Report NEP-RMG-2020-02-03

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:

• Ibrahim, Omar, 2019. "Modelling Risk on the Egyptian Stock Market: Evidence from a Markov-Regime Switching GARCH Process," MPRA Paper 98091, University Library of Munich, Germany.
• Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019. "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series 8000, CESifo.
• Hamed Amini & Damir Filipović & Andreea Minca, 2020. "Systemic Risk in Networks with a Central Node," Swiss Finance Institute Research Paper Series 20-04, Swiss Finance Institute.
• Alev Meral, 2019. "Comparison of various risk measures for an optimal portfolio," Papers 1912.09573, arXiv.org.
• Hyun Hak Kim & Hosung Jung, 2019. "Systemic Risk of the Consumer Credit Network across Financial Institutions," Working Papers 2019-23, Economic Research Institute, Bank of Korea.
• Julia Eisenberg & Zbigniew Palmowski, 2020. "Optimal Dividends Paid in a Foreign Currency for a L\'evy Insurance Risk Model," Papers 2001.03733, arXiv.org.
• Mahkameh Zarekarizi & Vivek Srikrishnan & Klaus Keller, 2020. "Neglecting Uncertainties Biases House-Elevation Decisions to Manage Riverine Flood Risks," Papers 2001.06457, arXiv.org, revised Sep 2020.
• Simona Malovana & Zaneta Tesarova, 2019. "Banks' Credit Losses and Provisioning over the Business Cycle: Implications for IFRS 9," Working Papers 2019/4, Czech National Bank.
• Mark Kiermayer & Christian Wei{ss}, 2019. "Grouping of Contracts in Insurance using Neural Networks," Papers 1912.09964, arXiv.org.
• Vlastakis, Nikolaos & Triantafyllou, Athanasios & Kellard, Neil, 2020. "Oil price uncertainty as a predictor of stock market volatility," Essex Finance Centre Working Papers 26566, University of Essex, Essex Business School.
• Angela Rita Provenzano & Daniele Trifir`o & Nicola Jean & Giacomo Le Pera & Maurizio Spadaccino & Luca Massaron & Claudio Nordio, 2019. "An Artificial Intelligence approach to Shadow Rating," Papers 1912.09764, arXiv.org.
• Jinwoo Park, 2020. "Clustering Approaches for Global Minimum Variance Portfolio," Papers 2001.02966, arXiv.org, revised Apr 2020.
• Ofelia Bonesini & Antoine Jacquier & Chloe Lacombe, 2020. "A theoretical analysis of Guyon's toy volatility model," Papers 2001.05248, arXiv.org, revised Nov 2022.
• Bluwstein, Kristina & Buckmann, Marcus & Joseph, Andreas & Kang, Miao & Kapadia, Sujit & Simsek, Özgür, 2020. "Credit growth, the yield curve and financial crisis prediction: evidence from a machine learning approach," Bank of England working papers 848, Bank of England.
• Niknamian, Sorush, 2019. "Discovering Hidden Patterns in Loan Reimbursement," OSF Preprints qm8hb, Center for Open Science.
• Walter Bossert & Conchita D'Ambrosio & Kohei Kamaga, 2020. "Extreme values, means, and inequality measurement," DSSR Discussion Papers 106, Graduate School of Economics and Management, Tohoku University.
• Sabiou M. Inoua, 2019. "News-Driven Expectations and Volatility Clustering," Working Papers 19-33, Chapman University, Economic Science Institute.
• Helena Chuliá & Jorge M. Uribe, 2019. "“Expected, Unexpected, Good and Bad Uncertainty"," IREA Working Papers 201919, University of Barcelona, Research Institute of Applied Economics, revised Nov 2019.