Report NEP-RMG-2020-05-18

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:

• Kei Nakagawa & Shuhei Noma & Masaya Abe, 2020. "RM-CVaR: Regularized Multiple $\beta$-CVaR Portfolio," Papers 2004.13347, arXiv.org, revised May 2020.
• Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel Felix Ahelegbey & Paolo Giudici, 2020. "Tail Risk Transmission: A Study of Iran Food Industry," DEM Working Papers Series 189, University of Pavia, Department of Economics and Management.
• Lundström, Christian, 2020. "On the Profitability of Momentum Strategies and Optimal Leverage Rules," Umeå Economic Studies 974, Umeå University, Department of Economics.
• Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020. "A dynamic conditional approach to portfolio weights forecasting," Papers 2004.12400, arXiv.org.
• Takaaki Koike & Yuri F. Saporito & Rodrigo S. Targino, 2020. "Avoiding zero probability events when computing Value at Risk contributions," Papers 2004.13235, arXiv.org, revised Jun 2022.
• Antoine Bommier & Daniel Harenberg & François Le Grand & Cormac O'Dea, 2020. "Recursive Preferences, the Value of Life, and Household Finance," Cowles Foundation Discussion Papers 2231, Cowles Foundation for Research in Economics, Yale University.
• Papadamou, Stephanos & Fassas, Athanasios & Kenourgios, Dimitris & Dimitriou, Dimitrios, 2020. "Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis," MPRA Paper 100020, University Library of Munich, Germany.
• Daniel Felix Ahelegbey & Paolo Giudici, 2020. "Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises," DEM Working Papers Series 188, University of Pavia, Department of Economics and Management.
• Christos Bouras & Christina Christou & Rangan Gupta & Keagile Lesame, 2020. "Forecasting State- and MSA-Level Housing Returns of the US: The Role of Mortgage Default Risks," Working Papers 202037, University of Pretoria, Department of Economics.
• Boyan Jovanovic & Sai Ma, 2020. "Uncertainty and Growth Disasters," International Finance Discussion Papers 1279, Board of Governors of the Federal Reserve System (U.S.).
• Rowena Crawford & Cormac O'Dea, 2020. "Household Portfolios and Financial Preparedness for Retirement," Cowles Foundation Discussion Papers 2232, Cowles Foundation for Research in Economics, Yale University.
• Thomas Krabichler & Josef Teichmann, 2020. "A constraint-based notion of illiquidity," Papers 2004.12394, arXiv.org.
• Nicolas Soenen & Rudi Vander Vennet, 2020. "ECB Monetary Policy and Bank Default Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 20/997, Ghent University, Faculty of Economics and Business Administration.
• Nieto Delfin, Maria Rosa, 2020. "Direct versus iterated multi-period Value at Risk," DES - Working Papers. Statistics and Econometrics. WS 30349, Universidad Carlos III de Madrid. Departamento de Estadística.
• Vlastakis, Nikolaos & Triantafyllou, Athanasios & Kellard, Neil, 2020. "Measuring Oil Price Shocks," Essex Finance Centre Working Papers 27498, University of Essex, Essex Business School.
• Abreu, Rafael Costa Berriel & Costa, Carlos Eugênio da, 2020. "Who should bear the risk of economic growth?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 817, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).