Report NEP-RMG-2020-12-07

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:

• Magdalena Tywoniuk, 2020. "CDS Central Counterparty Clearing Default Measures: Road to Recovery or Invitation to Predation?," Swiss Finance Institute Research Paper Series 20-95, Swiss Finance Institute.
• Nicola Borri & Giorgio Di Giorgio, 2020. "Systemic Risk and the COVID Challenge in the European Banking Sector," Working Papers CASMEF 2005, Dipartimento di Economia e Finanza, LUISS Guido Carli.
• Hamidreza Arian & Hossein Poorvasei & Azin Sharifi & Shiva Zamani, 2020. "The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold," Papers 2011.06693, arXiv.org.
• Zehra Eksi & Damir Filipović, 2020. "Affine Pricing and Hedging of Collateralized Debt Obligations," Swiss Finance Institute Research Paper Series 20-94, Swiss Finance Institute.
• Seyed Mohammad Sina Seyfi & Azin Sharifi & Hamidreza Arian, 2020. "Portfolio Risk Measurement Using a Mixture Simulation Approach," Papers 2011.07994, arXiv.org.
• Gurgone, Andrea & Iori, Giulia, 2020. "Macroprudential capital buffers in heterogeneous banking networks: Insights from an ABM with liquidity crises," BERG Working Paper Series 164, Bamberg University, Bamberg Economic Research Group.
• Barbora Stepankova, 2020. "Consistency of Banks' Internal Probability of Default Estimates," Working Papers IES 2020/44, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2020.
• Megaritis, Anastasios & Vlastakis, Nikolaos & Triantafyllou, Athanasios, 2020. "Stock market volatility and jumps in times of uncertainty," Essex Finance Centre Working Papers 29200, University of Essex, Essex Business School.
• Kevin J. Stiroh, 2020. "A Microprudential Perspective on the Financial Risks of Climate Change," Speech 89062, Federal Reserve Bank of New York.
• Ge, S., 2020. "Text-Based Linkages and Local Risk Spillovers in the Equity Market," Cambridge Working Papers in Economics 20115, Faculty of Economics, University of Cambridge.
• Gulcan Yildirim Gungor & Tuba Pelin Sumer, 2020. "Alternative Approaches for Modelling Corporate Sector Credit Risk," CBT Research Notes in Economics 2017, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• Nishimura, Yukihiro & Pestieau, Pierre, 2020. "Old age or dependence. Which social insurance?," LIDAM Discussion Papers CORE 2020030, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Bogle, David A. & Coyle, Christopher & Turner, John D., 2020. "Capital market development over the long run: The portfolios of UK life assurers over two centuries," QUCEH Working Paper Series 2020-09, Queen's University Belfast, Queen's University Centre for Economic History.
• World Bank, 2020. "Catastrophe Insurance Programs for Public Assets," World Bank Publications - Reports 34440, The World Bank Group.
• Silvana Pesenti & Qiuqi Wang & Ruodu Wang, 2020. "Optimizing distortion riskmetrics with distributional uncertainty," Papers 2011.04889, arXiv.org, revised Feb 2022.
• L. Bauwens & E. Otranto, 2020. "Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models," Working Paper CRENoS 202007, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
• Yao Axel Ehouman, 2020. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a Copula Approach," EconomiX Working Papers 2020-31, University of Paris Nanterre, EconomiX.
• Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
• Hirdesh K. Pharasi & Eduard Seligman & Suchetana Sadhukhan & Parisa Majari & Thomas H. Seligman, 2020. "Dynamics of market states and risk assessment," Papers 2011.05984, arXiv.org, revised Sep 2023.
• P'al Andr'as Papp & Roger Wattenhofer, 2020. "Sequential Defaulting in Financial Networks," Papers 2011.10485, arXiv.org.
• Theissen, Erik & Yilanci, Can, 2020. "Momentum? What Momentum?," CFR Working Papers 20-09, University of Cologne, Centre for Financial Research (CFR).
• Laurent Ferrara & Matteo Mogliani & Jean-Guillaume Sahuc, 2020. "High-frequency monitoring of growth-at-risk," CAMA Working Papers 2020-97, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2020. "Implicit Incentives for Fund Managers with Partial Information," Papers 2011.07871, arXiv.org.
• José-Luis Peydró & Andrea Polo & Enrico Sette & Victoria Vanasco, 2020. "Risk Mitigating versus Risk Shifting: Evidence from Banks Security Trading in Crises," Working Papers 1219, Barcelona School of Economics.
• Riza Demirer & Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2020. "Effect of Rare Disaster Risks on Crude Oil: Evidence from El Nino from Over 140 Years of Data," Working Papers 2020104, University of Pretoria, Department of Economics.
• Yuanhua Feng & Jan Beran & Sebastian Letmathe & Sucharita Ghosh, 2020. "Fractionally integrated Log-GARCH with application to value at risk and expected shortfall," Working Papers CIE 137, Paderborn University, CIE Center for International Economics.
• Marco Caliendo & Deborah A. Cobb-Clark & Cosima Obst & Arne Uhlendorff, 2020. "Risk Preferences and Training Investments," SOEPpapers on Multidisciplinary Panel Data Research 1113, DIW Berlin, The German Socio-Economic Panel (SOEP).
• Jorge Gonz'alez C'azares & Aleksandar Mijatovi'c, 2020. "Simulation of the drawdown and its duration in L\'{e}vy models via stick-breaking Gaussian approximation," Papers 2011.06618, arXiv.org, revised Mar 2021.
• Ghamami, Samim & Glasserman, Paul & Young, Hobart, 2022. "Collateralized networks," LSE Research Online Documents on Economics 107496, London School of Economics and Political Science, LSE Library.