Report NEP-RMG-2019-10-14

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:

• Mikhail Tselishchev, 2019. "On the Concavity of Expected Shortfall," Papers 1910.00640, arXiv.org.
• Bührle, Anna Theresa & Spengel, Christoph, 2019. "Tax law and the transfer of start-up losses: A European overview and categorization," ZEW Discussion Papers 19-037, ZEW - Leibniz Centre for European Economic Research.
• Carlos Madeira, 2019. "Measuring the Covariance Risk of Consumer Debt Portfolios," 2019 Meeting Papers 240, Society for Economic Dynamics.
• Jorge E. Galán & Matías Lamas, 2019. "Beyond the LTV ratio: new macroprudential lessons from Spain," Working Papers 1931, Banco de España.
• Yukun Liu & Aleh Tsyvinski, 2019. "Risks and Returns of Cryptocurrency," 2019 Meeting Papers 160, Society for Economic Dynamics.
• Derek Singh & Shuzhong Zhang, 2019. "Distributionally Robust XVA via Wasserstein Distance: Wrong Way Counterparty Credit and Funding Risk," Papers 1910.01781, arXiv.org, revised May 2020.
• Derek Singh & Shuzhong Zhang, 2019. "Distributionally Robust XVA via Wasserstein Distance Part 2: Wrong Way Funding Risk," Papers 1910.03993, arXiv.org.
• Bersch, Johannes & Degryse, Hans & Kick, Thomas & Stein, Ingrid, 2019. "The real effects of bank distress: Evidence from bank bailouts in Germany," Discussion Papers 38/2019, Deutsche Bundesbank.
• Soumyatanu Mukherjee & Sidhartha S Padhi, 2018. "Risk connectivity and risk mitigation: An analytical framework," Discussion Papers 2018-11, University of Nottingham, CREDIT.
• Ian Dew-Becker & Stefano Giglio & Bryan T. Kelly, 2019. "Hedging Macroeconomic and Financial Uncertainty and Volatility," NBER Working Papers 26323, National Bureau of Economic Research, Inc.
• Mateusz Mokrogulski, 2019. "Macroprudential policy in Poland," Proceedings of Economics and Finance Conferences 9511877, International Institute of Social and Economic Sciences.
• João Carvalho & João Beleza Sousa & Raquel M. Gaspar, 2019. "On Path–dependency ofConstant Proportion Portfolio Insurance strategies," Working Papers REM 2019/94, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Claus Baumgart & Johannes Krebs & Robert Lempertseder & Oliver Pfaffel, 2019. "Quantifying Life Insurance Risk using Least-Squares Monte Carlo," Papers 1910.03951, arXiv.org.
• Rodolfo Manuelli & Juan Sanchez, 2019. "Endogenous Debt Maturity: Liquidity Risk vs. Default Risk," 2019 Meeting Papers 1103, Society for Economic Dynamics.
• Antonio Bellofatto, 2019. "Wealth Taxation and Life Expectancy," 2019 Meeting Papers 1278, Society for Economic Dynamics.
• Saki Bigio & Adrien d'Avernas, 2019. "Financial Risk Capacity," 2019 Meeting Papers 511, Society for Economic Dynamics.
• Degiannakis, Stavros & Filis, George & Klein, Tony & Walther, Thomas, 2019. "Forecasting Realized Volatility of Agricultural Commodities," MPRA Paper 96267, University Library of Munich, Germany.
• Ozan Akdogan, 2019. "Vol-of-vol expansion for (rough) stochastic volatility models," Papers 1910.03245, arXiv.org, revised Dec 2019.
• Randall Martyr & John Moriarty & Magnus Perninge, 2019. "Discrete-time risk-aware optimal switching with non-adapted costs," Papers 1910.04047, arXiv.org, revised Sep 2021.
• Helena Chuliá & Christoph Koser & Jorge M. Uribe, 2019. "“Uncovering the time-varying relationship between commonality in liquidity and volatility”," IREA Working Papers 201916, University of Barcelona, Research Institute of Applied Economics, revised Sep 2019.
• Lisha Lin & Yaqiong Li & Rui Gao & Jianhong Wu, 2019. "The Numerical Simulation of Quanto Option Prices Using Bayesian Statistical Methods," Papers 1910.04075, arXiv.org.
• Offermann, Frank & Forstner, Bernhard, 2019. "Bewertung unterschiedlicher Vorschläge für eine steuerliche Risikoausgleichsrücklage," Thünen Working Paper 294005, Johann Heinrich von Thünen-Institut (vTI), Federal Research Institute for Rural Areas, Forestry and Fisheries.