Report NEP-RMG-2019-10-07

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:

• Takaaki Koike & Marius Hofert, 2019. "Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations," Papers 1909.11794, arXiv.org, revised May 2020.
• Álvaro Chamizo & Alfonso Novales, 2019. "Looking through systemic credit risk: determinants, stress testing and market value," Documentos de Trabajo del ICAE 2019-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Mo Zheng & Han-Suck Song & Fredrik Armerin, 2019. "Backtesting Value-at-Risk and expected shortfall: an empirical comparison using non-parametric and parametric models," ERES eres2019_366, European Real Estate Society (ERES).
• Alfonso Novales & Laura Garcia-Jorcano, 2019. "Backtesting Extreme Value Theory models of expected shortfall," Documentos de Trabajo del ICAE 2019-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Samudra Dasgupta & Arnab Banerjee, 2019. "Quantum Annealing Algorithm for Expected Shortfall based Dynamic Asset Allocation," Papers 1909.12904, arXiv.org, revised Sep 2020.
• Álvaro Chamizo & Alexandre Fonollosa & Alfonso Novales, 2019. "Forward-looking asset correlations in the estimation of economic capital," Documentos de Trabajo del ICAE 2019-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Álvaro Chamizo & Alfonso Novales, 2019. "Market risk when hedging a global credit portfolio," Documentos de Trabajo del ICAE 2019-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Laura Garcia-Jorcano & Alfonso Novales, 2019. "A dominance approach for comparing the performance of VaR forecasting models," Documentos de Trabajo del ICAE 2019-23, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Marcel Bräutigam & Marie Kratz, 2018. "On the Dependence between Quantiles and Dispersion Estimators," Working Papers hal-02296832, HAL.
• Laura Garcia-Jorcano & Alfonso Novales, 2019. "Volatility specifications versus probability distributions in VaR forecasting," Documentos de Trabajo del ICAE 2019-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• John Armstrong & Cristin Buescu, 2019. "Collectivised Post-Retirement Investment," Papers 1909.12730, arXiv.org, revised Apr 2020.
• Riza Demirer & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019. "Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests," Working Papers 201972, University of Pretoria, Department of Economics.
• Makoto Nakajima, 2019. "Cyclical Labor Income Risk," 2019 Meeting Papers 1233, Society for Economic Dynamics.
• Peter Carr & Liuren Wu & Zhibai Zhang, 2019. "Using Machine Learning to Predict Realized Variance," Papers 1909.10035, arXiv.org.
• J. Beleza Sousa & Manuel L. Esquível & Raquel M. Gaspar, 2019. "Pulled-to-Par Returns for Zero Coupon Bonds Historical Simulation Value at Risk," Working Papers REM 2019/93, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Gopalakrishnan, Balagopal & Mohapatra, Sanket, 2019. "Insolvency Regimes and Firms' Default Risk Under Economic Uncertainty and Shocks," MPRA Paper 96283, University Library of Munich, Germany.
• Andreas Kindt, 2019. "A Framework for the optimal Development and Application of Automated Valuation Models (AVMs)," ERES eres2019_240, European Real Estate Society (ERES).
• Kyle Dempsey & Felicia Ionescu, 2019. "Lending Standards and Consumption Insurance over the Business Cycle," 2019 Meeting Papers 1428, Society for Economic Dynamics.