Report NEP-RMG-2021-03-22

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:

• Patrick S. Hagan & Andrew Lesniewski & Georgios E. Skoufis & Diana E. Woodward, 2021. "Portfolio risk allocation through Shapley value," Papers 2103.05453, arXiv.org.
• G'abor Papp & Imre Kondor & Fabio Caccioli, 2021. "Optimizing Expected Shortfall under an $\ell_1$ constraint -- an analytic approach," Papers 2103.04375, arXiv.org.
• Raymond C. W. Leung & Yu-Man Tam, 2021. "Statistical Arbitrage Risk Premium by Machine Learning," Papers 2103.09987, arXiv.org.
• Yuan Hu & W. Brent Lindquist, 2021. "Portfolio Optimization Constrained by Performance Attribution," Papers 2103.04432, arXiv.org.
• Michel Alexandre & Kau^e Lopes de Moraes & Francisco Aparecido Rodrigues, 2021. "Risk-dependent centrality in the Brazilian stock market," Papers 2103.09059, arXiv.org.
• Caterina Mendicino & Kalin Nikolov & Juan Rubio-Ramirez & Javier Suarez & Dominik Supera, 2020. "Twin Default Crises," Working Papers wp2020_2006, CEMFI.
• Hyunsu Kim, 2021. "Deep Hedging, Generative Adversarial Networks, and Beyond," Papers 2103.03913, arXiv.org.
• Paddrick, Mark & Young, H. Peyton, 2021. "How safe are central counterparties in credit default swap markets?," LSE Research Online Documents on Economics 101170, London School of Economics and Political Science, LSE Library.
• Viral V. Acharya & Robert F. Engle III & Maximilian Jager & Sascha Steffen, 2021. "Why Did Bank Stocks Crash During COVID-19?," NBER Working Papers 28559, National Bureau of Economic Research, Inc.
• Michael Krisper, 2021. "Problems with Risk Matrices Using Ordinal Scales," Papers 2103.05440, arXiv.org.
• Nicole Bauerle & Gregor Leimcke, 2021. "Bayesian optimal investment and reinsurance with dependent financial and insurance risks," Papers 2103.05777, arXiv.org.
• Colombo, Jefferson A. & Cruz, Fernando I. L. & Paese, Luis H. Z. & Cortes, Renan X., 2021. "The diversification benefits of cryptocurrencies in multi-asset portfolios: cross-country evidence," Textos para discussão 542, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
• Baishuai Zuo & Chuancun Yin, 2021. "Multivariate tail covariance for generalized skew-elliptical distributions," Papers 2103.05201, arXiv.org.
• Mykola Babiak & Jozef Barunik, 2021. "Uncertainty Network Risk and Currency Returns," CERGE-EI Working Papers wp687, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Josselin Garnier & Jean-Baptiste Gaudemet & Anne Gruz, 2021. "The Climate Extended Risk Model (CERM)," Papers 2103.03275, arXiv.org, revised Apr 2022.
• Guohui Guan & Zongxia Liang & Yi xia, 2021. "Optimal management of DC pension fund under relative performance ratio and VaR constraint," Papers 2103.04352, arXiv.org.
• Muhammad Arif & Muhammad Abubakr Naeem & Saqib Farid & Rabindra Nepal & Tooraj Jamasb, 2021. "Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19," CAMA Working Papers 2021-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Delis, Manthos & Iosifidi, Maria & Hasan, Iftekhar & Tsoumas, Chris, 2021. "Economic preferences over risk-taking and corporate finance," MPRA Paper 106321, University Library of Munich, Germany.
• Bianchi, Benedetta, 2021. "Cross-border credit derivatives linkages," ESRB Working Paper Series 115, European Systemic Risk Board.