Report NEP-RMG-2022-05-16

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:

• Radoslav Raykov & Consuelo Silva-Buston, 2022. "Asymmetric Systemic Risk," Staff Working Papers 22-19, Bank of Canada.
• Duan, Fang, 2022. "Forecasting risk measures based on structural breaks in the correlation matrix," Ruhr Economic Papers 945, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
• Victoria Böhnke & Steven Ongena & Florentina Paraschiv & Endre J Reite, 2022. "Back to the Roots of Internal Credit Risk Models: Why Do Banks’ Risk-Weighted Asset Levels Converge over Time?," Swiss Finance Institute Research Paper Series 22-33, Swiss Finance Institute.
• John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2022. "Idiosyncratic Equity Risk Two Decades Later," NBER Working Papers 29916, National Bureau of Economic Research, Inc.
• Galvani, Valentina, 2022. "Country-Based Investing with Exchange Rate and Reserve Currency," Working Papers 2022-5, University of Alberta, Department of Economics.
• Zexuan Yin & Paolo Barucca, 2022. "Variational Heteroscedastic Volatility Model," Papers 2204.05806, arXiv.org.
• Maria Logvaneva & Mikhail Tselishchev, 2022. "On a Stochastic Model of Diversification," Papers 2204.01284, arXiv.org.
• Benjamin Knox & Annette Vissing-Jorgensen, 2022. "A Stock Return Decomposition Using Observables," Finance and Economics Discussion Series 2022-014, Board of Governors of the Federal Reserve System (U.S.).
• Vito Polito & Yunyi Zhang, 2022. "Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression," Working Papers 2022004, The University of Sheffield, Department of Economics.
• Mr. Marco Gross & Mr. Thierry Tressel & Xiaodan Ding & Eugen Tereanu, 2022. "What Drives Mortgage Default Risk in Europe and the U.S.?," IMF Working Papers 2022/065, International Monetary Fund.
• Ryan Defina, 2021. "Impact of the COVID-19 Pandemic on Deposit Insurance," IADI Survey Briefs 1, International Association of Deposit Insurers.
• Meyer, Brent & Mihaylov, Emil & Barrero, José María & Davis, Steven J. & Altig, David & Bloom, Nicholas, 2022. "Pandemic-Era Uncertainty," IZA Discussion Papers 15229, Institute of Labor Economics (IZA).
• Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
• Jialong Li, 2022. "Household Debt and Risk Tolerance: Evidence from China," Working Papers 2022001, The University of Sheffield, Department of Economics.
• Ropponen, Olli & Kuusi, Tero & Valkonen, Tarmo, 2022. "The Life Insurance Gap in Finland," ETLA Reports 129, The Research Institute of the Finnish Economy.
• Ralf R. Meisenzahl & Karen M. Pence, 2022. "Crisis Liquidity Facilities with Nonbank Counterparties: Lessons from the Term Asset-Backed Securities Loan Facility," Finance and Economics Discussion Series 2022-021, Board of Governors of the Federal Reserve System (U.S.).
• Ignacio Lozano-Espitia & Fernando Arias-Rodríguez, 2022. "The Relationship between Fiscal and Monetary Policies in Colombia: An Empirical Exploration of the Credit Risk Channel," Borradores de Economia 1196, Banco de la Republica de Colombia.