Report NEP-RMG-2020-11-02

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:

• Roberto Baviera, 2020. "The measure of model risk in credit capital requirements," Papers 2010.08028, arXiv.org.
• Emese Lazar & Shuyuan Qi & Radu Tunaru, 2020. "Measures of Model Risk in Continuous-time Finance Models," Papers 2010.08113, arXiv.org, revised Oct 2020.
• Bent Jesper Christensen & Juan Carlos Parra-Alvarez & Rafael Serrano, 2020. "Optimal control of investment, premium and deductible for a non-life insurance company," CREATES Research Papers 2020-11, Department of Economics and Business Economics, Aarhus University.
• Edoardo Vittori & Michele Trapletti & Marcello Restelli, 2020. "Option Hedging with Risk Averse Reinforcement Learning," Papers 2010.12245, arXiv.org.
• Xing Yan & Weizhong Zhang & Lin Ma & Wei Liu & Qi Wu, 2020. "Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning," Papers 2010.08263, arXiv.org.
• Xia Han & Zhibin Liang, 2020. "Optimal per-loss reinsurance and investment to minimize the probability of drawdown," Papers 2010.12158, arXiv.org.
• Mike Ludkovski & Yuri Saporito, 2020. "KrigHedge: Gaussian Process Surrogates for Delta Hedging," Papers 2010.08407, arXiv.org, revised Jan 2022.
• Mohammad Bitar & Amine Tarazi, 2020. "A note on regulatory responses to COVID-19 pandemic: Balancing banks' solvency and contribution to recovery," Working Papers hal-02964598, HAL.
• Xiaosheng Mu & Luciano Pomatto & Philipp Strack & Omer Tamuz, 2020. "Background risk and small-stakes risk aversion," Papers 2010.08033, arXiv.org, revised Mar 2021.
• Vo, Duc, 2019. "Portfolio Optimization and Diversification in China: Policy Implications for Vietnam and other Emerging Markets," MPRA Paper 103276, University Library of Munich, Germany.
• Nurlan Turdaliev & Yahong Zhang, 2020. "Risky Mortgages and Bank Runs," Working Papers 2007, University of Windsor, Department of Economics, revised Oct 2020.
• Ryan Niladri Banerjee & Giulio Cornelli & Egon Zakrajšek, 2020. "The outlook for business bankruptcies," BIS Bulletins 30, Bank for International Settlements.