Report NEP-RMG-2020-07-20

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:

• Wei Wang & Huifu Xu & Tiejun Ma, 2020. "Quantitative Statistical Robustness for Tail-Dependent Law Invariant Risk Measures," Papers 2006.15491, arXiv.org.
• Wenlong Hu, 2020. "Risk management of guaranteed minimum maturity benefits under stochastic mortality and regime-switching by Fourier space time-stepping framework," Papers 2006.15483, arXiv.org, revised Dec 2020.
• Becker, Bo & Opp, Marcus & Saidi, Farzad, 2020. "Regulatory Forbearance in the U.S. Insurance Industry: The Effects of Eliminating Capital Requirements," CEPR Discussion Papers 14373, C.E.P.R. Discussion Papers.
• Carlos Andr'es Araiza Iturria & Fr'ed'eric Godin & M'elina Mailhot, 2020. "Modeling and measuring incurred claims risk liabilities for a multi-line property and casualty insurer," Papers 2007.07068, arXiv.org.
• J. Arismendi-Zambrano & R. Azevedo, 2020. "Implicit Entropic Market Risk-Premium from Interest Rate Derivatives," Economics Department Working Paper Series n303-20.pdf, Department of Economics, National University of Ireland - Maynooth.
• Gropp, Reint & Koetter, Michael & McShane, William, 2020. "The Corona recession and bank stress in Germany," IWH Online 4/2020, Halle Institute for Economic Research (IWH).
• Max Nendel & Frank Riedel & Maren Diane Schmeck, 2020. "A decomposition of general premium principles into risk and deviation," Papers 2006.14272, arXiv.org, revised Dec 2020.
• Nendel, Max & Schmeck, Maren Diane & Riedel, Frank, 2020. "Decomposition of General Premium Principles into Risk and Deviation," Center for Mathematical Economics Working Papers 638, Center for Mathematical Economics, Bielefeld University.
• Suarez, Javier & Mendicino, Caterina & Nikolov, Kalin & Rubio-Ramírez, Juan Francisco & Supera, Dominik, 2020. "Twin Defaults and Bank Capital Requirements," CEPR Discussion Papers 14427, C.E.P.R. Discussion Papers.
• Chakrabarti, Arnab & Chakrabarti, Anindya S., 2020. "Fractional Differencing: (In)stability of Spectral Structure and Risk Measures of Financial Networks," IIMA Working Papers WP 2020-07-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
• Rama Cont & Artur Kotlicki & Laura Valderrama, 2020. "Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity," IMF Working Papers 20/82, International Monetary Fund.
• Adrian, Tobias & Adams, Patrick & Boyarchenko, Nina & Giannone, Domenico, 2020. "Forecasting Macroeconomic Risks," CEPR Discussion Papers 14436, C.E.P.R. Discussion Papers.
• James B. Bullard, 2020. "Bullard Discusses U.S. Economy, COVID-19 Risk Management," Speech 88235, Federal Reserve Bank of St. Louis.
• Joseph P. Byrne & Boulis M. Ibrahim & Xiaoyu Zong, 2020. "Asset Prices and Capital Share Risks: Theory and Evidence," Papers 2006.14023, arXiv.org.
• Chambers, David & , & Spaenjers, Christophe, 2020. "Art as an Asset: Evidence from Keynes the Collector," CEPR Discussion Papers 14357, C.E.P.R. Discussion Papers.
• Reichlin, Lucrezia & Ricco, Giovanni & Hasenzagl, Thomas, 2020. "Financial Variables as Predictors of Real Growth Vulnerability," CEPR Discussion Papers 14322, C.E.P.R. Discussion Papers.
• Aslanidis, Nektarios & Christiansen, Charlotte & Kouretas, George, 2020. "Uncertainty and Downside Risk in International Stock Returns," Working Papers 2072/376032, Universitat Rovira i Virgili, Department of Economics.
• Persada, Pena & Gusti, Girang Permata, 2020. "The Mistake In The Implementation Of Risk Management In Indonesia (Case Study On Rabobank, Garuda," Thesis Commons 2rvgx, Center for Open Science.
• Zhongjun Wang & Mengye Sun & A. M. Elsawah, 2020. "Improving MF-DFA model with applications in precious metals market," Papers 2006.15214, arXiv.org.
• Bischof, Jannis & Laux, Christian & Leuz, Christian, 2020. "Accounting for financial stability: Lessons from the financial crisis and future challenges," SAFE Working Paper Series 283, Leibniz Institute for Financial Research SAFE.
• Altig, Dave & Baker, Scott & Barrero, Jose Maria & Bloom, Nick & Bunn, Philip & Chen, Scarlet & Davis, Steven J & Leather, Julia & Meyer, Brent & Mihaylov, Emil & Mizen, Paul & Parker, Nick & Renault,, 2020. "Economic uncertainty before and during the Covid-19 pandemic," Bank of England working papers 876, Bank of England.
• Le-Yu Chen & Sokbae Lee, 2020. "Sparse Quantile Regression," Papers 2006.11201, arXiv.org, revised Mar 2023.
• Kim, Hyonok & Fukukawa, Hironori & Routledge, James, 2020. "A comparison of management and auditor going concern risk disclosure: Evidence from regulatory change in Japan," Working Paper Series 234, Management Innovation Research Center, School of Business Administration, Hitotsubashi University Business School.
• Michal Andrle & Benjamin L Hunt, 2020. "Model-Based Globally-Consistent Risk Assessment," IMF Working Papers 20/64, International Monetary Fund.
• Parisa Golbayani & Ionuc{t} Florescu & Rupak Chatterjee, 2020. "A comparative study of forecasting Corporate Credit Ratings using Neural Networks, Support Vector Machines, and Decision Trees," Papers 2007.06617, arXiv.org.
• Fleitas, Sebastian & Gowrisankaran, Gautam & Lo Sasso, Anthony, 2020. "Reclassification Risk in the Small Group Health Insurance Market," CEPR Discussion Papers 14394, C.E.P.R. Discussion Papers.
• Ricardo Correa & Linda S. Goldberg, 2020. "Bank Complexity, Governance, and Risk," Staff Reports 930, Federal Reserve Bank of New York.
• Michael C. Fu & Bingqing Li & Rongwen Wu & Tianqi Zhang, 2020. "Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model," Papers 2006.15054, arXiv.org.
• Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen, 2020. "Robust Product Markovian Quantization," Papers 2006.15823, arXiv.org.
• Herv'e Andres & Pierre-Edouard Arrouy & Paul Bonnefoy & Alexandre Boumezoued & Sophian Mehalla, 2020. "Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient," Papers 2006.13521, arXiv.org.
• Archil Gulisashvili, 2020. "Large deviation principles for stochastic volatility models with reflection and three faces of the Stein and Stein model," Papers 2006.15431, arXiv.org.
• Martin Bladt & Alexander J. McNeil, 2020. "Time series copula models using d-vines and v-transforms," Papers 2006.11088, arXiv.org, revised Jul 2021.
• Heinrich, Markus, 2020. "Does the Current State of the Business Cycle matter for Real-Time Forecasting? A Mixed-Frequency Threshold VAR approach," EconStor Preprints 219312, ZBW - Leibniz Information Centre for Economics.