Report NEP-RMG-2019-12-09

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:

• Vaclav Broz & Evzen Kocenda, 2019. "Mortgage-Related Bank Penalties and Systemic Risk Among U.S. Banks," Working Papers IES 2019/25, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2019.
• Jozef Baruník & Matěj Nevrla, 2019. "Tail Risks, Asset Prices, and Investment Horizons," Working Papers IES 2019/10, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2019.
• Barbora Máková, 2019. "Bank-Sourced Transition Matrices: Are Banks' Internal Credit Risk Estimates Markovian?," Working Papers IES 2019/3, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Mar 2019.
• Eduardo Abi Jaber, 2020. "The Laplace transform of the integrated Volterra Wishart process," Working Papers hal-02367200, HAL.
• Xiao, Tim, 2018. "Incremental Risk Charge Methodology," SocArXiv y43dx, Center for Open Science.
• Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," arabixiv.org 86xhw, Center for Open Science.
• Lerby Ergun, 2019. "Extreme Downside Risk in Asset Returns," Staff Working Papers 19-46, Bank of Canada.
• Pancost, N. Aaron & Robatto, Roberto, 2019. "The effects of capital requirements on good and bad risk-taking," ESRB Working Paper Series 104, European Systemic Risk Board.
• Sheikh Rabiul Islam & William Eberle & Sheikh K. Ghafoor & Sid C. Bundy & Douglas A. Talbert & Ambareen Siraj, 2019. "Investigating bankruptcy prediction models in the presence of extreme class imbalance and multiple stages of economy," Papers 1911.09858, arXiv.org.
• Yurchenko, Yurii, 2019. "The impact of macroeconomic factors on collateral value within the framework of expected credit loss calculation," MPRA Paper 97135, University Library of Munich, Germany.
• Gruener, Sven & Hirschauer, Norbert & Krüger, Felix, 2018. "Eliciting individual risk attitudes – different procedures, different findings," SocArXiv 7bwyq, Center for Open Science.
• Tzougas, George & Hoon, W. L. & Lim, J. M., 2019. "The negative binomial-inverse Gaussian regression model with an application to insurance ratemaking," LSE Research Online Documents on Economics 101728, London School of Economics and Political Science, LSE Library.
• Xiao, Tim, 2018. "An Economic Examination of Collateralization in Different Financial Markets," SocArXiv zw6xq, Center for Open Science.
• Dominika Kolcunová & Simona Malovaná, 2019. "The Effect of Higher Capital Requirements on Bank Lending: The Capital Surplus Matters," Working Papers IES 2019/5, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2019.
• Grozavu, Adrian & MIHAI, Florin Constantin, 2018. "Environmental Risks between Conceptualization and Action," SocArXiv 9t6mw, Center for Open Science.
• Moura, Guilherme V. & Santos, André A. P., 2019. "Comparing Forecasts of Extremely Large Conditional Covariance Matrices," DES - Working Papers. Statistics and Econometrics. WS 29291, Universidad Carlos III de Madrid. Departamento de Estadística.
• Shiyi Wang, 2019. "Capital Flow Volatility: The Effects of Financial Development and Global Financial Conditions," 2019 Papers pwa945, Job Market Papers.
• Yulia V. Milshina & Daria A. Pavlova & Konstantin O. Vishnevskiy, 2019. "Forecasting The Industry Future Through Timelines And Wild Cards: The Case Of Textile And Apparel Industry," HSE Working papers WP BRP 105/STI/2019, National Research University Higher School of Economics.
• Iqbal, Muhammad & Ullah, Raza & Abbas, Azhar & Afil, Sultan & Sadaf, Tahira, 2018. "Proceedings: 2nd International Conference on Food and Agricultural Economics: ASSESSING FARM RISK MANAGEMENT DECISION: DETERMINANTS AND METHODOLOGICAL APPROACHES," 2nd International Conference on Food and Agricultural Economics, April 27-28, 2018, Alanya, Turkey 296704, International Conference on Food and Agricultural Economics.