Report NEP-RMG-2021-09-27

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:

• Afees A. Salisu & Riza Demirer & Rangan Gupta, 2021. "Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility," Working Papers 202162, University of Pretoria, Department of Economics.
• Simon Fritzsch & Maike Timphus & Gregor Weiss, 2021. "Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?," Papers 2109.10946, arXiv.org.
• Lloyd, Simon & Manuel, Ed & Panchev, Konstantin, 2021. "Foreign vulnerabilities, domestic risks: the global drivers of GDP-at-Risk," Bank of England working papers 940, Bank of England.
• Cyril Couaillier & Valerio Scalone, 2021. "Risk-to-Buffer: Setting Cyclical and Structural Capital Buffers through Banks Stress Tests," Working papers 830, Banque de France.
• Tomasz Olma, 2021. "Nonparametric Estimation of Truncated Conditional Expectation Functions," Papers 2109.06150, arXiv.org.
• Lina M Cortés & Juan F. Rendón & Javier Perote, 2021. "Determining the banking solvency risk in times of COVID-19 through Gram-Charlier expansions," Documentos de Trabajo de Valor Público 19593, Universidad EAFIT.
• Fatouh, Mahmoud & Neamțu, Ioana & van Wijnbergen, Sweder, 2021. "Risk-taking and uncertainty: do contingent convertible (CoCo) bonds increase the risk appetite of banks?," Bank of England working papers 938, Bank of England.
• Solveig Flaig & Gero Junike, 2021. "Scenario generation for market risk models using generative neural networks," Papers 2109.10072, arXiv.org, revised Aug 2023.
• Fricke, Daniel, 2021. "Synthetic Leverage and Fund Risk-Taking," ESRB Working Paper Series 126, European Systemic Risk Board.
• Tommaso Oliviero & Min Park & Hong Zou, 2021. "Liquidity Effects of Litigation Risk: Evidence from a Legal Shock," CSEF Working Papers 623, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 21 Jan 2023.
• Anthony E. Brockwell, 2021. "Fractional Growth Portfolio Investment," Papers 2109.10814, arXiv.org.
• Raphael Auer & Alexandra Matyunina & Steven Ongena, 2021. "The countercyclical capital buffer and the composition of bank lending," Swiss Finance Institute Research Paper Series 21-66, Swiss Finance Institute.
• Fabien Perez & Guillaume Hollard & Radu Vranceanu, 2021. "How Serious is the Measurement-Error Problem in Risk-Aversion Tasks?," Working Papers 2021-13, Center for Research in Economics and Statistics.
• Carol Alexander & Xi Chen & Charles Ward, 2021. "Risk-Adjusted Valuation for Real Option Decisions," Papers 2109.04793, arXiv.org.