Report NEP-RMG-2020-04-20

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:

• Tomaso Aste, 2020. "Stress testing and systemic risk measures using multivariate conditional probability," Papers 2004.06420, arXiv.org, revised May 2021.
• Mpoha, Salifya & Bonga-Bonga, Lumengo, 2020. "Assessing the extent of exchange rate risk pricing in equity markets: emerging versus developed economies," MPRA Paper 99597, University Library of Munich, Germany.
• Alois Pichler & Ruben Schlotter, 2020. "Quantification of Risk in Classical Models of Finance," Papers 2004.04397, arXiv.org, revised Feb 2021.
• Giuseppe Brandi & T. Di Matteo, 2020. "A new multilayer network construction via Tensor learning," Papers 2004.05367, arXiv.org.
• Ivan Paya & David Peel & Konstantinos Georgalos, 2020. "On the Predictions of Cumulative Prospect Theory for Third and Fourth Order Preferences," Working Papers 293574809, Lancaster University Management School, Economics Department.
• Youssef Nassef, 2020. "The PCL Framework: A strategic approach to comprehensive risk management in response to climate change impacts," Papers 2004.06144, arXiv.org.
• Nassim Nicholas Taleb, 2020. "What You See and What You Don't See: The Hidden Moments of a Probability Distribution," Papers 2004.05894, arXiv.org.
• Xiaoling Tan & Jichang Zhao, 2020. "The illiquidity network of stocks in China's market crash," Papers 2004.01917, arXiv.org, revised Nov 2021.
• Scott R. Baker & Nicholas Bloom & Steven J. Davis & Kyle J. Kost & Marco C. Sammon & Tasaneeya Viratyosin, 2020. "The Unprecedented Stock Market Impact of COVID-19," NBER Working Papers 26945, National Bureau of Economic Research, Inc.
• Busch, Christopher & Ludwig, Alexander, 2020. "Higher-order income risk over the business cycle," SAFE Working Paper Series 274, Leibniz Institute for Financial Research SAFE.
• Laura Alfaro & Anusha Chari & Andrew N. Greenland & Peter K. Schott, 2020. "Aggregate and Firm-Level Stock Returns During Pandemics, in Real Time," NBER Working Papers 26950, National Bureau of Economic Research, Inc.
• Antoine Bozio & Simon Rabaté & Audrey Rain & Maxime Tô, 2019. "How should a points pension system be managed?," Post-Print halshs-02516413, HAL.
• Shi, Yun, 2020. "Timing Idiosyncratic Volatility and Dynamic Asset Allocation," SocArXiv 9kber, Center for Open Science.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2020. "Inside the Mind of a Stock Market Crash," Papers 2004.01831, arXiv.org, revised May 2020.
• Kirill S. Glavatskiy & Mikhail Prokopenko & Adrian Carro & Paul Ormerod & Michael Harre, 2020. "Explaining herding and volatility in the cyclical price dynamics of urban housing markets using a large scale agent-based model," Papers 2004.07571, arXiv.org.
• Ye-Sheen Lim & Denise Gorse, 2020. "Deep Probabilistic Modelling of Price Movements for High-Frequency Trading," Papers 2004.01498, arXiv.org.