Report NEP-RMG-2021-07-12

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:

• Afees A. Salisu & Christian Pierdzioch & Rangan Gupta, 2021. "Oil Tail Risks and the Forecastability of the Realized Variance of Oil-Price: Evidence from Over 150 Years of Data," Working Papers 202146, University of Pretoria, Department of Economics.
• Christopher L. Culp & Mihir Gandhi & Yoshio Nozawa & Pietro Veronesi, 2021. "Option-Implied Spreads and Option Risk Premia," NBER Working Papers 28941, National Bureau of Economic Research, Inc.
• Baptista Palazzi, Rafael & Waldemar, Marcelo, 2021. "Evaluation of Volatility Spillovers and Quantile Hedging: a closer look to Brazilian agricultural markets," 95th Annual Conference, March 29-30, 2021, Warwick, UK (Hybrid) 312073, Agricultural Economics Society - AES.
• Maria Ludovica Drudi & Stefano Nobili, 2021. "A liquidity risk early warning indicator for Italian banks: a machine learning approach," Temi di discussione (Economic working papers) 1337, Bank of Italy, Economic Research and International Relations Area.
• Szymon Lis & Marcin Chlebus, 2021. "Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts," Working Papers 2021-11, Faculty of Economic Sciences, University of Warsaw.
• Knut Are Aastveit & Jamie Cross & Herman K. Djik, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Working Papers No 03/2021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
• Tirupam Goel & Isha Agarwal, 2021. "Limits of stress-test based bank regulation," BIS Working Papers 953, Bank for International Settlements.
• An Chen & Motonobu Kanagawa & Fangyuan Zhang, 2021. "Intergenerational risk sharing in a Defined Contribution pension system: analysis with Bayesian optimization," Papers 2106.13644, arXiv.org, revised Mar 2023.
• Charles-Cadogan, G., 2021. "Market Instability, Investor Sentiment, And Probability Judgment Error in Index Option Prices," CRETA Online Discussion Paper Series 71, Centre for Research in Economic Theory and its Applications CRETA.
• Ioannis Chatziantoniou & David Gabauer & Rangan Gupta, 2021. "Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach," Working Papers 202147, University of Pretoria, Department of Economics.
• Gardenier, Julius & Lac, Visieu & Ashfaq, Muhammad, 2021. "Risk-adjusted return in sustainable finance: A comparative analysis of European positively screened and best-in-class ESG investment portfolios and the Euro Stoxx 50 index using the Sharpe Ratio," IU Discussion Papers - Business & Management 7/2021, IU International University of Applied Sciences.
• Jarek Kk{e}dra & Assaf Libman & Victoria Steblovskaya, 2021. "Pricing multi-asset contingent claims in a multi-dimensional binomial market," Papers 2106.13283, arXiv.org, revised Feb 2023.
• Andrew Paskaramoorthy & Tim Gebbie & Terence van Zyl, 2021. "The efficient frontiers of mean-variance portfolio rules under distribution misspecification," Papers 2106.10491, arXiv.org, revised Jul 2021.
• Bent Jesper Christensen & Mads Markvart Kjær & Bezirgen Veliyev, 2021. "The incremental information in the yield curve about future interest rate risk," CREATES Research Papers 2021-11, Department of Economics and Business Economics, Aarhus University.
• Samuel Rufat & Iuliana Armaș & Wouter Botzen & Emeline Comby & Mariana Madruga de Brito & Alexander Fekete & Christian Kuhlicke & Peter Robinson, 2021. "Risk Perception & Behaviour Survey of Surveyors. Risk-SoS 2020 Preliminary results," Post-Print hal-03228369, HAL.
• Böck, Maximilian, 2021. "The Identification of Non-Rational Risk Shocks," Department of Economics Working Paper Series 314, WU Vienna University of Economics and Business.
• Prehn, Sören, 2021. "Minimum variance hedging: Levels versus first differences," 95th Annual Conference, March 29-30, 2021, Warwick, UK (Hybrid) 312051, Agricultural Economics Society - AES.
• Marc-Arthur Diaye & André Lapidus & Christian Schmidt, 2021. "From Decision in Risk to Decision in Time - and Return: A Restatement of Probability Discounting," Working Papers hal-03256606, HAL.
• Jelena Zivanovic, 2021. "An Optimal Macroprudential Policy Mix for Segmented Credit Markets," Staff Working Papers 21-31, Bank of Canada.