Report NEP-RMG-2020-05-11

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:

• Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver -- A neural network based counterparty credit risk management framework," Papers 2005.02633, arXiv.org, revised Dec 2022.
• Takaaki Koike & Marius Hofert, 2020. "Modality for Scenario Analysis and Maximum Likelihood Allocation," Papers 2005.02950, arXiv.org, revised Nov 2020.
• Brian Huge & Antoine Savine, 2020. "Differential Machine Learning," Papers 2005.02347, arXiv.org, revised Sep 2020.
• Sergio A. Correia & Kevin F. Kiernan & Matthew P. Seay & Cindy M. Vojtech, 2020. "Primer on the Forward-Looking Analysis of Risk Events (FLARE) Model: A Top-Down Stress Test Model," Finance and Economics Discussion Series 2020-015, Board of Governors of the Federal Reserve System (U.S.).
• Jager, Maximilian & Siemsen, Thomas & Vilsmeier, Johannes, 2020. "Interbank risk assessment: A simulation approach," Discussion Papers 23/2020, Deutsche Bundesbank.
• Marco Migueis, 2020. "Regulatory Arbitrage in the Use of Insurance in the New Standardized Approach for Operational Risk Capital," FEDS Notes 2020-03-30, Board of Governors of the Federal Reserve System (U.S.).
• Piero Mazzarisi & Silvia Zaoli & Carlo Campajola & Fabrizio Lillo, 2020. "Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages," Papers 2005.01160, arXiv.org, revised May 2021.
• Christa Cuchiero & Wahid Khosrawi & Josef Teichmann, 2020. "A generative adversarial network approach to calibration of local stochastic volatility models," Papers 2005.02505, arXiv.org, revised Sep 2020.
• Stefanie Behncke, 2020. "Effects of macroprudential policies on bank lending and credit risks," Working Papers 2020-06, Swiss National Bank.
• Lucio Fernandez-Arjona, 2020. "A neural network model for solvency calculations in life insurance," Papers 2005.02318, arXiv.org.
• Ahnert, Lukas & Vogt, Pascal & Vonhoff, Volker & Weigert, Florian, 2020. "Regulatory stress testing and bank performance," CFR Working Papers 20-03, University of Cologne, Centre for Financial Research (CFR).
• Lucio Fernandez Arjona & Damir Filipović, 2020. "A machine learning approach to portfolio pricing and risk management for high-dimensional problems," Swiss Finance Institute Research Paper Series 20-28, Swiss Finance Institute.
• Ros, Greg, 2020. "The making of a cyber crash: a conceptual model for systemic risk in the financial sector," ESRB Occasional Paper Series 16, European Systemic Risk Board.
• Arjun Prakash & Nick James & Max Menzies & Gilad Francis, 2020. "Structural clustering of volatility regimes for dynamic trading strategies," Papers 2004.09963, arXiv.org, revised Nov 2021.
• Dinghai Xu, 2020. "Canadian Stock Market Volatility under COVID-19," Working Papers 2001, University of Waterloo, Department of Economics, revised May 2020.
• Michael Nwogugu, 2020. "Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences," Papers 2005.01709, arXiv.org.
• Lucio Fernandez-Arjona & Damir Filipovi'c, 2020. "A machine learning approach to portfolio pricing and risk management for high-dimensional problems," Papers 2004.14149, arXiv.org, revised May 2022.
• Alan L. Lewis, 2020. "US Equity Risk Premiums during the COVID-19 Pandemic," Papers 2004.13871, arXiv.org.
• Svetlana Litvinova & Mervyn J. Silvapulle, 2020. "Consistency of full-sample bootstrap for estimating high-quantile, tail probability, and tail index," Monash Econometrics and Business Statistics Working Papers 15/20, Monash University, Department of Econometrics and Business Statistics.
• Tian Guo & Nicolas Jamet & Valentin Betrix & Louis-Alexandre Piquet & Emmanuel Hauptmann, 2020. "ESG2Risk: A Deep Learning Framework from ESG News to Stock Volatility Prediction," Papers 2005.02527, arXiv.org.
• Kim, Jihyun & Park, Joon & Wang, Bin, 2020. "Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments," TSE Working Papers 20-1096, Toulouse School of Economics (TSE).
• Johannes Ruf & Weiguan Wang, 2020. "Hedging with Linear Regressions and Neural Networks," Papers 2004.08891, arXiv.org, revised Jun 2021.
• J. Su & Q. Zhong, 2020. "Stocks Vote with Their Feet: Can a Piece of Paper Document Fights the COVID-19 Pandemic?," Papers 2005.02034, arXiv.org.
• Naji Massad & J{o}rgen Vitting Andersen, 2020. "Defining an intrinsic stickiness parameter of stock price returns," Papers 2005.02351, arXiv.org.
• Alexander Arimond & Damian Borth & Andreas Hoepner & Michael Klawunn & Stefan Weisheit, 2020. "Neural Networks and Value at Risk," Papers 2005.01686, arXiv.org, revised May 2020.
• Chung-Han Hsieh, 2020. "On Feedback Control in Kelly Betting: An Approximation Approach," Papers 2004.14048, arXiv.org, revised May 2020.
• Jarrow, Robert A. & Kwok, Simon S., 2020. "Inferring Financial Bubbles from Option Data," Working Papers 2020-04, University of Sydney, School of Economics, revised Jun 2021.
• Christine Laudenbach & Benjamin Loos & Jenny Pirschl & Johannes Wohlfart, 2020. "The Trading Response of Individual Investors to Local Bankruptcies," CEBI working paper series 20-08, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
• Wenzhi Ding & Ross Levine & Chen Lin & Wensi Xie, 2020. "Corporate Immunity to the COVID-19 Pandemic," NBER Working Papers 27055, National Bureau of Economic Research, Inc.
• Berardino Palazzo & Jie Yang, 2019. "Spike in 2019Q1 Leverage Ratios: The Impact of Operating Leases," FEDS Notes 2019-12-13-2, Board of Governors of the Federal Reserve System (U.S.).
• Vishwas Kukreti & Hirdesh K. Pharasi & Priya Gupta & Sunil Kumar, 2020. "A perspective on correlation-based financial networks and entropy measures," Papers 2004.09448, arXiv.org.
• Humayra Shoshi & Indranil SenGupta, 2020. "Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model," Papers 2004.14862, arXiv.org, revised Feb 2021.