Report NEP-RMG-2020-09-14

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:

• Anand Deo & Karthyek Murthy, 2020. "Optimizing tail risks using an importance sampling based extrapolation for heavy-tailed objectives," Papers 2008.09818, arXiv.org.
• Th'eo Roncalli & Th'eo Le Guenedal & Fr'ed'eric Lepetit & Thierry Roncalli & Takaya Sekine, 2020. "Measuring and Managing Carbon Risk in Investment Portfolios," Papers 2008.13198, arXiv.org.
• Jose Canals-Cerda, 2020. "Applications of generalized structural equation modeling for enhanced credit risk management," 2020 Stata Conference 6, Stata Users Group.
• Vahidin Jeleskovic & Mirko Meloni & Zahid Irshad Younas, 2020. "Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations," MAGKS Papers on Economics 202034, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman & Herman K. van Dijk, 2019. "Partially Censored Posterior for robust and efficient risk evaluation," Working Paper 2019/12, Norges Bank.
• Shengfeng Mei & Hong Gao, 2020. "The Time Function of Stock Price," Papers 2008.11806, arXiv.org, revised Feb 2023.
• M. Andrea Arias-Serna & Jean-Michel Loubes & Francisco J. Caro-Lopera, 2020. "Risk Measures Estimation Under Wasserstein Barycenter," Papers 2008.05824, arXiv.org.
• Pierre Cohort & Jacopo Corbetta & Ismail Laachir, 2020. "Analytical scores for stress scenarios," Papers 2007.02567, arXiv.org.
• John A. Major & Stephen J. Mildenhall, 2020. "Pricing and Capital Allocation for Multiline Insurance Firms With Finite Assets in an Imperfect Market," Papers 2008.12427, arXiv.org.
• Karol Kielak & Robert Ślepaczuk, 2020. "Value-at-risk — the comparison of state-of-the-art models on various assets," Working Papers 2020-28, Faculty of Economic Sciences, University of Warsaw.
• Rama Cont & Artur Kotlicki & Laura Valderrama, 2019. "Liquidity at risk: Joint stress testing of solvency and liquidity," Working Paper 2019/11, Norges Bank.
• Paola Andrea Vaca González, 2019. "Cálculo y evaluación del riesgo operativo en entidades de salud a partir del enfoque de redes bayesianas," Ensayos de Economía 18302, Universidad Nacional de Colombia Sede Medellín.
• Jiwook Jang & Rosy Oh, 2020. "A Bivariate Compound Dynamic Contagion Process for Cyber Insurance," Papers 2007.04758, arXiv.org.
• Jamaal Ahmad & Kristian Buchardt & Christian Furrer, 2020. "Computation of bonus in multi-state life insurance," Papers 2007.04051, arXiv.org, revised Nov 2023.
• Jonathan Meng & Feng Fu, 2020. "Understanding Gambling Behavior and Risk Attitudes Using Cryptocurrency-based Casino Blockchain Data," Papers 2008.05653, arXiv.org, revised Aug 2020.
• Jeffrey Cohen & Alex Khan & Clark Alexander, 2020. "Portfolio Optimization of 60 Stocks Using Classical and Quantum Algorithms," Papers 2008.08669, arXiv.org.
• syed, irfan, 2020. "A new framework of analysis of Political Risk in OECD Countries," MPRA Paper 102636, University Library of Munich, Germany, revised 03 Apr 2020.
• International Monetary Fund, 2019. "Finland: Selected Issues," IMF Staff Country Reports 2019/008, International Monetary Fund.
• Jézabel Couppey-Soubeyran & Erica Perego & Fabien Tripier, 2020. "European Banks and the Covid-19 Crash Test," EconPol Policy Brief 30, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
• Fricke, Daniel & Wilke, Hannes, 2020. "Connected funds," Discussion Papers 48/2020, Deutsche Bundesbank.
• Zbigniew Palmowski & Tomasz Serafin, 2020. "Note on simulation pricing of $\pi$-options," Papers 2007.02076, arXiv.org, revised Aug 2020.
• Eguren-Martin, Fernando & O'Neill, Cian & Sokol, Andrej & von dem Berge, Lukas, 2020. "Capital flows-at-risk: push, pull and the role of policy," Bank of England working papers 881, Bank of England.
• Islam, Raisul & Volkov, Vladimir, 2020. "Calm before the storm: an early warning approach before and during the COVID-19 crisis," Working Papers 2020-09, University of Tasmania, Tasmanian School of Business and Economics.
• Barbu, Alexandru & Fricke, Christoph & Mönch, Emanuel, 2020. "Procyclical asset management and bond risk premia," Discussion Papers 38/2020, Deutsche Bundesbank.
• Benjamin Avanzi & Gregory Clive Taylor & Melantha Wang & Bernard Wong, 2020. "SynthETIC: an individual insurance claim simulator with feature control," Papers 2008.05693, arXiv.org, revised Aug 2021.
• Willy Kamdem & David Kamdem & Jules Sadefo-Kamdem & Louis Aimé Fono, 2020. "Risk Aversion and Optimal Hedge Ratio in Commodities Futures Markets," Post-Print hal-02922890, HAL.
• Antoinette Schoar & Kelvin Yeung & Luo Zuo, 2020. "The Effect of Managers on Systematic Risk," NBER Working Papers 27487, National Bureau of Economic Research, Inc.
• Cormac O'Dea & David Sturrock, 2020. "Survival Pessimism and the Demand for Annuities," NBER Working Papers 27677, National Bureau of Economic Research, Inc.
• Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2020. "Uncertainty and Monetary Policy during Extreme Events," Economics Working Papers 2020-11, Department of Economics and Business Economics, Aarhus University.
• Benjamin Gottesman Berdah, 2020. "Recombining tree approximations for Game Options in Local Volatility models," Papers 2007.02323, arXiv.org, revised Jul 2020.
• Anthony M. Diercks & Alex Hsu & Andrea Tamoni, 2020. "When it Rains it Pours: Cascading Uncertainty Shocks," Finance and Economics Discussion Series 2020-064, Board of Governors of the Federal Reserve System (U.S.).