Report NEP-RMG-2021-07-26

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:

• Cosimo Munari & Lutz Wilhelmy & Stefan Weber, 2021. "Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation," Papers 2107.10635, arXiv.org.
• Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2021. "Multivariate crash risk," CFR Working Papers 21-07, University of Cologne, Centre for Financial Research (CFR).
• International Monetary Fund, 2021. "People’s Republic of China–Hong Kong Special Administrative Region: Financial Sector Assessment Program-Detailed Assessment of Observance-HKFE Clearing Corporation Limited (HKCC) Principles for Financ," IMF Staff Country Reports 2021/122, International Monetary Fund.
• Akif Ince & Ilaria Peri & Silvana Pesenti, 2021. "Risk contributions of lambda quantiles," Papers 2106.14824, arXiv.org, revised Nov 2022.
• Hengxu Lin & Dong Zhou & Weiqing Liu & Jiang Bian, 2021. "Deep Risk Model: A Deep Learning Solution for Mining Latent Risk Factors to Improve Covariance Matrix Estimation," Papers 2107.05201, arXiv.org, revised Oct 2021.
• Abu Karsh, Sharif M., 2021. "Emerging Innovation Risk Management in Financial Institutions of United States," OSF Preprints 3j62p, Center for Open Science.
• Heidorn, Thomas & Pottmeyer, Andreas, 2020. "Introduction of additional Tier 1 capital," Frankfurt School - Working Paper Series 229, Frankfurt School of Finance and Management.
• Zongxia Liang & Yang Liu & Ming Ma & Rahul Pothi Vinoth, 2021. "A Unified Formula of the Optimal Portfolio for Piecewise Hyperbolic Absolute Risk Aversion Utilities," Papers 2107.06460, arXiv.org, revised Oct 2023.
• Silvana M. Pesenti, 2021. "Reverse Sensitivity Analysis for Risk Modelling," Papers 2107.01065, arXiv.org, revised May 2022.
• Peter Carr & Roger Lee & Matthew Lorig, 2021. "Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions," Papers 2107.00554, arXiv.org.
• Thomas Knispel & Roger J. A. Laeven & Gregor Svindland, 2021. "Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures," Papers 2107.01730, arXiv.org.
• Farhad Billimoria & Filiberto Fele & Iacopo Savelli & Thomas Morstyn & Malcolm McCulloch, 2021. "On the Design of an Insurance Mechanism for Reliability Differentiation in Electricity Markets," Papers 2106.14351, arXiv.org.
• Chongrui Zhu, 2021. "Optimality of threshold strategies for spectrally negative Levy processes and a positive terminal value at creeping ruin," Papers 2107.06841, arXiv.org, revised Jan 2023.
• Lorenzo Silotto & Marco Scaringi & Marco Bianchetti, 2021. "Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask," Papers 2107.10377, arXiv.org.
• Li, Wei & Paraschiv, Florentina & Sermpinis, Georgios, 2021. "A data-driven explainable case-based reasoning approach for financial risk detection," IRTG 1792 Discussion Papers 2021-010, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• N. Packham & F. Woebbeking, 2021. "Correlation scenarios and correlation stress testing," Papers 2107.06839, arXiv.org, revised Sep 2022.
• Jose M. Berrospide & Arun Gupta & Matthew P. Seay, 2021. "Un-used Bank Capital Buffers and Credit Supply Shocks at SMEs during the Pandemic," Finance and Economics Discussion Series 2021-043, Board of Governors of the Federal Reserve System (U.S.).
• Jie Cao & Amit Goyal & Xintong Zhan & Weiming Elaine Zhang, 2021. "Unlocking ESG Premium from Options," Swiss Finance Institute Research Paper Series 21-39, Swiss Finance Institute.
• Masud Alam, 2021. "Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return," Papers 2107.10455, arXiv.org.
• Raphaël Cardot-Martin & Fabien Labondance & Catherine Refait-Alexandre, 2021. "Capital ratios and banking crises in the European Union," Working Papers 2021-05, CRESE.
• Wolfgang Schadner, 2021. "Feasible Implied Correlation Matrices from Factor Structures," Papers 2107.00427, arXiv.org.
• Carol Alexander & Daniel Heck & Andreas Kaeck, 2021. "The Role of Binance in Bitcoin Volatility Transmission," Papers 2107.00298, arXiv.org, revised Aug 2021.
• Gautier Marti & Victor Goubet & Frank Nielsen, 2021. "cCorrGAN: Conditional Correlation GAN for Learning Empirical Conditional Distributions in the Elliptope," Papers 2107.10606, arXiv.org.
• Patrick Martin & Zeinab Elbeltagy & Zenathan Hasannudin & Masato Abe, 2021. "Factors Affecting the Environmental and Social Risk Management of Financial Institutions in Selected AsiaPacific Developing Countries," MPDD Working Paper Series WP/21/01, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP).
• Nicklas Werge, 2021. "Predicting Risk-adjusted Returns using an Asset Independent Regime-switching Model," Papers 2107.05535, arXiv.org.
• International Monetary Fund, 2021. "People’s Republic of China–Hong Kong Special Administrative Region: Financial Sector Assessment Program-Technical Note-Banking Sector: Supervision and Regulation," IMF Staff Country Reports 2021/118, International Monetary Fund.
• Haselmann, Rainer & Tröger, Tobias, 2021. "What are the main differences between the practice of supervising large banks in the UK and in the euro area, and what are the main risks of regulatory divergence?," SAFE White Paper Series 86, Leibniz Institute for Financial Research SAFE.
• Xiaoqing Liang & Ruodu Wang & Virginia Young, 2021. "Optimal Insurance to Maximize RDEU Under a Distortion-Deviation Premium Principle," Papers 2107.02656, arXiv.org, revised Feb 2022.
• Erik Andres-Escayola & Juan Carlos Berganza & Rodolfo Campos & Luis Molina, 2021. "A BVAR toolkit to assess macrofinancial risks in Brazil and Mexico," Occasional Papers 2114, Banco de España.
• International Monetary Fund, 2021. "People’s Republic of China–Hong Kong Special Administrative Region: Financial Sector Assessment Program-Technical Note-Stress Testing the Banking Sector and Systemic Risk Analysis," IMF Staff Country Reports 2021/114, International Monetary Fund.
• Makarov, Dmitry, 2020. "Optimal portfolio under ambiguous ambiguity," MPRA Paper 108837, University Library of Munich, Germany, revised Dec 2020.
• Nassim Nicholas Taleb, 2021. "Bitcoin, Currencies, and Fragility," Papers 2106.14204, arXiv.org, revised Jul 2021.
• Dan Wang & Zhi Chen & Ionut Florescu, 2021. "A Sparsity Algorithm with Applications to Corporate Credit Rating," Papers 2107.10306, arXiv.org.
• Lara Dalmeyer & Tim Gebbie, 2021. "Geometric insights into robust portfolio construction," Papers 2107.06194, arXiv.org, revised Dec 2024.
• R. G. Alcoforado & W. Bernardino & A. D. Eg'idio dos Reis & J. A. C. Santos, 2021. "Modelling risk for commodities in Brazil: An application to live cattle spot and futures prices," Papers 2107.07556, arXiv.org.