Report NEP-RMG-2021-12-13

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:

• Heng Z. Chen & Stephen R. Cosslett, 2021. "Semi-nonparametric Estimation of Operational Risk Capital with Extreme Loss Events," Papers 2111.11459, arXiv.org, revised Jul 2022.
• Francesco Cesarone & Manuel L Martino & Fabio Tardella, 2021. "Mean-Variance-VaR portfolios: MIQP formulation and performance analysis," Papers 2111.09773, arXiv.org.
• Mr. Ashraf Khan & Majid Malaika, 2021. "Central Bank Risk Management, Fintech, and Cybersecurity," IMF Working Papers 2021/105, International Monetary Fund.
• Jiarui Chu & Ludovic Tangpi, 2021. "Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics," Papers 2111.12248, arXiv.org, revised Feb 2023.
• Matic, Jovanka Lili & Packham, Natalie & Härdle, Wolfgang Karl, 2021. "Hedging Cryptocurrency Options," MPRA Paper 110774, University Library of Munich, Germany.
• Vishwajit Hegde & Arvind S. Menon & L. A. Prashanth & Krishna Jagannathan, 2021. "Online Estimation and Optimization of Utility-Based Shortfall Risk," Papers 2111.08805, arXiv.org, revised Nov 2023.
• Taras Bodnar & Nestor Parolya & Erik Thors'en, 2021. "Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?," Papers 2111.12532, arXiv.org.
• Adema, Joop & Nikolka, Till & Poutvaara, Panu & Sunde, Uwe, 2021. "On the Stability of Risk Preferences: Measurement Matters," IZA Discussion Papers 14755, Institute of Labor Economics (IZA).
• Nicolas Soenen & Rudi Vander Vennet, 2021. "Determinants of European Banks’ Default Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1033, Ghent University, Faculty of Economics and Business Administration.
• Lavorato, Mateus & Braga, Marcelo José, 2021. "On the Risk Efficiency of a Weather Index Insurance Product for the Brazilian Semi-Arid Region," 2021 Conference, August 17-31, 2021, Virtual 315193, International Association of Agricultural Economists.
• Nikitas Stamatopoulos & Guglielmo Mazzola & Stefan Woerner & William J. Zeng, 2021. "Towards Quantum Advantage in Financial Market Risk using Quantum Gradient Algorithms," Papers 2111.12509, arXiv.org, revised Jul 2022.
• Chao Zhang & Zihao Zhang & Mihai Cucuringu & Stefan Zohren, 2021. "A Universal End-to-End Approach to Portfolio Optimization via Deep Learning," Papers 2111.09170, arXiv.org.
• David Chen & Christian Friedrich, 2021. "The Countercyclical Capital Buffer and International Bank Lending: Evidence from Canada," Staff Working Papers 21-61, Bank of Canada.
• Minseog Oh & Donggyu Kim, 2021. "Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective," Papers 2111.09655, arXiv.org.
• Jan J. J. Groen & Adam I. Noble, 2021. "Is Higher Financial Stress Lurking around the Corner for China?," Liberty Street Economics 20211123, Federal Reserve Bank of New York.
• Xin Sheng & Won Joong Kim & Rangan Gupta, 2021. "The Impacts of Oil Price Volatility on Financial Stress: Is the COVID-19 Period Different?," Working Papers 202184, University of Pretoria, Department of Economics.
• Philip Protter & Alejandra Quintos, 2021. "Stopping Times Occurring Simultaneously," Papers 2111.09458, arXiv.org, revised Nov 2022.
• Laura Auria & Markus Bingmer & Carlos Mateo Caicedo Graciano & Clémence Charavel & Sergio Gavilá & Alessandra Iannamorelli & Aviram Levy & Alfredo Maldonado & Florian Resch & Anna Maria Rossi & Step, 2021. "Overview of central banks’ in-house credit assessment systems in the euro area," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 13, Bank of Italy, Directorate General for Markets and Payment System.
• amri amamou, souhir, 2021. "Cryptocurrencies responses to the Covid-19 waves," MPRA Paper 110843, University Library of Munich, Germany.
• Diana Radu, 2021. "Disaster Risk Financing: Main Concepts and Evidence from EU Member States," European Economy - Discussion Papers 150, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
• Lee, Y. & R., Shi & Blanc-Bates, E. & Jiang, C. & Guan, K. & Hudiburg, T & Guest, J & Khanna, M, 2021. "Risk, Uncertainty, and Biofuels’ Supply Chains," 2021 Conference, August 17-31, 2021, Virtual 315310, International Association of Agricultural Economists.
• Jonathan Raimana Chan & Thomas Huckle & Antoine Jacquier & Aitor Muguruza, 2021. "Portfolio optimisation with options," Papers 2111.12658, arXiv.org, revised Sep 2024.
• Mitchell, Olivia S. & Utkus, Stephen P., 2021. "Target date funds and portfolio choice in 401(k) plans," CFS Working Paper Series 662, Center for Financial Studies (CFS).