Report NEP-RMG-2020-03-23

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:

• Vaclav Broz & Evzen Kocenda, 2020. "Mortgage-related bank penalties and systemic risk among U.S. banks," KIER Working Papers 1024, Kyoto University, Institute of Economic Research.
• Ying-Ying Shen & Zhi-Qiang Jiang & Jun-Chao Ma & Gang-Jin Wang & Wei-Xing Zhou, 2020. "Sector connectedness in the Chinese stock markets," Papers 2002.09097, arXiv.org.
• Stefan Ankirchner & Christophette Blanchet-Scalliet & Nabil Kazi-Tani, 2019. "The De Vylder-Goovaerts conjecture holds true within the diffusion limit," Post-Print hal-01887402, HAL.
• Yulong Wang & Zhijie Xiao, 2020. "Estimation and Inference about Tail Features with Tail Censored Data," Papers 2002.09982, arXiv.org.
• Elie Bouri & Rangan Gupta, 2020. "Jumps in Energy and Non-Energy Commodities," Working Papers 202018, University of Pretoria, Department of Economics.
• John C. Williams, 2020. "The Economic Outlook," Speech 87592, Federal Reserve Bank of New York.
• Lemus, Antonio & Nuñez, Marco, 2020. "Pruebas de tensión bancaria: experiencia en los principales mercados financieros del mundo y en Chile [Bank stress tests: evidence from the main financial markets and Chile]," MPRA Paper 99097, University Library of Munich, Germany.
• Lucrezia Reichlin & Giovanni Ricco & Thomas Hasenzagl, 2020. "Financial Variables as Predictors of Real Growth Vulnerability," Documents de Travail de l'OFCE 2020-06, Observatoire Francais des Conjonctures Economiques (OFCE).
• Nian Yao & Zhiqiu Li & Zhichao Ling & Junfeng Lin, 2020. "Asymptotic Smiles for an Affine Jump-Diffusion Model," Papers 2003.00334, arXiv.org, revised May 2020.
• Walter Cuba, 2020. "Does Leverage Predict Delinquency in Consumer Lending? Evidence from Peru," IHEID Working Papers 05-2020, Economics Section, The Graduate Institute of International Studies.
• Elie Bouri & Rangan Gupta & Xuan Vinh Vo, 2020. "Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin," Working Papers 202015, University of Pretoria, Department of Economics.
• Moustapha Daouda Dala & Isabelle Distinguin & Alain Sauviat, 2020. "What is the information value of bank's stress tests? An investigation using banks' bond split ratings," Working Papers hal-02475512, HAL.
• Ben Moews & Gbenga Ibikunle, 2020. "Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning," Papers 2002.10385, arXiv.org.
• Huang, Bihong & Punzi, Maria Teresa & Wu, Yu, 2019. "Do Banks Price Environmental Risk? Evidence from a Quasi Natural Experiment in the People’s Republic of China," ADBI Working Papers 974, Asian Development Bank Institute.
• Ryo Kato & Takayuki Tsuruga, 2020. "Pecuniary Externalities, Bank Overleverage, and Macroeconomic Fragility," ISER Discussion Paper 1078, Institute of Social and Economic Research, Osaka University.
• Barbora Malinska, 2020. "Time-Varying Pricing of Risk in Sovereign Bond Futures Returns," Working Papers IES 2020/7, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Mar 2020.
• Grzegorz Krzy.zanowski & Marcin Magdziarz, 2020. "A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model," Papers 2003.05358, arXiv.org, revised Dec 2020.
• Kristoffer Mousten Hansen, 2020. "Better than gold? A review of the Bitcoin Standard 2nd revision," Post-Print hal-02458499, HAL.
• Marijn A. Bolhuis & Brett Rayner, 2020. "The More the Merrier? A Machine Learning Algorithm for Optimal Pooling of Panel Data," IMF Working Papers 20/44, International Monetary Fund.
• Walsh,Brian James & Hallegatte,Stephane, 2019. "Measuring Natural Risks in the Philippines : Socioeconomic Resilience and Wellbeing Losses," Policy Research Working Paper Series 8723, The World Bank.
• Cangoz,Mehmet Coskun & Sulla,Olga & Wang,ChunLan & Dychala,Christopher Benjamin, 2019. "A Joint Foreign Currency Risk Management Approach for Sovereign Assets and Liabilities," Policy Research Working Paper Series 8728, The World Bank.