Report NEP-RMG-2021-10-11

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:

• Shijia Song & Handong Li, 2021. "A Method for Predicting VaR by Aggregating Generalized Distributions Driven by the Dynamic Conditional Score," Papers 2110.02953, arXiv.org.
• Grochola, Nicolaus & Browne, Mark Joseph & Gründl, Helmut & Schlütter, Sebastian, 2021. "Exploring the market risk profiles of U.S. and European life insurers," ICIR Working Paper Series 39/21, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
• Shijia Song & Handong Li, 2021. "Value-at-Risk forecasting model based on normal inverse Gaussian distribution driven by dynamic conditional score," Papers 2110.02492, arXiv.org.
• Thierry Roncalli, 2021. "Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk," Papers 2110.01302, arXiv.org.
• Brice Corgnet & Camille Cornand & Nobuyuki Hanaki, 2021. "Emotional Markets: Competitive Arousal, Overbidding and Bubbles," Working Papers 2117, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
• K. S. Naik, 2021. "Predicting Credit Risk for Unsecured Lending: A Machine Learning Approach," Papers 2110.02206, arXiv.org.
• Andreas Binder & Onkar Jadhav & Volker Mehrmann, 2021. "Error Analysis of a Model Order Reduction Framework for Financial Risk Analysis," Papers 2110.00774, arXiv.org.
• Simon Rudkin & Wanling Qiu & Pawel Dlotko, 2021. "Uncertainty, volatility and the persistence norms of financial time series," Papers 2110.00098, arXiv.org.
• Felix Polyakov, 2021. "Representation of probability distributions with implied volatility and biological rationale," Papers 2110.03517, arXiv.org.
• Yuta Kurose, 2021. "Stochastic volatility model with range-based correction and leverage," Papers 2110.00039, arXiv.org, revised Oct 2021.
• Jianying Xie, 2021. "A New Multivariate Predictive Model for Stock Returns," Papers 2110.01873, arXiv.org.
• Manuel Arellano & Stéphane Bonhomme & Micole De Vera & Laura Hospido & Siqi Wei, 2021. "Income Risk Inequality: Evidence from Spanish Administrative Records," Working Papers wp2021_2109, CEMFI.
• Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021. "Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model," Papers 2110.03411, arXiv.org.
• Farnè, Matteo & Vouldis, Angelos, 2021. "Banks' risk-taking within a banking union," Working Paper Series 2595, European Central Bank.
• Dimitriadou, Athanasia & Agrapetidou, Anna & Gogas, Periklis & Papadimitriou, Theophilos, 2021. "Credit Rating Agencies: Evolution or Extinction?," DUTH Research Papers in Economics 9-2021, Democritus University of Thrace, Department of Economics.