Report NEP-RMG-2021-04-12

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:

• Daniele Petrone & Neofytos Rodosthenous & Vito Latora, 2021. "Artificial intelligence applied to bailout decisions in financial systemic risk management," Papers 2102.02121, arXiv.org.
• Mr. Shekhar Aiyar & Mai Dao & Andreas Jobst & Ms. Aiko Mineshima & Ms. Srobona Mitra & Mahmood Pradhan, 2021. "COVID-19: How Will European Banks Fare?," IMF Departmental Papers / Policy Papers 2021/008, International Monetary Fund.
• Souhir Ben Amor & Michael Althof & Wolfgang Karl Hardle, 2021. "FRM Financial Risk Meter for Emerging Markets," Papers 2102.05398, arXiv.org.
• Salissu, Afees & Raheem, Ibrahim & Eigbiremolen, Godstime, 2020. "The behaviour of U.S. stocks to financial and health risks," MPRA Paper 105354, University Library of Munich, Germany.
• Erio Castagnoli & Giacomo Cattelan & Fabio Maccheroni & Claudio Tebaldi & Ruodu Wang, 2021. "Star-shaped Risk Measures," Papers 2103.15790, arXiv.org, revised Apr 2022.
• Virk, Nader & Javed, Farrukh & Awartani, Basel, 2021. "A reality check on the GARCH-MIDAS volatility models," Working Papers 2021:2, Örebro University, School of Business.
• Vladim'ir Hol'y & Michal v{C}ern'y, 2021. "Bertram's Pairs Trading Strategy with Bounded Risk," Papers 2102.04160, arXiv.org, revised Jun 2021.
• Nawaf Mohammed & Edward Furman & Jianxi Su, 2021. "Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of Conditional Tail Expectation," Papers 2102.05003, arXiv.org, revised Aug 2021.
• Lowery, Richard & Canann, Taylor & Carvalho, Carlos, 2020. "Industry-Level Baseline Risk of COVID-19 Infection," Working Papers 10671, George Mason University, Mercatus Center.
• Somnath Chatterjee & Marea Sing, 2021. "Measuring Systemic Risk in South African Banks," Working Papers 11004, South African Reserve Bank.
• Maxime Bergeron & Nicholas Fung & John Hull & Zissis Poulos, 2021. "Variational Autoencoders: A Hands-Off Approach to Volatility," Papers 2102.03945, arXiv.org.
• Berardi, Michele, 2021. "Uncertainty, sentiments and time-varying risk premia," MPRA Paper 106922, University Library of Munich, Germany.
• Peter P. Rohde & Vijay Mohan & Sinclair Davidson & Chris Berg & Darcy Allen & Gavin K. Brennen & Jason Potts, 2021. "Quantum crypto-economics: Blockchain prediction markets for the evolution of quantum technology," Papers 2102.00659, arXiv.org.
• Nicolas Curin & Michael Kettler & Xi Kleisinger-Yu & Vlatka Komaric & Thomas Krabichler & Josef Teichmann & Hanna Wutte, 2021. "A deep learning model for gas storage optimization," Papers 2102.01980, arXiv.org, revised Mar 2021.
• Hyungbin Park, 2021. "Influence of risk tolerance on long-term investments: A Malliavin calculus approach," Papers 2104.00911, arXiv.org.
• Alfred Galichon & Marc Henry, 2021. "Dual theory of choice with multivariate risks," Papers 2102.02578, arXiv.org, revised Feb 2021.
• Hsuan-Ku Liu, 2021. "Perpetual callable American volatility options in a mean-reverting volatility model," Papers 2104.01127, arXiv.org.
• Fengler, Matthias & Polivka, Jeannine, 2021. "Proxy-identification of a structural MGARCH model for asset returns," Economics Working Paper Series 2103, University of St. Gallen, School of Economics and Political Science, revised Oct 2024.
• Dabadghao, Shaunak S. & Chockalingam, Arun & Soltani, Taimaz & Fransoo, Jan C., 2021. "Valuing switching options with the moving-boundary method," Other publications TiSEM 45fe7e78-129f-4d41-ac2f-5, Tilburg University, School of Economics and Management.
• Johan Auster & Ludovic Mathys & Fabio Maeder, 2021. "JDOI Variance Reduction Method and the Pricing of American-Style Options," Papers 2104.01365, arXiv.org, revised May 2021.
• Dietmar Pfeifer & Vivien Langen, 2021. "Insurance Business and Sustainable Development," Papers 2102.02612, arXiv.org.
• Kyungsub Lee & Byoung Ki Seo, 2021. "Analytic formula for option margin with liquidity costs under dynamic delta hedging," Papers 2103.15302, arXiv.org.
• Ch V V S N V Prasad, 2021. "Benefits of Enterprise Risk Management: A Systematic Review of Literature," GATR Journals jfbr181, Global Academy of Training and Research (GATR) Enterprise.
• Flores Sánchez, Edgar Mauricio & Rodríguez Batres, Axel & Varela Espidio, Joaquín Bernardo, 2021. "Risk assessment for micro companies belonging to selected economic branches of the professional, scientific and technical services sector in Mexico through the Beta coefficient," MPRA Paper 105727, University Library of Munich, Germany.