Report NEP-RMG-2021-11-29

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:

• Julio A. Crego & Julio Gálvez, 2021. "Brexit: Cyclical dependence in market neutral hedge funds," Working Papers 2141, Banco de España.
• Item repec:aei:rpaper:1008587533 is not listed on IDEAS anymore

• Dong Hwan Oh & Andrew J. Patton, 2021. "Better the Devil You Know: Improved Forecasts from Imperfect Models," Finance and Economics Discussion Series 2021-071, Board of Governors of the Federal Reserve System (U.S.).
• Guo, Dong & Zhou, Peng, 2021. "Green Bonds as Hedging Assets before and after COVID: A Comparative Study between the US and China," Cardiff Economics Working Papers E2021/28, Cardiff University, Cardiff Business School, Economics Section.
• Černý, Aleš & Czichowsky, Christoph & Kallsen, Jan, 2021. "Numeraire-invariant quadratic hedging and mean–variance portfolio allocation," LSE Research Online Documents on Economics 112612, London School of Economics and Political Science, LSE Library.
• Juncal Cunado & David Gabauer & Rangan Gupta, 2021. "Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach," Working Papers 202180, University of Pretoria, Department of Economics.
• Mr. Fabio Comelli & Ms. Sumiko Ogawa, 2021. "What Can We Learn from Financial Stability Reports?," IMF Working Papers 2021/200, International Monetary Fund.
• Paraskevi Tzika & Theologos Pantelidis, 2021. "The contribution of Economic Policy Uncertainty to the persistence of shocks to stock market volatility," Discussion Paper Series 2021_11, Department of Economics, University of Macedonia, revised Sep 2021.
• Tom Gillespie & Ronan C. Lyons & Thomas K. J. McDermott, 2020. "Information Matters: Evidence from flood risk in the Irish housing market," Trinity Economics Papers tep1620, Trinity College Dublin, Department of Economics.
• Christa Cuchiero & Christoph Reisinger & Stefan Rigger, 2021. "Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem," Papers 2111.01783, arXiv.org, revised Oct 2022.
• Chen, Huang & Liu, Kexin & Hou, Lingling, 2021. "How Does Agricultural Insurance Alter Income Distribution?," 2021 Conference, August 17-31, 2021, Virtual 315880, International Association of Agricultural Economists.
• Sumit Agarwal & Slava Mikhed & Barry Scholnick & Man Zhang, 2022. "Reducing Strategic Default in a Financial Crisis," Working Papers 21-36, Federal Reserve Bank of Philadelphia.
• Sebastian Edwards, 2021. "Macroprudential Policies and The Covid-19 Pandemic: Risks and Challenges For Emerging Markets," NBER Working Papers 29441, National Bureau of Economic Research, Inc.
• Sandrine Brèteau-Amores & Marielle Brunette & Christophe François & Antoine Leblois & Nicolas Martin-StPaul, 2021. "Index insurance for coping with drought-induced risk of production losses in French forests," Working Papers of BETA 2021-44, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Arora, Gaurav & Agarwal, Sandip, 2021. "Agricultural Input Use and Index Insurance Adoption: Concept and Evidence," 2021 Conference, August 17-31, 2021, Virtual 315884, International Association of Agricultural Economists.
• Ariana Paola Cortés à ngel & Mustafa Hakan Eratalay, 2021. "Deedp Diving Into The S&P 350 Europe Index Network Ans Its Reaction To Covid-19," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 134, Faculty of Economics and Business Administration, University of Tartu (Estonia).
• Tae-Hwy Lee & He Wang & Zhou Xi & Ru Zhang, 2021. "Density Forecast of Financial Returns Using Decomposition and Maximum Entropy," Working Papers 202115, University of California at Riverside, Department of Economics.
• Hamed Amini & Zhongyuan Cao & Agnes Sulem, 2021. "Fire Sales, Default Cascades and Complex Financial Networks," Working Papers hal-03425599, HAL.
• Asif Lakhany & Amber Zhang, 2021. "Efficient ISDA Initial Margin Calculations Using Least Squares Monte-Carlo," Papers 2110.13296, arXiv.org.
• Bougherara, Douadia & Friesen, Lana & Nauges, Céline, 2021. "Risk Taking and Skewness Seeking Behavior in a Demographically Diverse Population," TSE Working Papers 21-1267, Toulouse School of Economics (TSE), revised Jul 2022.
• Vito Polito & Yunyi Zhang, 2021. "Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression," CESifo Working Paper Series 9395, CESifo.
• Perry Singleton, 2021. "Behavioral Bias in Occupational Fatality Risk: Theory, Evidence, and Implications," Center for Policy Research Working Papers 242, Center for Policy Research, Maxwell School, Syracuse University.
• Mr. Alejandro D Guerson, 2021. "Pooling Fiscal Risk in the ECCU: Quantifying Savings of a Regional Fund for Stabilization and Investment," IMF Working Papers 2021/191, International Monetary Fund.
• Thomas Dohmen & Arjan Non & Tom Stolp, 2021. "Reference Points and the Tradeoff Between Risk and Incentives," CRC TR 224 Discussion Paper Series crctr224_2021_322, University of Bonn and University of Mannheim, Germany.
• Carlo Altavilla & Andrew Ellul & Marco Pagano & Andrea Polo & Thomas Vlassopoulos, 2021. "Loan Guarantees, Bank Lending and Credit Risk Reallocation," CSEF Working Papers 629, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 30 Jul 2022.
• William Barcelona & Nathan Converse & Anna Wong, 2021. "U.S. Housing as a Global Safe Asset: Evidence from China Shocks," International Finance Discussion Papers 1332, Board of Governors of the Federal Reserve System (U.S.).
• Jeremy D. Turiel & Tomaso Aste, 2021. "Self-organised criticality in high frequency finance: the case of flash crashes," Papers 2110.13718, arXiv.org.