Report NEP-RMG-2021-02-15

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:

• Suman Thapa & Yiqiang Q. Zhao, 2021. "Estimating value at risk and conditional tail expectation for extreme and aggregate risks," Papers 2101.12402, arXiv.org.
• Petar Jevtic & Nicolas Lanchier, 2021. "Probabilistic Framework For Loss Distribution Of Smart Contract Risk," Papers 2101.08964, arXiv.org.
• Daniel Felix Ahelegbey, 2020. "A Statistical Measure of Global Equity Market Risk," DEM Working Papers Series 194, University of Pavia, Department of Economics and Management.
• Yener Altunbas & David Marques-Ibanez & Michiel van Leuvensteijn & Tianshu Zhao, 2019. "Competition and Bank Risk the Role of Securitization and Bank Capital," IMF Working Papers 2019/140, International Monetary Fund.
• Aref Mahdavi Ardekani, 2020. "Liquidity, Interbank Network Topology and Bank Capital," Documents de travail du Centre d'Economie de la Sorbonne 20022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Dec 2020.
• Stefan Mittnik & Willi Semmler & Alexander Haider, 2019. "Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model," IMF Working Papers 2019/145, International Monetary Fund.
• Chengyu Huang & Sean Simpson & Daria Ulybina & Agustin Roitman, 2019. "News-based Sentiment Indicators," IMF Working Papers 2019/273, International Monetary Fund.
• Michael Kogler, 2021. "Profit Taxation and Bank Risk Taking," CESifo Working Paper Series 8830, CESifo.
• Mark Kiermayer, 2021. "Modeling surrender risk in life insurance: theoretical and experimental insight," Papers 2101.11590, arXiv.org, revised Aug 2021.
• Otto Konstandatos, 2020. "Fair-value Analytical Valuation of Reset Executive Stock Options Consistent with IFRS9 Requirements," Research Paper Series 418, Quantitative Finance Research Centre, University of Technology, Sydney.
• Michal Andrle & Mr. Benjamin L Hunt, 2020. "Model-Based Globally-Consistent Risk Assessment," IMF Working Papers 2020/064, International Monetary Fund.
• Majid Bazarbash, 2019. "FinTech in Financial Inclusion: Machine Learning Applications in Assessing Credit Risk," IMF Working Papers 2019/109, International Monetary Fund.