Report NEP-RMG-2021-01-25

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:

• Saissi Hassani, Samir & Dionne, Georges, 2021. "The New International Regulation of Market Risk: Roles of VaR and CVaR in Model Validation," Working Papers 21-1, HEC Montreal, Canada Research Chair in Risk Management.
• Carol Alexander & Jun Deng & Bin Zou, 2021. "Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading," Papers 2101.01261, arXiv.org, revised Aug 2021.
• Karim Barigou & Valeria Bignozzi & Andreas Tsanakas, 2021. "Insurance valuation: A two-step generalised regression approach," Working Papers hal-03043244, HAL.
• Kentaro Imajo & Kentaro Minami & Katsuya Ito & Kei Nakagawa, 2020. "Deep Portfolio Optimization via Distributional Prediction of Residual Factors," Papers 2012.07245, arXiv.org.
• Stefano Giglio & Bryan Kelly & Johannes Stroebel, 2020. "Climate Finance," CESifo Working Paper Series 8772, CESifo.
• Katharina Bergant & Thore Kockerols, 2020. "Forbearance Patterns in the Post-Crisis Period," IMF Working Papers 2020/140, International Monetary Fund.
• Jir^o Akahori & Yuuki Ida & Maho Nishida & Shuji Tamada, 2020. "The Thermodynamic Approach to Whole-Life Insurance: A Method for Evaluation of Surrender Risk," Papers 2012.09606, arXiv.org.
• Guangyan Jia & Jianming Xia & Rongjie Zhao, 2020. "Monetary Risk Measures," Papers 2012.06751, arXiv.org.
• International Monetary Fund, 2019. "Canada: Financial System Stability Assessment," IMF Staff Country Reports 2019/177, International Monetary Fund.
• Mariano Zeron & Ignacio Ruiz, 2020. "Tensoring volatility calibration," Papers 2012.07440, arXiv.org, revised Dec 2020.
• Loïc Berger & Louis Eeckhoudt, 2021. "Risk, ambiguity, and the value of diversification," Post-Print hal-02910906, HAL.
• Alexander Glauner, 2020. "Dynamic Reinsurance in Discrete Time Minimizing the Insurer's Cost of Capital," Papers 2012.09648, arXiv.org.
• Item repec:kan:wpaper:202105 is not listed on IDEAS anymore

• Knapp, S., 2020. "Quantification and analysis of risk exposure in the maritime industry," Econometric Institute Research Papers EI 2020-09, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Mr. Marco Gross & Mr. Dimitrios Laliotis & Mindaugas Leika & Pavel Lukyantsau, 2020. "Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective," IMF Working Papers 2020/111, International Monetary Fund.
• Alexis Marchal, 2020. "Risk & returns around FOMC press conferences: a novel perspective from computer vision," Papers 2012.06573, arXiv.org, revised Jan 2021.
• Masoud Ataei & Shengyuan Chen & Zijiang Yang & M. Reza Peyghami, 2021. "Theory and Applications of Financial Chaos Index," Papers 2101.02288, arXiv.org.
• Pablo Orazi & Mario Torriani & Matias Vicens, 2020. "Strategic Asset Allocation of a Reserves' Portfolio: Hedging against Shocks," BCRA Working Paper Series 202088, Central Bank of Argentina, Economic Research Department.
• Ms. Deniz O Igan & Ali Mirzaei, 2020. "Does Going Tough on Banks Make the Going Get Tough? Bank Liquidity Regulations, Capital Requirements, and Sectoral Activity," IMF Working Papers 2020/103, International Monetary Fund.
• Mr. Tobias Adrian & Mr. Francis Vitek, 2020. "Managing Macrofinancial Risk," IMF Working Papers 2020/151, International Monetary Fund.
• Mahan Tahvildari, 2021. "Forward indifference valuation and hedging of basis risk under partial information," Papers 2101.00251, arXiv.org.
• Sridhar Ravula, 2021. "Bankruptcy prediction using disclosure text features," Papers 2101.00719, arXiv.org.
• Yiyan Huang & Cheuk Hang Leung & Xing Yan & Qi Wu & Nanbo Peng & Dongdong Wang & Zhixiang Huang, 2020. "The Causal Learning of Retail Delinquency," Papers 2012.09448, arXiv.org.
• Victor Olkhov, 2021. "To VaR, or Not to VaR, That is the Question," Papers 2101.08559, arXiv.org, revised Apr 2024.
• Paweł Sakowski & Daria Turovtseva, 2020. "Does Bitcoin Improve Investment Portfolio Efficiency?," Working Papers 2020-42, Faculty of Economic Sciences, University of Warsaw.
• International Monetary Fund, 2019. "The Bahamas: Financial Sector Assessment Program-Technical Note on Financial Stability and Stress Testing," IMF Staff Country Reports 2019/202, International Monetary Fund.
• Li, Chenxing & Maheu, John M, 2020. "A Multivariate GARCH-Jump Mixture Model," MPRA Paper 104770, University Library of Munich, Germany.