Report NEP-RMG-2021-12-20

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.

Subscribe to this report: email, RSS, or Mastodon.

Other reports in NEP-RMG

The following items were announced in this report:

• Daniele Bianchi & Mykola Babiak, 2021. "A Factor Model for Cryptocurrency Returns," CERGE-EI Working Papers wp710, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Skouralis, Alexandros, 2021. "The role of systemic risk spillovers in the transmission of Euro Area monetary policy," ESRB Working Paper Series 129, European Systemic Risk Board.
• Yajie Yang & Longfeng Zhao & Lin Chen & Chao Wang & Jihui Han, 2021. "Portfolio optimization with idiosyncratic and systemic risks for financial networks," Papers 2111.11286, arXiv.org.
• Kamesh Korangi & Christophe Mues & Cristi'an Bravo, 2021. "A transformer-based model for default prediction in mid-cap corporate markets," Papers 2111.09902, arXiv.org, revised Apr 2023.
• Bin Xie & Weiping Li, 2021. "The Parameter Sensitivities of a Jump-diffusion Process in Basic Credit Risk Analysis," Papers 2111.13334, arXiv.org.
• Yuechen Dai & Tonghui Xu, 2021. "A Lifecycle Approach to Insurance Solvency," Working Papers in Economics 21/13, University of Canterbury, Department of Economics and Finance.
• Julian Jetses & Marcus C. Christiansen, 2021. "A General Surplus Decomposition Principle in Life Insurance," Papers 2111.12967, arXiv.org.
• Murphy, David & Vause, Nicholas, 2021. "A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models," Bank of England working papers 950, Bank of England.
• Sebastiano Michele Zema & Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2021. "Mesoscopic Structure of the Stock Market and Portfolio Optimization," LEM Papers Series 2021/45, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Maria Arduca & Cosimo Munari, 2021. "Risk measures beyond frictionless markets," Papers 2111.08294, arXiv.org.
• Matthieu Stigler & David Lobell, 2021. "Optimal index insurance and basis risk decomposition: an application to Kenya," Papers 2111.08601, arXiv.org, revised Mar 2023.
• Claire Mouminoux & Christophe Dutang & Stéphane Loisel & Hansjoerg Albrecher, 2021. "On a Markovian game model for competitive insurance pricing," Post-Print hal-03448339, HAL.
• Gabriele Lattanzio & Jerome Taillard, 2021. "M&A and Cybersecurity Risk: Empirical Evidence," Working Papers 2021/02, Nazarbayev University, Graduate School of Business.
• E Philip Davis & Ka Kei Chan & Dilruba Karim, 2021. "Macroprudential Policy, Bank Competition and Bank Risk in East Asia," National Institute of Economic and Social Research (NIESR) Discussion Papers 533, National Institute of Economic and Social Research.
• Heinzel, Christoph & Peter, Richard, 2021. "Precautionary motives with multiple instruments," Working Papers 316521, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2).
• Ding, Yulian & Yu, Jianyu & Sun, Yangyang & Nayga, Rodolfo M. Jr. & Liu, Yunyun, 2021. "Gene-Edited or Genetically Modified Food? The Impacts of Risk and Ambiguity on Chinese Consumers’ Willingness to Pay," 2021 Conference, August 17-31, 2021, Virtual 315239, International Association of Agricultural Economists.
• Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021. "Sovereign Risk and Financial Risk," NBER Working Papers 29501, National Bureau of Economic Research, Inc.
• Douadia Bougherara & Lana Friesen & Céline Nauges, 2021. "Risk Taking and Skewness Seeking Behavior in a Demographically Diverse Population," Discussion Papers Series 650, School of Economics, University of Queensland, Australia.
• Gottlieb, Daniel & Smetters, Kent, 2021. "Lapse-based insurance," LSE Research Online Documents on Economics 110241, London School of Economics and Political Science, LSE Library.
• Nick James & Kevin Chin, 2021. "On the systemic nature of global inflation, its association with equity markets and financial portfolio implications," Papers 2111.11022, arXiv.org, revised Jan 2022.
• Misha Perepelitsa, 2021. "Investing in crypto: speculative bubbles and cyclic stochastic price pumps," Papers 2111.11315, arXiv.org, revised Oct 2022.
• Bin Xie & Weiping Li & Nan Liang, 2021. "Pricing S&P 500 Index Options with L\'evy Jumps," Papers 2111.10033, arXiv.org, revised Nov 2021.
• Tarek Alexander Hassan & Jesse Schreger & Markus Schwedeler & Ahmed Tahoun, 2021. "Sources and Transmission of Country Risk," NBER Working Papers 29526, National Bureau of Economic Research, Inc.
• Mr. Jorge A Chan-Lau, 2020. "UnFEAR: Unsupervised Feature Extraction Clustering with an Application to Crisis Regimes Classification," IMF Working Papers 2020/262, International Monetary Fund.