Report NEP-RMG-2021-11-15

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:

• Alessandro Bitetto & Stefano Filomeni & Michele Modina, 2021. "Understanding corporate default using Random Forest: The role of accounting and market information," DEM Working Papers Series 205, University of Pavia, Department of Economics and Management.
• Lucrezia Reichlin & Giovanni Ricco & Thomas Hasenzagl, 2020. "Financial Variables as Predictors of Real Growth Vulnerability," Working Papers hal-03403077, HAL.
• Marcos Escobar-Anel & Yevhen Havrylenko & Michel Kschonnek & Rudi Zagst, 2021. "Decrease of capital guarantees in life insurance products: can reinsurance stop it?," Papers 2111.03603, arXiv.org.
• Damian Kisiel & Denise Gorse, 2021. "A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection," Papers 2111.05935, arXiv.org.
• Behn, Markus & Haselmann, Rainer & Vig, Vikrant, 2021. "The Limits of Model-Based Regulation," LawFin Working Paper Series 20, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
• Thiemann, Matthias & Tröger, Tobias, 2020. "The Case for a Normatively Charged Approach to Regulating Shadow Banking - Multipolar Regulatory Dialogues as a Means to Detect Tail Risks and Preclude Regulatory Arbitrage," LawFin Working Paper Series 2, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
• Stulz, Rene M. & Tompkins, James G. & Williamson, Rohan & Ye, Zhongxia Shelly, 2021. "Why Do Bank Boards Have Risk Committees?," Working Paper Series 2021-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Matteo Malavasi & Gareth W. Peters & Pavel V. Shevchenko & Stefan Truck & Jiwook Jang & Georgy Sofronov, 2021. "Cyber Risk Frequency, Severity and Insurance Viability," Papers 2111.03366, arXiv.org, revised Mar 2022.
• Конурбаева Наталья // Konurbayeva Natalya & Нурханова Оксана // Nurkhanova Oxana & Хакимжанов Сабит // Khakimzhanov Sabit, 2021. "Оценка качества ссудного портфеля по данным на уровне займа // Assessing the quality of loan portfolio based on the loan level data," Working Papers #2021-7, National Bank of Kazakhstan.
• Jie Chen & Lingfei Li, 2021. "Data-driven Hedging of Stock Index Options via Deep Learning," Papers 2111.03477, arXiv.org.
• Irina Iakimenko & Maria Semenova & Eugeny Zimin, 2021. "The More The Better? Information Sharing And Credit Risk," HSE Working papers WP BRP 85/FE/2021, National Research University Higher School of Economics.
• Xiufeng Yan, 2021. "Multiplicative Component GARCH Model of Intraday Volatility," Papers 2111.02376, arXiv.org.
• Nicola Comincioli & Paolo M. Panteghini & Sergio Vergalli, 2021. "The start-up decision under default risk," Working Papers 2021.27, Fondazione Eni Enrico Mattei.
• Meyland, Dominik & Schäfer, Dorothea, 2021. "Home Bias in Sovereign Exposure and the Probability of Bank Default – Evidence From EU-Stress Test Data," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242453, Verein für Socialpolitik / German Economic Association.
• Edson Z. Monte & Lucas B. Defanti, 2021. "Dynamic Interdependence and Volatility Transmission from the American to the Brazilian Stock Market," EERI Research Paper Series EERI RP 2021/09, Economics and Econometrics Research Institute (EERI), Brussels.
• Goel, Tirupam & Lewrick, Ulf & Mathur, Aakriti, 2021. "Does regulation only bite the less profitable? Evidence from the too-big-to-fail reforms," Bank of England working papers 946, Bank of England.
• Kim, Young Il, 2020. "Examining the liquidity risk in the household sector and the policy implications," KDI Policy Forum 279, Korea Development Institute (KDI).