Report NEP-RMG-2021-02-08

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:

• Selin Ozen & c{S}ule c{S}ahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Papers 2101.06690, arXiv.org.
• Daouia, Abdelaati & Gijbels, Irene & Stupfler, Gilles, 2021. "Extremile Regression," TSE Working Papers 21-1176, Toulouse School of Economics (TSE).
• Palumbo, D., 2021. "Testing and Modelling Time Series with Time Varying Tails," Cambridge Working Papers in Economics 2111, Faculty of Economics, University of Cambridge.
• Maria Teresa Medeiros Garcia & Liane Costa Gabriel, 2021. "Asset Liability Management: Evidence from the Banco de Portugal defined benefit pension fund," Working Papers REM 2021/0159, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Sayuj Choudhari & Richard Licheng Zhu, 2021. "Diagnosis of systemic risk and contagion across financial sectors," Papers 2101.06585, arXiv.org.
• Stefano Giglio & Bryan T. Kelly & Johannes Stroebel, 2020. "Climate Finance," NBER Working Papers 28226, National Bureau of Economic Research, Inc.
• Will Kerry, 2019. "Finding the Bad Apples in the Barrel: Using the Market Value of Equity to Signal Banking Sector Vulnerabilities," IMF Working Papers 2019/180, International Monetary Fund.
• Olkhov, Victor, 2021. "To VaR, or Not to VaR, That is the Question," MPRA Paper 105458, University Library of Munich, Germany.
• Lorenzo Bretscher & Peter Feldhütter & Andrew Kane & Lukas Schmid, 2021. "Marking to Market Corporate Debt," Swiss Finance Institute Research Paper Series 21-06, Swiss Finance Institute.
• Ben Boukai, 2021. "On the RND under Heston's stochastic volatility model," Papers 2101.03626, arXiv.org.
• Item repec:fip:a00001:89429 is not listed on IDEAS anymore

• Bastien Baldacci, 2020. "High-frequency dynamics of the implied volatility surface," Papers 2012.10875, arXiv.org.
• Mr. Sakai Ando, 2019. "International Financial Connection and Stock Return Comovement," IMF Working Papers 2019/181, International Monetary Fund.
• Bruno Bouchard & Gr'egoire Loeper & Xiaolu Tan, 2021. "A $C^{0,1}$-functional It\^o's formula and its applications in mathematical finance," Papers 2101.03759, arXiv.org.
• Maria Demertzis & Marta Domínguez-Jiménez & Annamaria Lusardi & Bruegel, 2020. "The financial fragility of European households in the time of COVID-19," Policy Contributions 37489, Bruegel.
• Bernard Dumas & Tymur Gabuniya & Richard C. Marston, 2020. "Firms' Exposures to Geographic Risks," NBER Working Papers 28185, National Bureau of Economic Research, Inc.
• Jeon, Bang & Yao, Yao & Chen, Minghua & Wu, Ji, 2021. "Economic uncertainty, macroprudential policies and bank risk: Evidence from emerging Asian economies," School of Economics Working Paper Series 2021-6, LeBow College of Business, Drexel University, revised 01 Oct 2021.
• Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2020. "Uncertainty and Monetary Policy During Extreme Events," "Marco Fanno" Working Papers 0262, Dipartimento di Scienze Economiche "Marco Fanno".
• Min Shu & Ruiqiang Song & Wei Zhu, 2021. "The 'COVID' Crash of the 2020 U.S. Stock Market," Papers 2101.03625, arXiv.org.
• Besley, Timothy & Roland, Isabelle & Van Reenen, John, 2020. "The aggregate consequences of default risk: evidence from firm-level data," LSE Research Online Documents on Economics 108227, London School of Economics and Political Science, LSE Library.
• Lemeunier, Sébastien, 2021. ""OEconomicae et pecuniariae quaestiones" and Catholic Finance : A reading attempt from Merton's functions," MPRA Paper 105297, University Library of Munich, Germany.
• Florian Gach & Simon Hochgerner, 2021. "Estimation of future discretionary benefits in traditional life insurance," Papers 2101.06077, arXiv.org, revised Jul 2022.