Report NEP-RMG-2021-03-15

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:

• Ren, Rui & Althof, Michael & Härdle, Wolfgang Karl, 2020. "Tail Risk Network Effects in the Cryptocurrency Market during the COVID-19 Crisis," IRTG 1792 Discussion Papers 2020-028, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Spilak, Bruno & Härdle, Wolfgang Karl, 2020. "Tail-risk protection: Machine Learning meets modern Econometrics," IRTG 1792 Discussion Papers 2020-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02367200, HAL.
• Ni, Xinwen & Härdle, Wolfgang Karl & Xie, Taojun, 2020. "A Machine Learning Based Regulatory Risk Index for Cryptocurrencies," IRTG 1792 Discussion Papers 2020-013, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Andrés Alonso & José Manuel Carbó, 2021. "Understanding the performance of machine learning models to predict credit default: a novel approach for supervisory evaluation," Working Papers 2105, Banco de España.
• Afees A. Salisu & Rangan Gupta & Qiang Ji, 2021. "Forecasting Oil Price over 150 Years: The Role of Tail Risks," Working Papers 202120, University of Pretoria, Department of Economics.
• Calo, Silvia & Emter, Lorenz & Galstyan, Vahagn, 2020. "Repricing of risk and EME assets: the behaviour of Irish-domiciled funds during the COVID-19 crisis," Financial Stability Notes 9/FS/20, Central Bank of Ireland.
• Wang, Weining & Wooldridge, Jeffrey M. & Xu, Mengshan, 2020. "Improved Estimation of Dynamic Models of Conditional Means and Variances," IRTG 1792 Discussion Papers 2020-021, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Ahmed, Hanan & Einmahl, John & Zhou, Chen, 2021. "Extreme Value Statistics in Semi-Supervised Models," Discussion Paper 2021-007, Tilburg University, Center for Economic Research.
• Christoph Bertsch & Mike Mariathasan, 2021. "Optimal bank leverage and recapitalization in crowded markets," BIS Working Papers 923, Bank for International Settlements.
• T. Carraro & Edoardo Gaffeo & Marco Gallegati, 2021. "Risk and Strategic Complementarities: Banks Behavior, Supervision and Macroprudential Policies," Working Papers 452, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Charles Smith & Peter Van Tassel, 2021. "Equity Volatility Term Premia," Liberty Street Economics 20210203, Federal Reserve Bank of New York.
• Charles Smith & Peter Van Tassel, 2021. "The Law of One Price in Equity Volatility Markets," Liberty Street Economics 20210201, Federal Reserve Bank of New York.
• Henri Fraisse & Matthias Laporte, 2021. "Return on Investment on AI: The Case of Capital Requirement," Working papers 809, Banque de France.
• Inoue, Atsushi & Kilian, Lutz, 2020. "Joint Bayesian inference about impulse responses in VAR models," CFS Working Paper Series 650, Center for Financial Studies (CFS).
• Matteo Burzoni & Marco Frittelli & Federico Zorzi, 2021. "Robust market-adjusted systemic risk measures," Papers 2103.02920, arXiv.org, revised Aug 2021.
• Shota Imaki & Kentaro Imajo & Katsuya Ito & Kentaro Minami & Kei Nakagawa, 2021. "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging," Papers 2103.01775, arXiv.org.
• Suss, Joel & Bholat, David & Gillespie, Alex & Reader, Tom, 2021. "Organisational culture and bank risk," Bank of England working papers 912, Bank of England.
• Branka Hadji Misheva & Joerg Osterrieder & Ali Hirsa & Onkar Kulkarni & Stephen Fung Lin, 2021. "Explainable AI in Credit Risk Management," Papers 2103.00949, arXiv.org.
• Busch, Christopher & Ludwig, Alexander, 2021. "Higher-order income risk over the business cycle," ICIR Working Paper Series 36/21, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
• Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2020. "Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing," IRTG 1792 Discussion Papers 2020-020, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Feng, Yuanhua & Härdle, Wolfgang Karl, 2020. "A data-driven P-spline smoother and the P-Spline-GARCH models," IRTG 1792 Discussion Papers 2020-016, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Lubben, Bradley, 2020. "Risk Management Needs and Challenges for Agriculture," Cornhusker Economics 309749, University of Nebraska-Lincoln, Department of Agricultural Economics.
• Nassim Dehouche, 2021. "Scale matters: The daily, weekly and monthly volatility and predictability of Bitcoin, Gold, and the S&P 500," Papers 2103.00395, arXiv.org.
• Huber, Christoph & Huber, Juergen & Kirchler, Michael, 2021. "Volatility shocks and investment behavior," OSF Preprints jr4eb, Center for Open Science.
• Wahyudi, Christanto Arief & Arbay, Evi Aryati, 2021. "The Impact of OJK Regulation No. 48/POJK.03/2020 on the Quality of Credit and Risk Management of Banking Credit," OSF Preprints ue2bw, Center for Open Science.
• Kim Christensen & Mikkel Slot Nielsen & Mark Podolskij, 2021. "High-dimensional estimation of quadratic variation based on penalized realized variance," Papers 2103.03237, arXiv.org.
• Christoph Huber & Jürgen Huber & Michael Kirchler, 2021. "Volatility Shocks and Investment Behavior," Working Papers 2021-06, Faculty of Economics and Statistics, Universität Innsbruck.
• Wu, Desheng Dang & Härdle, Wolfgang Karl, 2020. "Service Data Analytics and Business Intelligence," IRTG 1792 Discussion Papers 2020-002, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Yanhong Chen & Zachary Feinstein, 2021. "Set-Valued Dynamic Risk Measures for Processes and Vectors," Papers 2103.00905, arXiv.org, revised Nov 2021.
• Ayten Kahya & Bhaskar Krishnamachari & Seokgu Yun, 2021. "Reducing the Volatility of Cryptocurrencies -- A Survey of Stablecoins," Papers 2103.01340, arXiv.org.
• Ahmed, Hanan & Einmahl, John & Zhou, Chen, 2021. "Extreme Value Statistics in Semi-Supervised Models," Other publications TiSEM ad83a546-fb09-408e-80cc-b, Tilburg University, School of Economics and Management.
• Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series 21-09, Swiss Finance Institute.
• Hunt, Eric D. & Walters, Cory & Klemm, Toni & Eronmwon, Iyore, 2020. "Seasonal Forecast Based Preharvest Hedging," Cornhusker Economics 309761, University of Nebraska-Lincoln, Department of Agricultural Economics.
• Petr Jakubik & Saida Teleu, 2021. "Suspension of Insurers´ Dividends as a Response to the Covid-19 Crisis: Evidence from Equity Market," Working Papers IES 2021/05, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Mar 2021.
• Kroencke, Tim-Alexander & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC risk shift," SAFE Working Paper Series 302, Leibniz Institute for Financial Research SAFE.
• John H. Cochrane, 2021. "Portfolios for Long-Term Investors," NBER Working Papers 28513, National Bureau of Economic Research, Inc.
• Youngsoo Jang & Soyoung Lee, 2021. "A Generalized Endogenous Grid Method for Default Risk Models," Staff Working Papers 21-11, Bank of Canada.
• Ercument Cahan & Jushan Bai & Serena Ng, 2021. "Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions," Papers 2103.03045, arXiv.org, revised Feb 2022.
• Philipp Eisenhauer & Jano's Gabler & Lena Janys & Christopher Walsh, 2021. "Structural models for policy-making: Coping with parametric uncertainty," Papers 2103.01115, arXiv.org, revised Jun 2022.