Report NEP-RMG-2020-06-15

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:

• Claude Lefèvre & Stéphane Loisel & Pierre Montesinos, 2020. "Bounding basis risk using s-convex orders on Beta-unimodal distributions," Working Papers hal-02611208, HAL.
• Gomez-Gonzalez, Jose Eduardo & Hirs-Garzon, Jorge & Uribe, Jorge M., 2020. "Spillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial markets," Working papers 46, Red Investigadores de Economía.
• Vsevolod Malinovskii, 2020. "Value-at-Risk substitute for non-ruin capital is fallacious and redundant," Papers 2005.05428, arXiv.org.
• Weidong Tian & Zimu Zhu, 2020. "A Portfolio Choice Problem Under Risk Capacity Constraint," Papers 2005.13741, arXiv.org, revised Dec 2021.
• Alexandra de Jong & Alin Draghiciu & Linda Fache Rousová & Alessandro Fontana & Elisa Letizia, 2019. "Impact of Variation Margining on EU Insurers’ Liquidity: An Analysis of Interest Rate Swaps Positions," EIOPA Financial Stability Report - Thematic Articles 16, EIOPA, Risks and Financial Stability Department.
• Julia Darby & Jun Gao & Siobhan Lucey & Sheng Zhu, 2019. "Is heightened political uncertainty priced in stock returns? Evidence from the 2014 Scottish independence referendum," Working Papers 1913, University of Strathclyde Business School, Department of Economics.
• Bruno Bouchard & Adil Reghai & Benjamin Virrion, 2020. "Computation of Expected Shortfall by fast detection of worst scenarios," Working Papers hal-02619589, HAL.
• Zihao Zhang & Stefan Zohren & Stephen Roberts, 2020. "Deep Learning for Portfolio Optimization," Papers 2005.13665, arXiv.org, revised Jan 2021.
• Andrea Carriero & Todd E. Clark & Marcellino Massimiliano, 2020. "Nowcasting Tail Risks to Economic Activity with Many Indicators," Working Papers 20-13R2, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
• Item repec:wrk:wrkemf:32 is not listed on IDEAS anymore

• Jannic Cutura & Gianpaolo Parise & Andreas Schrimpf, 2020. "Debt De-risking," BIS Working Papers 868, Bank for International Settlements.
• Raymond Fisman & April Knill & Sergey Mityakov & Margarita Portnykh, 2020. "Political Beta," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-342, Boston University - Department of Economics.
• Masato Hisakado & Shintaro Mori, 2020. "Parameter estimation of default portfolios using the Merton model and Phase transition," Papers 2005.07967, arXiv.org.
• Afees A. Salisu & Rangan Gupta & Elie Bouri & Qiang Ji, 2020. "The Role of Global Economic Conditions in Forecasting Gold Market Volatility: Evidence from a GARCH-MIDAS Approach," Working Papers 202043, University of Pretoria, Department of Economics.
• Yuri F. Saporito, 2020. "Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: a Malliavin Representation," Papers 2005.04297, arXiv.org.
• Van Bekkum, Sjoerd & Gabarró, Marc & Irani, Rustom & Peydró, José-Luis, 2019. "Take It to the Limit? The Effects of Household Leverage Caps," EconStor Preprints 216797, ZBW - Leibniz Information Centre for Economics.
• Konstantinos Angelopoulos & Spyridon Lazarakis & James Malley, 2019. "Cyclical income risk in Great Britain," Working Papers 2019-03, Business School - Economics, University of Glasgow.
• Bert Loudis & Daniel Nguyen & Carlo Wix, 2020. "Analyzing the Community Bank Leverage Ratio," FEDS Notes 2020-05-26-1, Board of Governors of the Federal Reserve System (U.S.).
• Thibaut Duprey, 2020. "Canadian Financial Stress and Macroeconomic Conditions," Discussion Papers 2020-4, Bank of Canada.
• Claudio Michelacci & Luigi Paciello, 2020. "Aggregate Risk or Aggregate Uncertainty? Evidence from UK Households," EIEF Working Papers Series 2006, Einaudi Institute for Economics and Finance (EIEF), revised Apr 2020.
• Bonciani, Dario & Ricci, Martino, 2020. "The global effects of global risk and uncertainty," Bank of England working papers 863, Bank of England.
• Brice Corgnet & Camille Cornand & Nobuyuki Hanaki, 2020. "Tail events, emotions and risk taking," Working Papers halshs-02613344, HAL.
• Elena Carletti & Tommaso Oliviero & Marco Pagano & Loriana Pelizzon & Marti G. Subrahmanyam, 2020. "The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy," CSEF Working Papers 566, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 20 Jul 2020.
• Christian Dehm & Thai Nguyen & Mitja Stadje, 2020. "Non-concave expected utility optimization with uncertain time horizon," Papers 2005.13831, arXiv.org, revised Oct 2021.
• Agar Brugiavini & Raluca Elena Buia & Matija Kovacic & Cristina Elisa Orso, 2020. "Adverse childhood experiences and risk behaviours later in life: Evidence from SHARE countries," Working Papers 2020:08, Department of Economics, University of Venice "Ca' Foscari".
• Ian M. Trotter & Lu'is A. C. Schmidt & Bruno C. M. Pinto & Andrezza L. Batista & J'essica Pellenz & Maritza Isidro & Aline Rodrigues & Attawan G. S. Suela & Loredany Rodrigues, 2020. "COVID-19 and Global Economic Growth: Policy Simulations with a Pandemic-Enabled Neoclassical Growth Model," Papers 2005.13722, arXiv.org, revised Jun 2020.
• International Monetary Fund, 2020. "Benin: Sixth Review under the Extended Credit Facility Arrangement, and Request for Augmentation of Access-Press Release; Staff Report; and Statement by the Executive Director for Benin," IMF Staff Country Reports 2020/175, International Monetary Fund.