Report NEP-RMG-2021-08-23

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:

• Pawel Polak & Urban Ulrych, 2021. "Dynamic Currency Hedging with Ambiguity," Swiss Finance Institute Research Paper Series 21-60, Swiss Finance Institute.
• Yichun Chi & Zuo Quan Xu & Sheng Chao Zhuang, 2021. "Distributionally robust goal-reaching optimization in the presence of background risk," Papers 2108.04464, arXiv.org, revised Dec 2021.
• Dominic Joseph, 2021. "Predicting Credit Default Probabilities Using Bayesian Statistics and Monte Carlo Simulations," Papers 2108.03389, arXiv.org, revised Sep 2021.
• Martin Indergand & Gabriela Hrasko, 2021. "Does the market believe in loss-absorbing bank debt?," Working Papers 2021-13, Swiss National Bank.
• Francesca Biagini & Andrea Mazzon & Katharina Oberpriller, 2021. "Reduced-form framework for multiple ordered default times under model uncertainty," Papers 2108.04047, arXiv.org, revised Oct 2022.
• Ralph S. J. Koijen & Motohiro Yogo, 2021. "The Evolution from Life Insurance to Financial Engineering," NBER Working Papers 29030, National Bureau of Economic Research, Inc.
• Clemens Sialm & Qifei Zhu, 2021. "Currency Management by International Fixed Income Mutual Funds," NBER Working Papers 29082, National Bureau of Economic Research, Inc.
• Subhadeep Mukhopadhyay, 2021. "InfoGram and Admissible Machine Learning," Papers 2108.07380, arXiv.org, revised Aug 2021.
• Renee van Eyden & Rangan Gupta & Jacobus Nel & Elie Bouri, 2021. "Rare Disaster Risks and Volatility of the Term-Structure of US Treasury Securities: The Role of El Nino and La Nina Events," Working Papers 202155, University of Pretoria, Department of Economics.
• Georges Prat & Remzi Uctum, 2021. "Modeling ex-ante risk premia in the oil market," Post-Print hal-03318785, HAL.
• Giancarlo Corsetti & Anna Lipínska & Giovanni Lombardo, 2021. "Sharing asymmetric tail risk smoothing, asset pricing and terms of trade," BIS Working Papers 958, Bank for International Settlements.
• Carol Alexander & Ding Chen & Arben Imeraj, 2021. "Inverse and Quanto Inverse Options in a Black-Scholes World," Papers 2107.12041, arXiv.org, revised Oct 2022.
• Georges Prat & Remzi Uctum, 2021. "Term structure of interest rates: modelling the risk premium using a two horizons framework," Post-Print hal-03319099, HAL.
• Michael J. Gropper & Camelia M. Kuhnen, 2021. "Wealth and Insurance Choices: Evidence from US Households," NBER Working Papers 29069, National Bureau of Economic Research, Inc.
• Yonatan Berman & Mark Kirstein, 2021. "Risk Preferences in Time Lotteries," Papers 2108.08366, arXiv.org.