomic dynamics," Discussion Papers 30/2019, Deutsche Bundesbank.
• Ricardo Sabbadini, 2019. "Loss Aversion and Search for Yield in Emerging Markets Sovereign Debt," Working Papers Series 500, Central Bank of Brazil, Research Department.
• Johannes Wachs & Mih'aly Fazekas & J'anos Kert'esz, 2019. "Corruption Risk in Contracting Markets: A Network Science Perspective," Papers 1909.08664, arXiv.org.
• Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2019. "The value of knowing the market price of risk," Papers 1909.07837, arXiv.org, revised Sep 2019.
• Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," EconStor Preprints 204279, ZBW - Leibniz Information Centre for Economics.
• Giacomo Candian & Mikhail Dmitriev, 2019. "Implications of Default Recovery Rates for Aggregate Fluctuations," 2019 Meeting Papers 1185, Society for Economic Dynamics.