Report NEP-RMG-2021-01-04

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:

• Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
• International Monetary Fund, 2020. "Italy: Financial Sector Assessment Program-Technical Note-Systemic Risk Analysis and Stress Testing of the Banking and Corporate Sectors," IMF Staff Country Reports 2020/238, International Monetary Fund.
• Omar Zulaica, 2020. "What share for gold? On the interaction of gold and foreign exchange reserve returns," BIS Working Papers 906, Bank for International Settlements.
• International Monetary Fund, 2020. "Denmark: Financial Sector Assessment Program-Technical Note-Financial Stability and Stress Testing of the Banking, Insurance, and Non-financial Corporate Sectors," IMF Staff Country Reports 2020/258, International Monetary Fund.
• International Monetary Fund, 2020. "United States: Financial Sector Assessment Program-Technical Note-Risk Analysis and Stress Testing the Financial Sector," IMF Staff Country Reports 2020/247, International Monetary Fund.
• Juselius, Mikael & Tarashev, Nikola, 2020. "Forecasting expected and unexpected losses," Research Discussion Papers 18/2020, Bank of Finland.
• International Monetary Fund, 2020. "Norway: Financial Sector Assessment Program-Technical Note-Insurance Sector Oversight," IMF Staff Country Reports 2020/263, International Monetary Fund.
• International Monetary Fund, 2020. "Denmark: Financial Sector Assessment Program-Technical Note-Financial Sector Interconnectedness and Contagion Risk Analysis," IMF Staff Country Reports 2020/256, International Monetary Fund.
• International Monetary Fund, 2020. "Kingdom of Lesotho: Technical Assistance Report-Implementation of Basel II," IMF Staff Country Reports 2020/222, International Monetary Fund.
• Elena Ivona DUMITRESCU & Sullivan HUE & Christophe HURLIN & Sessi TOKPAVI, 2020. "Machine Learning or Econometrics for Credit Scoring: Let’s Get the Best of Both Worlds," LEO Working Papers / DR LEO 2839, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
• International Monetary Fund, 2020. "Norway: Financial System Stability Assessment-Press Release; and Statement by the Executive Director for Norway," IMF Staff Country Reports 2020/259, International Monetary Fund.
• International Monetary Fund, 2020. "Norway: Financial Sector Assessment Program-Technical Note-Banking Regulation and Supervision," IMF Staff Country Reports 2020/260, International Monetary Fund.
• International Monetary Fund, 2020. "Republic of Korea: Financial System Stability Assessment and Press Release for the Republic of Korea," IMF Staff Country Reports 2020/120, International Monetary Fund.
• Falk Bräuning & José Fillat, 2020. "The Impact of Regulatory Stress Tests on Bank Lending and Its Macroeconomic Consequences," Working Papers 20-12, Federal Reserve Bank of Boston.
• Casas Villalba, Maria Isabel, 2020. "Adaptative predictability of stock market returns," DES - Working Papers. Statistics and Econometrics. WS 31648, Universidad Carlos III de Madrid. Departamento de Estadística.
• International Monetary Fund, 2020. "Denmark: Financial Sector Assessment Program-Technical Note-Insurance Regulation and Supervision," IMF Staff Country Reports 2020/252, International Monetary Fund.
• International Monetary Fund, 2020. "Italy: Financial Sector Assessment Program-Technical Note-Insurance Sector Regulation and Supervision," IMF Staff Country Reports 2020/233, International Monetary Fund.
• International Monetary Fund, 2020. "Norway: Financial Sector Assessment Program-Technical Note-Systemic Risk Oversight and Macroprudential Policy Framework," IMF Staff Country Reports 2020/265, International Monetary Fund.
• International Monetary Fund, 2020. "United States: Financial Sector Assessment Program-Technical Note-Banking Supervision and Regulation," IMF Staff Country Reports 2020/248, International Monetary Fund.
• International Monetary Fund, 2020. "Denmark: Financial Sector Assessment Program-Technical Note-Banking Regulation and Supervision," IMF Staff Country Reports 2020/251, International Monetary Fund.
• Giulio Girardi & Kathleen W. Hanley & Stanislava Nikolova & Loriana Pelizzon & Mila Getmansky Sherman, 2020. "Portfolio Similarity and Asset Liquidation in the Insurance Industry," Working Papers 2020:13, Department of Economics, University of Venice "Ca' Foscari".
• Peter Van Tassel, 2020. "The Law of One Price in Equity Volatility Markets," Staff Reports 953, Federal Reserve Bank of New York.
• World Bank, 2020. "Options to Strengthen Disaster Risk Financing in Pakistan," World Bank Publications - Reports 33592, The World Bank Group.
• International Monetary Fund, 2020. "Italy: Financial Sector Assessment Program-Technical Note-Banking Regulation and Supervision and Bank Governance," IMF Staff Country Reports 2020/236, International Monetary Fund.
• International Monetary Fund, 2020. "United States: Financial Sector Assessment Program-Technical Note-Insurance Supervision and Regulation," IMF Staff Country Reports 2020/244, International Monetary Fund.
• Laurent Lesage & Madalina Deaconu & Antoine Lejay & Jorge Augusto Meira & Geoffrey Nichil & Radu State, 2020. "Hawkes processes framework with a Gamma density as excitation function: application to natural disasters for insurance," Working Papers hal-03040090, HAL.