Report NEP-RMG-2019-12-23

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:

• Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019. "Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach," Working Papers of BETA 2019-43, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Seixas, Mário & Barbosa, António, 2019. "Optimal Value-at-Risk Disclosure," MPRA Paper 97526, University Library of Munich, Germany.
• Anna Denkowska & Stanis{l}aw Wanat, 2019. "A Dynamic MST- deltaCovar Model Of Systemic Risk In The European Insurance Sector," Papers 1912.05641, arXiv.org.
• Toni Ahnert & Martin Kuncl, 2019. "Loan Insurance, Market Liquidity, and Lending Standards," Staff Working Papers 19-47, Bank of Canada.
• Sebastien Valeyre & Denis S Grebenkov & Sofiane Aboura, 2019. "Emergence of correlations between securities at short time scales," Post-Print hal-02343888, HAL.
• Michael B. Giles & Abdul-Lateef Haji-Ali, 2019. "Sub-sampling and other considerations for efficient risk estimation in large portfolios," Papers 1912.05484, arXiv.org, revised Apr 2022.
• Petteri Piiroinen & Lassi Roininen & Martin Simon, 2019. "Brexit Risk Implied by the SABR Martingale Defect in the EUR-GBP Smile," Papers 1912.05773, arXiv.org, revised Mar 2020.
• David Alary & Franck Bien, 2019. "Optimal insurance with adverse selection and comonotonic background risk," Working Papers hal-02390017, HAL.
• Jan Bierlant & Sven Buitendag & Eustasio Del Barrio & Marc Hallin, 2019. "Center-Outward Quantiles And The Measurement Of Multivariate Risk," Working Papers ECARES 2019-30, ULB -- Universite Libre de Bruxelles.
• Hui Chen & Winston Wei Dou & Leonid Kogan, 2019. "Measuring “Dark Matter” in Asset Pricing Models," NBER Working Papers 26418, National Bureau of Economic Research, Inc.
• Burns, Christopher, 2019. "Growth of Large Farms and Financial Risk in U.S. Agriculture," Agricultural Outlook Forum 2019 296833, United States Department of Agriculture, Agricultural Outlook Forum, USDA Office of the Chief Economist.
• International Monetary Fund, 2019. "Malta; Financial Sector Assessment Program-Technical Note-Risk Analysis," IMF Staff Country Reports 19/350, International Monetary Fund.
• International Monetary Fund, 2019. "Malta; Financial Sector Assessment Program-Technical Note-Insurance and Securities Sector Supervision," IMF Staff Country Reports 19/348, International Monetary Fund.
• Razak, Nurlaely & Sjahruddin, Herman & Astuti, Niken Probondani & Syakhrun, A. Muh., 2017. "Pengaruh Kecukupan Modal dan Penyaluran Kredit Terhadap Profitabilitas Perbankan," INA-Rxiv pcr95, Center for Open Science.
• Johannes G. Jaspersen & Marc A. Ragin & Justin R. Sydnor, 2019. "Predicting Insurance Demand from Risk Attitudes," NBER Working Papers 26508, National Bureau of Economic Research, Inc.
• Barbe, Martin, 2019. "The Role of Crop Insurance in Agricultural Risk Mitigation," Agricultural Outlook Forum 2019 296834, United States Department of Agriculture, Agricultural Outlook Forum, USDA Office of the Chief Economist.
• International Monetary Fund, 2019. "Ukraine; Technical Assistance Report-Fiscal Decentralization and Legal Framework for Fiscal Risk Management and Medium-term Budgeting," IMF Staff Country Reports 19/351, International Monetary Fund.
• Alam, Md. Mahmudul & Uddin, Gazi Salah, 2019. "The Impacts of Interest Rate on Stock Market: Empirical Evidence from Dhaka Stock Exchange," OSF Preprints r3jpx, Center for Open Science.
• International Monetary Fund, 2019. "Ukraine; Technical Assistance Report-Medium-Term Budget Framework and Fiscal Risk Statement," IMF Staff Country Reports 19/342, International Monetary Fund.
• Burrell, Hamish & Vespignani, Joaquin, 2019. "The industrial impact of economic uncertainty shocks in Australia," Working Papers 2019-08, University of Tasmania, Tasmanian School of Business and Economics.
• Setyawati, Irma, 2017. "Dampak Penerbitan Dan Penjualan Surat Utang Negara Bagi Perekonomian Indonesia," INA-Rxiv s2r8f, Center for Open Science.
• Setyawati, Irma & Alamsyah, Doni Purnama, 2017. "Analysis Of The Effect Of Capital Adequacy Ratio, Loan To Deposit Ratio, And Statutory Reserves To Net Profit Before Taxes, In Pt Bank Mandiri, Tbk," INA-Rxiv c6478, Center for Open Science.