Report NEP-RMG-2020-11-16

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:

• Anna Ananova & Rama Cont & Renyuan Xu, 2020. "Model-free Analysis of Dynamic Trading Strategies," Papers 2011.02870, arXiv.org, revised Aug 2023.
• Franziska Schütze, 2020. "Transition Risks and Opportunities in Residential Mortgages," Discussion Papers of DIW Berlin 1910, DIW Berlin, German Institute for Economic Research.
• T. R. B. den Haan & K. W. Chau & M. van der Schans & C. W. Oosterlee, 2020. "Rule-based Strategies for Dynamic Life Cycle Investment," Papers 2011.02596, arXiv.org.
• Kristoffer Andersson & Cornelis W. Oosterlee, 2020. "Deep learning for CVA computations of large portfolios of financial derivatives," Papers 2010.13843, arXiv.org.
• Amir Mukeri & Habibullah Shaikh & D. P. Gaikwad, 2020. "Financial Data Analysis Using Expert Bayesian Framework For Bankruptcy Prediction," Papers 2010.13892, arXiv.org, revised Oct 2020.
• Aref Mahdavi Ardekani, 2020. "Liquidity, Interbank Network Topology and Bank Capital," Post-Print halshs-02967226, HAL.
• Mario Ghossoub & Jesse Hall & David Saunders, 2020. "Maximum Spectral Measures of Risk with given Risk Factor Marginal Distributions," Papers 2010.14673, arXiv.org.
• A. Georgantas, 2020. "Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis," Papers 2010.13397, arXiv.org.
• Stefan Kremsner & Alexander Steinicke & Michaela Szolgyenyi, 2020. "A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics," Papers 2010.15757, arXiv.org, revised Dec 2020.
• Blazsek, Szabolcs & Licht, Adrian, 2020. "Prediction accuracy of bivariate score-driven risk premium and volatility filters: an illustration for the Dow Jones," UC3M Working papers. Economics 31339, Universidad Carlos III de Madrid. Departamento de Economía.
• Sigurd Galaasen & Rustam Jamilov & Ragnar Juelsrud & Hélène Rey, 2020. "Granular Credit Risk," NBER Working Papers 27994, National Bureau of Economic Research, Inc.
• Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2020. "Uncertainty due to Infectious Diseases and Forecastability of the Realized Variance of US REITs: A Note," Working Papers 202099, University of Pretoria, Department of Economics.
• Faizaan Pervaiz & Christopher Goh & Ashley Pennington & Samuel Holt & James West & Shaun Ng, 2020. "Fear and Volatility in Digital Assets," Papers 2010.15611, arXiv.org.
• Jochen Güntner & Benjamin Karner, 2020. "Hedging with commodity futures and the end of normal Backwardation," Economics working papers 2020-21, Department of Economics, Johannes Kepler University Linz, Austria.
• Andrés Alonso & José Manuel Carbó, 2020. "Machine learning in credit risk: measuring the dilemma between prediction and supervisory cost," Working Papers 2032, Banco de España.
• Xudong An & Lawrence R. Cordell, 2020. "Mortgage Loss Severities: What Keeps Them So High?," Working Papers 20-37, Federal Reserve Bank of Philadelphia.
• Matteo Bonato & Rangan Gupta & Christian Pierdzioch, 2020. "Do Oil-Price Shocks Predict the Realized Variance of U.S. REITs?," Working Papers 2020100, University of Pretoria, Department of Economics.
• Gajurel, Dinesh & Chowdhury, Biplob, 2020. "Realized volatility, jump and beta: evidence from Canadian stock market," Working Papers 2020-11, University of Tasmania, Tasmanian School of Business and Economics.
• Tae-Hwy Lee & Ekaterina Seregina, 2020. "Optimal Portfolio Using Factor Graphical Lasso," Working Papers 202025, University of California at Riverside, Department of Economics.
• Agostino Capponi & Zhaoyu Zhang, 2020. "Risk Preferences and Efficiency of Household Portfolios," Papers 2010.13928, arXiv.org.
• T. -N. Nguyen & M. -N. Tran & R. Kohn, 2020. "Recurrent Conditional Heteroskedasticity," Papers 2010.13061, arXiv.org, revised Jan 2022.
• Bedayo, Mikel & Jiménez, Gabriel & Peydró, José Luis & Vegas, Raquel, 2023. "Screening and loan origination time: Lending standards, loan defaults and bank failures," EconStor Preprints 225986, ZBW - Leibniz Information Centre for Economics.
• Isao Yagi & Yuji Masuda & Takanobu Mizuta, 2020. "Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity," Papers 2010.13038, arXiv.org.