Report NEP-RMG-2021-03-01

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:

• Anna Burova & Henry Penikas & Svetlana Popova, 2020. "Probability of Default (PD) Model to Estimate Ex Ante Credit Risk," Bank of Russia Working Paper Series wps66, Bank of Russia.
• Takeo Hoshi & Ke Wang, 2021. "Bank Regulatory Reforms and Declining Diversity of Bank Credit Allocation," CARF F-Series CARF-F-506, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Montshioa, Keitumetse & Muteba Mwamba, John Weirstrass & Bonga-Bonga, Lumengo, 2021. "Asset allocation in extreme market conditions: a comparative analysis between developed and emerging economies," MPRA Paper 106248, University Library of Munich, Germany.
• Chris Florakis & Christodoulos Louca & Roni Michaely & Michael Weber, 2020. "Cybersecurity Risk," Working Papers 2020-178, Becker Friedman Institute for Research In Economics.
• Jamaal Ahmad, 2021. "Multivariate higher order moments in multi-state life insurance," Papers 2102.11714, arXiv.org, revised Oct 2021.
• Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2021. "Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data," Papers 2102.12783, arXiv.org, revised Feb 2022.
• Xiuqin Xu & Ying Chen, 2021. "Deep Stochastic Volatility Model," Papers 2102.12658, arXiv.org.
• Hongwei Chuang, 2021. "Momentum Has Its Own Values," Working Papers EMS_2021_02, Research Institute, International University of Japan.
• Raju, Rajan & Agarwalla, Sobhesh Kumar, 2021. "Equity portfolio diversification: how many stocks are enough? Evidence from India," IIMA Working Papers WP 2021-02-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
• Martin, Alberto & Mendicino, Caterina & Van der Ghote, Alejandro, 2021. "On the interaction between monetary and macroprudential policies," Working Paper Series 2527, European Central Bank.
• Mukashov, Askar, 2021. "Parameter uncertainty in policy planning models: Using portfolio management methods to choose optimal policies under world market volatility," Working Papers of Agricultural Policy WP2021-01, University of Kiel, Department of Agricultural Economics, Chair of Agricultural Policy.
• N'Golo Kone, 2021. "Efficient mean-variance portfolio selection by double regularization," Working Paper 1453, Economics Department, Queen's University.
• McKendree, Melissa G. S. & Tonsor, Glynn T. & Schulz, Lee L., 2021. "Management of Multiple Sources of Risk in Livestock Production," ISU General Staff Papers 202101010800001793, Iowa State University, Department of Economics.
• Daniel Felix Ahelegbey & Paola Cerchiello & Roberta Scaramozzino, 2021. "Network Based Evidence of the Financial Impact of Covid-19 Pandemic," DEM Working Papers Series 198, University of Pavia, Department of Economics and Management.
• Tal Gross & Raymond Kluender & Feng Liu & Matthew J. Notowidigdo & Jialan Wang, 2020. "The Economic Consequences of Bankruptcy Reform," Working Papers 2020-164, Becker Friedman Institute for Research In Economics.
• Tim Leung & Yang Zhou, 2021. "Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model," Papers 2102.12601, arXiv.org.
• Santiago Gamba-Santamaria & Luis Fernando Melo-Velandia & Camilo Orozco-Vanegas, 2021. "What can credit vintages tell us about non-performing loans?," Borradores de Economia 1154, Banco de la Republica de Colombia.