Report NEP-RMG-2020-11-23

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:

• Ricardo GOTTSCHALK & Lavinia B. CASTRO & Jiajun XU, 2020. "Financial regulation of national development banks - NDBs," Working Paper f83c9569-d73d-4295-a5eb-2, Agence française de développement.
• Qing Yang & Zhenning Hong & Ruyan Tian & Tingting Ye & Liangliang Zhang, 2020. "Asset Allocation via Machine Learning and Applications to Equity Portfolio Management," Papers 2011.00572, arXiv.org, revised Nov 2020.
• John Armstrong & Damiano Brigo & Alex S. L. Tse, 2020. "The importance of dynamic risk constraints for limited liability operators," Papers 2011.03314, arXiv.org.
• Miryana Grigorova & Marie-Claire Quenez & Agnès Sulem, 2020. "European options in a non-linear incomplete market model with default," Post-Print hal-02025833, HAL.
• Vincenzo Candila & Giampiero M. Gallo & Lea Petrella, 2020. "Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall," Papers 2011.00552, arXiv.org, revised Mar 2023.
• Romain Gauchon & Stéphane Loisel & Jean-Louis Rullière & Julien Trufin, 2020. "Optimal prevention of large risks with two types of claims," Post-Print hal-02314914, HAL.
• Dietmar Pfeifer & Olena Ragulina, 2020. "Adaptive Bernstein Copulas and Risk Management," Papers 2011.00909, arXiv.org, revised Mar 2021.
• Fricke, Daniel & Wilke, Hannes, 2020. "Connected Funds," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224511, Verein für Socialpolitik / German Economic Association.
• Dimitriadis, Timo & Liu, Xiaochun & Schnaitmann, Julie, 2020. "Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary," Hohenheim Discussion Papers in Business, Economics and Social Sciences 11-2020, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
• Martin F. Hellwig, 2020. "Twelve Years after the Financial Crisis – Too-big-to-fail is still with us. Comments on the Financial Stability Board’s Consultation Report ‘Evaluation of the Effects of Too-big-to-fail reforms’," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2020_24, Max Planck Institute for Research on Collective Goods.
• Mariano Zeron & Ignacio Ruiz, 2020. "Dynamic sensitivities and Initial Margin via Chebyshev Tensors," Papers 2011.04544, arXiv.org.
• Thomas Bernhardt & Catherine Donnelly, 2020. "Quantifying the trade-off between income stability and the number of members in a pooled annuity fund," Papers 2010.16009, arXiv.org.
• Adriana Grasso & Juan Passadore & Facundo Piguillem, 2020. "The macroeconomics of hedging income shares," Temi di discussione (Economic working papers) 1283, Bank of Italy, Economic Research and International Relations Area.
• Bernd Schwaab & Xin Zhang & Andre Lucas, 2020. "Modeling extreme events: time-varying extreme tail shape," Tinbergen Institute Discussion Papers 20-076/III, Tinbergen Institute.
• Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2020. "Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models," Papers 2011.03741, arXiv.org, revised Dec 2020.
• Jeffrey Cohen & Clark Alexander, 2020. "Picking Efficient Portfolios from 3,171 US Common Stocks with New Quantum and Classical Solvers," Papers 2011.01308, arXiv.org.
• Toms, Darcy B., 2020. "A Risk-Assessment of Intelligent Vehicle-Highway Systems," 29th Annual Canadian Transportation Research Forum, Vancouver, British Columbia, May 15-18, 1994 306039, Canadian Transportation Research Forum (CTRF).
• Tae-Hwy Lee & Ekaterina Seregina, 2020. "Optimal Portfolio Using Factor Graphical Lasso," Papers 2011.00435, arXiv.org, revised Apr 2023.
• Tomav{z} Fleischman & Paolo Dini, 2020. "Balancing the Payment System," Papers 2011.03517, arXiv.org.
• Hartwig, Benny, 2020. "Robust Inference in Time-Varying Structural VAR Models: The DC-Cholesky Multivariate Stochastic Volatility Model," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224528, Verein für Socialpolitik / German Economic Association.
• Viktor Stojkoski & Trifce Sandev & Lasko Basnarkov & Ljupco Kocarev & Ralf Metzler, 2020. "Generalised geometric Brownian motion: Theory and applications to option pricing," Papers 2011.00312, arXiv.org.
• Jérôme Lelong & Zineb El Filali Ech-Chafiq & Adil Reghai, 2020. "Automatic Control Variates for Option Pricing using Neural Networks," Working Papers hal-02891798, HAL.
• Loann David Denis Desboulets, 2020. "Sparse Manifolds Graphical Modelling with Missing Values: An Application to the Commodity Futures Market," Working Papers hal-02986982, HAL.