Report NEP-RMG-2020-06-29

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:

• Nguyen, Van Phuong, 2019. "An attempt to derive the Risk Weight Function for the bank," MPRA Paper 100631, University Library of Munich, Germany.
• Zhibin Niu & Runlin Li & Junqi Wu & Dawei Cheng & Jiawan Zhang, 2020. "iConViz: Interactive Visual Exploration of the Default Contagion Risk of Networked-Guarantee Loans," Papers 2006.09542, arXiv.org, revised Aug 2020.
• T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2020. "A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting," Papers 2005.10504, arXiv.org, revised Sep 2020.
• Sergio Alvares Maffra & John Armstrong & Teemu Pennanen, 2020. "Stochastic modeling of assets and liabilities with mortality risk," Papers 2005.09974, arXiv.org.
• Monia Castellini & Vincenzo Riso, 2020. "Risk Management and Management Control System, a close relationship in process: Isomorphism in the Italian Municipalities," Working Papers 2020039, University of Ferrara, Department of Economics.
• Ioannis Anagnostou & Tiziano Squartini & Drona Kandhai & Diego Garlaschelli, 2020. "Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling," Papers 2006.03014, arXiv.org, revised Apr 2021.
• Javad Shaabani & Ali Akbar Jafari, 2020. "A New Look to Three-Factor Fama-French Regression Model using Sample Innovations," Papers 2006.02467, arXiv.org.
• Bonsoo Koo & Athanasios A. Pantelous & Yunxiao Wang, 2020. "Novel Utility-based Life Cycle Models to Optimise Income in Retirement in the Presence of Heterogeneous Preferences," Monash Econometrics and Business Statistics Working Papers 21/20, Monash University, Department of Econometrics and Business Statistics.
• International Monetary Fund, 2020. "Myanmar: Technical Assistance Report-Banking Supervision and Regulation," IMF Staff Country Reports 2020/184, International Monetary Fund.
• Perry Beider & David Torregrosa, 2020. "Federal Reinsurance for Terrorism Risk and Its Effects on the Budget: Working Paper 2020-04," Working Papers 56420, Congressional Budget Office.
• de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2020. "Valuation Risk Revalued," CEPR Discussion Papers 14588, C.E.P.R. Discussion Papers.
• Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Papers 2006.04269, arXiv.org.
• Croce, Mariano & Farroni, Paolo & Wolfskeil, Isabella, 2020. "When the Markets Get COVID: COntagion, Viruses, and Information Diffusion," CEPR Discussion Papers 14674, C.E.P.R. Discussion Papers.
• ASAOKA Shintaro, 2020. "Reserve Requirements and Bubbles," Discussion papers 20042, Research Institute of Economy, Trade and Industry (RIETI).
• Sapian, Safeza & Masih, Mansur, 2018. "Do macroeconomic factors affect the credit risk of islamic banks? evidence from Malaysia," MPRA Paper 100719, University Library of Munich, Germany.
• Taylor, Alan M. & Jordà , Ã’scar & Schularick, Moritz, 2020. "Disasters Everywhere: The Costs of Business Cycles Reconsidered," CEPR Discussion Papers 14559, C.E.P.R. Discussion Papers.