Report NEP-RMG-2020-09-21

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:

• Marius Lux & Wolfgang Karl Hardle & Stefan Lessmann, 2020. "Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid," Papers 2009.06910, arXiv.org.
• Bony Josaphat & Khreshna Syuhada, 2020. "Dependent Conditional Value-at-Risk for Aggregate Risk Models," Papers 2009.02904, arXiv.org.
• Tomić, Bojan, 2020. "BITCOIN: Systematic Force of Cryptocurrency Portfolio," MPRA Paper 101290, University Library of Munich, Germany, revised 26 May 2020.
• Cosimo Munari, 2020. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Papers 2009.04151, arXiv.org.
• Tambakis, D., 2020. "A Markov-Chain Measure of Systemic Banking Crisis Frequency," Cambridge Working Papers in Economics 2083, Faculty of Economics, University of Cambridge.
• A. Fronzetti Colladon & S. Grassi & F. Ravazzolo & F. Violante, 2020. "Forecasting financial markets with semantic network analysis in the COVID-19 crisis," Papers 2009.04975, arXiv.org, revised Jul 2023.
• Thomas Krabichler & Josef Teichmann, 2020. "Deep Replication of a Runoff Portfolio," Papers 2009.05034, arXiv.org.
• Ibrahima Bah & Jules Sadefo-Kamdem & Abdou Salam Diallo, 2022. "The Implications of oil market volatility on the credit risk of some oil-exporting countries," Post-Print hal-02922834, HAL.
• Ting He, 2020. "Nonparametric Predictive Inference for Asian options," Papers 2008.13082, arXiv.org.
• Alla Petukhina & Simon Trimborn & Wolfgang Karl Hardle & Hermann Elendner, 2020. "Investing with Cryptocurrencies -- evaluating their potential for portfolio allocation strategies," Papers 2009.04461, arXiv.org, revised Sep 2020.
• Masahiko Egami & Rusudan Kevkhishvili, 2020. "Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution," Papers 2009.00868, arXiv.org, revised Mar 2024.
• Liang Wang & Weixuan Xia, 2020. "Power-type derivatives for rough volatility with jumps," Papers 2008.10184, arXiv.org, revised Nov 2021.
• Stefan Gerhold, 2020. "A note on large deviations in life insurance," Papers 2009.01644, arXiv.org.
• Walter Distaso & Rustam Ibragimov & Alexander Semenov & Anton Skrobotov, 2020. "COVID-19: Tail Risk and Predictive Regressions," Papers 2009.02486, arXiv.org, revised Oct 2021.
• Dietz, Simon & Niehörster, Falk, 2020. "Pricing ambiguity in catastrophe risk insurance," LSE Research Online Documents on Economics 106116, London School of Economics and Political Science, LSE Library.
• Delia Coculescu & Freddy Delbaen, 2020. "Fairness principles for insurance contracts in the presence of default risk," Papers 2009.04408, arXiv.org.
• Bello, Omar & Fontes de Meira, Luciana, 2020. "The use of technology and innovative approaches in disaster and risk management: a characterization of Caribbean countries’ experiences," Studies and Perspectives – ECLAC Subregional Headquarters for The Caribbean 45990, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
• Yuhyeon Bak & Cheolbeom Park, 2020. "Exchange Rate Predictability, Risk Premiums, and Predictive System," Discussion Paper Series 2006, Institute of Economic Research, Korea University.
• David Alary & Catherine Bobtcheff & Carole Haritchabalet, 2020. "Organizing insurance supply for new and undiversifiable risks," PSE Working Papers halshs-02928816, HAL.
• Eric Benhamou & David Saltiel & Jean-Jacques Ohana & Jamal Atif, 2020. "Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning," Papers 2009.07200, arXiv.org, revised Nov 2020.
• Matthew B. Canzoneri & Behzad T. Diba & Luca Guerrieri & Arsenii Mishin, 2020. "Optimal Dynamic Capital Requirements and Implementable Capital Buffer Rules," Finance and Economics Discussion Series 2020-056, Board of Governors of the Federal Reserve System (U.S.).
• CHAN Joshua & DOUCET Arnaud & Roberto Leon-Gonzalez & STRACHAN Rodney W., 2020. "Multivariate Stochastic Volatility with Co-Heteroscedasticity," GRIPS Discussion Papers 20-09, National Graduate Institute for Policy Studies.
• Yi-Hsuan Lin, 2020. "Random Non-Expected Utility: Non-Uniqueness," Papers 2009.04173, arXiv.org.