Report NEP-RMG-2020-03-09

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:

• Janusz Milek, 2020. "Quantum Implementation of Risk Analysis-relevant Copulas," Papers 2002.07389, arXiv.org, revised Mar 2020.
• Entrop, Oliver & Fuchs, Fabian U., 2020. "Foreign exchange rate exposure of companies under dynamic regret," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-40-20, University of Passau, Faculty of Business and Economics.
• Edson Bastos e Santos & Neil Esho & Marc Farag & Christopher Zuin, 2020. "Variability in risk-weighted assets: what does the market think?," BIS Working Papers 844, Bank for International Settlements.
• Giuseppe Brandi & T. Di Matteo, 2020. "On the statistics of scaling exponents and the Multiscaling Value at Risk," Papers 2002.04164, arXiv.org, revised Mar 2021.
• Jorge E. Galán, 2020. "The benefits are at the tail: uncovering the impact of macroprudential policy on growth-at-risk," Working Papers 2007, Banco de España.
• Daniel Barth & Laurel Hammond & Phillip Monin, 2020. "Leverage and Risk in Hedge Funds," Working Papers 20-02, Office of Financial Research, US Department of the Treasury.
• Alexandre Carbonneau & Fr'ed'eric Godin, 2020. "Equal Risk Pricing of Derivatives with Deep Hedging," Papers 2002.08492, arXiv.org, revised Jun 2020.
• G. Thomas Kingsley & Travis D. Nesmith & Anna L. Paulson & Todd Prono, 2019. "Central Clearing and Systemic Liquidity Risk," Working Paper Series WP 2019-12, Federal Reserve Bank of Chicago.
• P'al Andr'as Papp & Roger Wattenhofer, 2020. "Default Ambiguity: Finding the Best Solution to the Clearing Problem," Papers 2002.07741, arXiv.org, revised Oct 2021.
• Joseph Goh & Heedon Kang & Zhi Xing Koh & Jin Way Lim & Cheng Wei Ng & Galen Sher & Chris Yao, 2020. "Cyber Risk Surveillance: A Case Study of Singapore," IMF Working Papers 20/28, International Monetary Fund.
• Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Papers 2002.03319, arXiv.org.
• Whelsy Boungou, 2019. "Negative interest rate, bank profitability and risk-taking," Documents de Travail de l'OFCE 2019-10, Observatoire Francais des Conjonctures Economiques (OFCE).
• Tesi Aliaj & Aris Anagnostopoulos & Stefano Piersanti, 2020. "Firms Default Prediction with Machine Learning," Papers 2002.11705, arXiv.org.
• Massoomeh Rahsepar & Foivos Xanthos, 2020. "On the extension property of dilatation monotone risk measures," Papers 2002.11865, arXiv.org.
• Wenjing Wang & Minjing Tao, 2020. "Forecasting Realized Volatility Matrix With Copula-Based Models," Papers 2002.08849, arXiv.org.
• Daniel Barth & Juha Joenvaara & Mikko Kauppila & Russ Wermers, 2020. "The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think," Working Papers 20-01, Office of Financial Research, US Department of the Treasury.
• Lucia Cipolina Kun & Simone Caenazzo & Ksenia Ponomareva, 2020. "Mathematical Foundations of Regression Methods for the approximation of the Forward Initial Margin," Papers 2002.04563, arXiv.org, revised Sep 2022.
• Calomiris,Charles W. & Larrain,Mauricio & Schmukler,Sergio L. & Williams,Tomas, 2019. "Search for Yield in Large International Corporate Bonds : Investor Behavior and Firm Responses," Policy Research Working Paper Series 8890, The World Bank.