Report NEP-RMG-2020-03-30

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.

Other reports in NEP-RMG

The following items were announced in this report:

• Thomas J.Flavin & Mardi Dungey & Thomas O'Connor & Michael Wosser, 2020. "Industrial firms and systemic risk," Economics Department Working Paper Series n298-20.pdf, Department of Economics, National University of Ireland - Maynooth.
• Liu,Jinjing, 2019. "A New Tail-Based Correlation Measure and Its Application in Global Equity Markets," Policy Research Working Paper Series 8709, The World Bank.
• Osman Gulseven & Kasirga Yildirak, 2020. "Indemnity Payments in Agricultural Insurance: Risk Exposure of EU States," Papers 2003.05726, arXiv.org.
• Raphael A Espinoza & Miguel A. Segoviano & Ji Yan, 2020. "Systemic Risk Modeling: How Theory Can Meet Statistics," IMF Working Papers 20/54, International Monetary Fund.
• Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications," CFR Working Papers 20-01, University of Cologne, Centre for Financial Research (CFR).
• Cheng Cai & Tiziano De Angelis & Jan Palczewski, 2020. "Optimal hedging of a perpetual American put with a single trade," Papers 2003.06249, arXiv.org, revised Sep 2020.
• Alexander J. McNeil, 2020. "Modelling volatile time series with v-transforms and copulas," Papers 2002.10135, arXiv.org, revised Jan 2021.
• Raphaël Douady, 2019. "Managing the Downside of Active and Passive Strategies: Convexity and Fragilities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02488589, HAL.
• Kiss, Tamás & Österholm, Pär, 2020. "Corona, Crisis and Conditional Heteroscedasticity," Working Papers 2020:2, Örebro University, School of Business.
• Marcelo Brutti Righi & Marlon Ruoso Moresco, 2020. "Inf-convolution and optimal risk sharing with countable sets of risk measures," Papers 2003.05797, arXiv.org, revised Mar 2022.
• Reichlin, Lucrezia & Ricco, Giovanni & Hasenzagl, Thomas, 2020. "Financial variables as predictors of real growth vulnerability," Discussion Papers 05/2020, Deutsche Bundesbank.
• Claudiu Albulescu & Aviral Tiwari & Qiang Ji, 2020. "Copula-based local dependence between energy, agriculture and metal commodity markets," Papers 2003.04007, arXiv.org.
• Ralph Chami & Thomas F. Cosimano & Celine Rochon & Julieta Yung, 2020. "Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment," IMF Working Papers 20/53, International Monetary Fund.
• Xingxing Ye & Raphaël Douady, 2019. "Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02488592, HAL.
• Thomas R. Cook & Taeyoung Doh, 2019. "Assessing Macroeconomic Tail Risks in a Data-Rich Environment," Research Working Paper RWP 19-12, Federal Reserve Bank of Kansas City.
• Claudiu Tiberiu Albulescu & Aviral Kumar Tiwari & Qiang Ji, 2020. "Copula-based local dependence among energy, agriculture and metal commodities markets," Working Papers hal-02501815, HAL.
• Walther, Ansgar, 2020. "Financial policy in an exuberant world," Working Paper Series 2380, European Central Bank.
• Shane Barratt & Jonathan Tuck & Stephen Boyd, 2020. "Convex Optimization Over Risk-Neutral Probabilities," Papers 2003.02878, arXiv.org.
• Item repec:hal:wpaper:hal-02506848 is not listed on IDEAS anymore

• Christian Bongiorno & Damien Challet, 2020. "Covariance matrix filtering with bootstrapped hierarchies," Papers 2003.05807, arXiv.org.
• Taurai Muvunza, 2020. "An $\alpha$-Stable Approach to Modelling Highly Speculative Assets and Cryptocurrencies," Papers 2002.09881, arXiv.org, revised Jul 2023.
• Claudiu Tiberiu Albulescu, 2020. "Coronavirus and financial volatility: 40 days of fasting and fear," Working Papers hal-02501814, HAL.
• Hirdesh K. Pharasi & Eduard Seligman & Thomas H. Seligman, 2020. "Market states: A new understanding," Papers 2003.07058, arXiv.org, revised Nov 2020.
• Paolo Mauro & Jing Zhou, 2020. "r minus g negative: Can We Sleep More Soundly?," IMF Working Papers 20/52, International Monetary Fund.
• Boot, Arnoud W. A. & Carletti, Elena & Kotz, Hans-Helmut & Krahnen, Jan Pieter & Pelizzon, Loriana & Subrahmanyam, Marti G., 2020. "Corona and financial stability 2.0: Act jointly now, but also think about tomorrow," SAFE Policy Letters 79, Leibniz Institute for Financial Research SAFE.
• Edge, Rochelle M. & Liang, Jean Nellie, 2020. "Financial stability committees and the countercyclical capital buffer," Discussion Papers 04/2020, Deutsche Bundesbank.
• Flagmeier, Vanessa & Gawehn, Vanessa, 2020. "Do investors care about tax disclosure?," arqus Discussion Papers in Quantitative Tax Research 254, arqus - Arbeitskreis Quantitative Steuerlehre.
• Perez-Quiros, Gabriel & Rots, Eyno & Leiva-Leon, Danilo, 2020. "Real-time weakness of the global economy: a first assessment of the coronavirus crisis," Working Paper Series 2381, European Central Bank.
• Patrick Bolton & Ye Li & Neng Wang & Jinqiang Yang, 2020. "Dynamic Banking and the Value of Deposits," NBER Working Papers 26802, National Bureau of Economic Research, Inc.
• Masaaki Fukasawa, 2020. "Volatility has to be rough," Papers 2002.09215, arXiv.org.
• Shan Luo & Anthony Murphy, 2020. "Understanding the Exposure at Default Risk of Commercial Real Estate Construction and Land Development Loans," Working Papers 2007, Federal Reserve Bank of Dallas.
• Jose Cruz & Daniel Sevcovic, 2020. "On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models," Papers 2003.03851, arXiv.org.