Report NEP-RMG-2020-08-31

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:

• Young Shin Kim, 2020. "Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk," Papers 2007.13972, arXiv.org, revised Sep 2020.
• Thilini V. Mahanama & Abootaleb Shirvani, 2020. "A Natural Disasters Index," Papers 2008.03672, arXiv.org.
• Rashid, Muhammad Mustafa, 2020. "The Greek Letters. Scenario Analysis with a Reverse Butterfly Spread," MPRA Paper 101723, University Library of Munich, Germany, revised 19 May 2020.
• Yang, Bill Huajian & Yang, Jenny & Yang, Haoji, 2020. "Modeling Portfolio Loss by Interval Distributions," MPRA Paper 102219, University Library of Munich, Germany.
• Alexandre Carbonneau, 2020. "Deep Hedging of Long-Term Financial Derivatives," Papers 2007.15128, arXiv.org.
• Jin Sun & Eckhard Platen, 2019. "Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies," Research Paper Series 399, Quantitative Finance Research Centre, University of Technology, Sydney.
• Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.
• Baishuai Zuo & Chuancun Yin, 2020. "Conditional tail risk expectations for location-scale mixture of elliptical distributions," Papers 2007.09350, arXiv.org.
• Christian Fieberg & Lars Hornuf & Gerrit Liedtke & Thorsten Poddig, 2020. "Are Characteristics Covariances? A Comment on Instrumented Principal Component Analysis," CESifo Working Paper Series 8377, CESifo.
• Kwok, Simon, 2020. "Nonparametric Inference of Jump Autocorrelation," Working Papers 2020-09, University of Sydney, School of Economics, revised Jan 2021.
• Mustapha Achibane & Imane Allam, 2019. "Banking risk management between the prudential and the operational approaches : case of Moroccan banks ACHIBANE Mustapha [La gestion des risques bancaires entre l'approche prudentielle et l'approch," Post-Print hal-02901066, HAL.
• Linwei Hu & Jie Chen & Joel Vaughan & Hanyu Yang & Kelly Wang & Agus Sudjianto & Vijayan N. Nair, 2020. "Supervised Machine Learning Techniques: An Overview with Applications to Banking," Papers 2008.04059, arXiv.org.
• Konstantinos Loizos, 2020. "The interbank market, Keynes’s degree of confidence and the link between banks’ liquidity and solvency," Working Papers PKWP2017, Post Keynesian Economics Society (PKES).
• Fantazzini, Dean, 2020. "Discussing copulas with Sergey Aivazian: a memoir," MPRA Paper 102317, University Library of Munich, Germany.
• Chen, Yanhua & Li, Youwei & Pantelous, Athanasios & Stanley, Eugene, 2020. "Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach," MPRA Paper 101700, University Library of Munich, Germany.
• Weihong Ni & Corina Constantinescu & Alfredo Eg'idio dos Reis & V'eronique Maume-Deschamps, 2020. "Pricing foreseeable and unforeseeable risks in insurance portfolios," Papers 2008.03123, arXiv.org.
• Nicole Bauerle & Alexander Glauner, 2020. "Distributionally Robust Markov Decision Processes and their Connection to Risk Measures," Papers 2007.13103, arXiv.org.
• Denuit, Michel, 2019. "Size-biased transform and conditional mean risk sharing, with application to P2P insurance and tontines," LIDAM Discussion Papers ISBA 2019010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019. "Economic Determinants of Oil Futures Volatility: A Term Structure Perspective," Research Paper Series 401, Quantitative Finance Research Centre, University of Technology, Sydney.
• Gayle, Philip & Lin, Ying, 2020. "Cost Pass-through in Commercial Aviation: Theory and Evidence," MPRA Paper 102018, University Library of Munich, Germany.
• Christian P. Fries, 2020. "Non-Linear Discounting and Default Compensation: Valuation of Non-Replicable Value and Damage: When the Social Discount Rate may become Negative," Papers 2007.06465, arXiv.org, revised Oct 2021.
• Franz Dietrich & Brian Jabarian, 2021. "Decision Under Normative Uncertainty," Post-Print halshs-02905431, HAL.
• Christian Bayer & Fabian Andsem Harang & Paolo Pigato, 2020. "Log-modulated rough stochastic volatility models," Papers 2008.03204, arXiv.org, revised May 2021.
• Hainaut, Donatien, 2020. "Credit risk modelling with fractional self-excited processes," LIDAM Discussion Papers ISBA 2020002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Fernando Fernandes & Rodrigo De Losso, Rogerio Oliveira, Angelo J D Soto, Pedro D Cavalcanti, Gabriel M S Campos, 2020. "Saving Markowitz: A Risk Parity approach based on the Cauchy Interlacing Theorem," Working Papers, Department of Economics 2020_13, University of São Paulo (FEA-USP).
• Takaaki Hamada & Tomohiro Hara, 2020. "Risks on Others," Discussion Paper Series DP2020-23, Research Institute for Economics & Business Administration, Kobe University, revised Sep 2022.
• Tarek Nassar & Sandro Ephrem, 2020. "Optimal allocation using the Sortino ratio," Papers 2007.06460, arXiv.org.
• Einmahl, John & Segers, Johan, 2020. "Empirical tail copulas for functional data," LIDAM Discussion Papers ISBA 2020004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• David E. Altig & Scott Brent Baker & Jose Maria Barrero & Nick Bloom & Philip Bunn & Scarlet Chen & Steven J. Davis & Brent Meyer & Emil Mihaylov & Paul Mizen & Nicholas B. Parker & Thomas Renault & P, 2020. "Economic Uncertainty before and during the COVID-19 Pandemic," FRB Atlanta Working Paper 2020-9, Federal Reserve Bank of Atlanta.
• Mastromarco, Camilla & Simar, Leopold & Wilson, Paul, 2019. "Predicting Recessions: A New Measure of Output Gap as Predictor," LIDAM Discussion Papers ISBA 2019023, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Marc Lagunas-Merino & Salvador Ortiz-Latorre, 2020. "A decomposition formula for fractional Heston jump diffusion models," Papers 2007.14328, arXiv.org.