Report NEP-RMG-2020-03-02

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:

• Martijn Boermans & Bram van der Kroft, 2020. "Capital regulation induced reaching for systematic yield: Financial instability through fire sales," Working Papers 673, DNB.
• Umut Akovali, 2020. "Beyond Connectedness: A Covariance Decomposition based Network Risk Model," Koç University-TUSIAD Economic Research Forum Working Papers 2003, Koc University-TUSIAD Economic Research Forum.
• Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2018. "A novel multivariate risk measure: the Kendall VaR," Post-Print halshs-01467857, HAL.
• An Chen & Mitja Stadje & Fangyuan Zhang, 2020. "On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization," Papers 2002.02229, arXiv.org, revised Jun 2022.
• Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Working Papers 668, DNB.
• Andrea Deghi & Mitsuru Katagiri & Sohaib Shahid & Nico Valckx, 2020. "Predicting Downside Risks to House Prices and Macro-Financial Stability," IMF Working Papers 20/11, International Monetary Fund.
• Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2020. "Sharing of longevity basis risk in pension schemes with income-drawdown guarantees," Papers 2002.05232, arXiv.org.
• Bal'azs Gerencs'er & Mikl'os R'asonyi, 2020. "Invariant measures for multidimensional fractional stochastic volatility models," Papers 2002.04832, arXiv.org, revised Aug 2021.
• Gert Brunekreeft & Margarethe Rammerstorfer, 2020. "OPEX-risk as a source of CAPEX-bias in monopoly regulation," Bremen Energy Working Papers 0032, Bremen Energy Research.
• Grammig, Joachim & Hanenberg, Constantin & Schlag, Christian & Sönksen, Jantje, 2020. "Diverging roads: Theory-based vs. machine learning-implied stock risk premia," University of Tübingen Working Papers in Business and Economics 130, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
• Rising Odegua, 2020. "Predicting Bank Loan Default with Extreme Gradient Boosting," Papers 2002.02011, arXiv.org.
• Emanuele Ciani & Marco Gallo & Zeno Rotondi, 2020. "Public credit guarantee and financial additionalities across SME risk classes," Temi di discussione (Economic working papers) 1265, Bank of Italy, Economic Research and International Relations Area.
• Raman Kachurka & Michał Krawczyk & Joanna Rachubik, 2020. "What do lab experiments tell us about the real world? The case of lotteries with extreme payoffs," Working Papers 2020-03, Faculty of Economic Sciences, University of Warsaw.
• Lucia Esposito & Davide Fantino & Yeji Sung, 2020. "The impact of TLTRO2 on the Italian credit market: some econometric evidence," Temi di discussione (Economic working papers) 1264, Bank of Italy, Economic Research and International Relations Area.
• Zheng, Hannan & Schwenkler, Gustavo, 2020. "The network of firms implied by the news," ESRB Working Paper Series 108, European Systemic Risk Board.
• Byström, Hans, 2020. "Happiness and Gold Prices," Working Papers 2020:1, Lund University, Department of Economics.
• Iñaki Aldasoro & Leonardo Gambacorta & Paolo Giudici & Thomas Leach, 2020. "Operational and cyber risks in the financial sector," BIS Working Papers 840, Bank for International Settlements.
• Ivan Faiella & Danila Malvolti, 2020. "The climate risk for the finance in Italy," Questioni di Economia e Finanza (Occasional Papers) 545, Bank of Italy, Economic Research and International Relations Area.
• Paolo Giudici & Thomas Leach & Paolo Pagnottoni, 2020. "Libra or Librae? Basket based stablecoins to mitigate foreign exchange volatility spillovers," DEM Working Papers Series 183, University of Pavia, Department of Economics and Management.
• Delis, Manthos & Kim, Suk-Joong & Politsidis, Panagiotis & Wu, Eliza, 2020. "Regulators vs. markets: Do differences in their bank risk perceptions affect lending terms?," MPRA Paper 98548, University Library of Munich, Germany.
• Flores, Adrián & Peralta Quesada, Leda, 2020. "The enhancement of resilience to disasters and climate change in the Caribbean through the modernization of the energy sector," Studies and Perspectives – ECLAC Subregional Headquarters for The Caribbean 45098, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
• Thomas G. McGuire & Anna L. Zink & Sherri Rose, 2020. "Simplifying and Improving the Performance of Risk Adjustment Systems," NBER Working Papers 26736, National Bureau of Economic Research, Inc.