Report NEP-RMG-2020-01-13

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, or Bluesky.

Other reports in NEP-RMG

The following items were announced in this report:

• Muteba Mwamba, John Weirstrass & Tchuinkam Djemo, Charles Raoul, 2019. "Exchange Rate Risk and International Equity Portfolio Diversification: A South African Investor’s Perspective," MPRA Paper 97338, University Library of Munich, Germany.
• Andreas A. Jobst & Hiroko Oura, 2019. "Sovereign Risk in Macroprudential Solvency Stress Testing," IMF Working Papers 19/266, International Monetary Fund.
• Marcel Brautigam & Marie Kratz, 2020. "The Impact of the Choice of Risk and Dispersion Measure on Procyclicality," Papers 2001.00529, arXiv.org.
• Mirko Moscatelli & Simone Narizzano & Fabio Parlapiano & Gianluca Viggiano, 2019. "Corporate default forecasting with machine learning," Temi di discussione (Economic working papers) 1256, Bank of Italy, Economic Research and International Relations Area.
• Abootaleb Shirvani & Frank J. Fabozzi & Stoyan V. Stoyanov, 2020. "Option Pricing in an Investment Risk-Return Setting," Papers 2001.00737, arXiv.org.
• Chengyu Huang & Sean Simpson & Daria Ulybina & Agustin Roitman, 2019. "News-based Sentiment Indicators," IMF Working Papers 19/273, International Monetary Fund.
• Leonardo Massai & Giacomo Como & Fabio Fagnani, 2019. "Equilibria and Systemic Risk in Saturated Networks," Papers 1912.04815, arXiv.org, revised Jan 2021.
• Nikil Chande & Dennis Yanchus, 2019. "The Cyber Incident Landscape," Staff Analytical Notes 2019-32, Bank of Canada.
• Aditya Maheshwari & Traian Pirvu, 2019. "Portfolio Optimization under Correlation Constraint," Papers 1912.12521, arXiv.org.
• Anand Deo & Sandeep Juneja, 2019. "Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator," Papers 1912.12611, arXiv.org.
• Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
• Muteba Mwamba, John Weirstrass & Mhlophe, Bongani, 2019. "Modelling Asset Correlations of Revolving Loan Defaults in South Africa," MPRA Paper 97340, University Library of Munich, Germany.
• Yang Lu, 2018. "Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing, and Forecasting," Post-Print halshs-02418950, HAL.
• Giuliana, Raffaele, 2019. "Have First-Time Buyers continued to default less?," Financial Stability Notes 14/FS/19, Central Bank of Ireland.
• Bräuning, Michael & Malikkidou, Despo & Scricco, Giorgio & Scalone, Stefano, 2019. "A new approach to Early Warning Systems for small European banks," Working Paper Series 2348, European Central Bank.
• Saki Bigio & Adrien d'Avernas, 2019. "Financial Risk Capacity," NBER Working Papers 26561, National Bureau of Economic Research, Inc.
• Luigi Guiso & Luigi Pistaferri, 2020. "The insurance role of the firm," EIEF Working Papers Series 2001, Einaudi Institute for Economics and Finance (EIEF), revised Jan 2020.