Report NEP-RMG-2021-02-22

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:

• Giglio, Carla & Shaw, Frances & Syrichas, Nicolas & Cappelletti, Giuseppe, 2021. "Stress-testing net trading income: the case of European banks," Working Paper Series 2525, European Central Bank.
• Giuseppe Buccheri & Stefano Grassi & Giorgio Vocalelli, 2021. "Estimating Risk in Illiquid Markets: a Model of Market Friction with Stochastic Volatility," CEIS Research Paper 506, Tor Vergata University, CEIS, revised 08 Nov 2021.
• Jean-Philippe Aguilar & Nicolas Pesci & Victor James, 2021. "A structural approach to default modelling with pure jump processes," Papers 2102.06299, arXiv.org, revised Aug 2021.
• Cummins, J. David & Dionne, Georges & Gagné, Robert & Nouira, Abdelhakim, 2021. "The costs and benefits of reinsurance," Working Papers 08-1, HEC Montreal, Canada Research Chair in Risk Management.
• João A. Bastos & Sara M. Matos, 2021. "Explainable models of credit losses," Working Papers REM 2021/0161, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Tetsuya Takaishi, 2021. "Time-varying properties of asymmetric volatility and multifractality in Bitcoin," Papers 2102.07425, arXiv.org.
• Pennoni, Fulvia & Bartolucci, Francesco & Forte, Gianfranco & Ametrano, Ferdinando, 2020. "Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model," MPRA Paper 106150, University Library of Munich, Germany.
• Schwaab, Bernd & Zhang, Xin & Lucas, André, 2021. "Modeling extreme events: time-varying extreme tail shape," Working Paper Series 2524, European Central Bank.
• Ken-ichi Hashimoto & Ryonghun Im & Takuma Kunieda & Akihisa Shibata, 2021. "Financial Destabilization," Discussion Papers 2103, Graduate School of Economics, Kobe University.
• Bruno de Menna, 2021. "The Joint Impact of Bank Capital and Funding Liquidity on the Monetary Policy's Risk-Taking Channel," Working Papers hal-03138724, HAL.
• Adrian, Tobias & Borowiecki, Karol Jan & Tepper, Alexander, 2021. "A Leverage-Based Measure of Financial Stability," Discussion Papers on Economics 3/2021, University of Southern Denmark, Department of Economics.
• Kirill Dragun & Kris Boudt & Orimar Sauri & Steven Vanduffel, 2021. "Beta-Adjusted Covariance Estimation," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1010, Ghent University, Faculty of Economics and Business Administration.
• Andrew Butler & Roy H. Kwon, 2021. "Integrating prediction in mean-variance portfolio optimization," Papers 2102.09287, arXiv.org, revised Nov 2022.
• Mathieu Simoens & Rudi Vander Vennet, 2021. "Does diversification protect European banks' market valuation in a pandemic?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1009, Ghent University, Faculty of Economics and Business Administration.
• Eduardo Abi Jaber & Enzo Miller & Huyên Pham, 2021. "Markowitz portfolio selection for multivariate affine and quadratic Volterra models," Post-Print hal-02877569, HAL.
• Dave Altig & Scott Baker & Jose Maria Barrero & Nick Bloom & Phil Bunn & Scarlet Chen & Steven J. Davis & Brent Meyer & Emil Mihaylov & Paul Mizen & Nick Parker & Thomas Renault & Pawel Smietanka & Gr, 2020. "Economic Uncertainty Before and During the COVID-19 Pandemic," Working Papers 2020-88, Becker Friedman Institute for Research In Economics.
• Kondor, Peter & Vayanos, Dimitri, 2019. "Liquidity risk and the dynamics of arbitrage capital," LSE Research Online Documents on Economics 87520, London School of Economics and Political Science, LSE Library.
• Asani Sarkar, 2021. "Did Subsidies to Too-Big-To-Fail Banks Increase during the COVID-19 Pandemic?," Liberty Street Economics 20210211, Federal Reserve Bank of New York.
• Item repec:aly:journl:201941 is not listed on IDEAS anymore

• Mu Zhang, 2021. "A Theory of Choice Bracketing under Risk," Papers 2102.07286, arXiv.org, revised Aug 2021.
• Balatti, Mirco & López-Quiles, Carolina, 2021. "Limited liability, strategic default and bargaining power," Working Paper Series 2519, European Central Bank.
• T. Takaishi, 2021. "Power-Law Return-Volatility Cross Correlations of Bitcoin," Papers 2102.08187, arXiv.org.
• Julia Kielmann & Hans Manner & Aleksey Min, 2021. "Stock Market Returns and Oil Price Shocks: A CoVaR Analysis based on Dynamic Vine Copula Models," Graz Economics Papers 2021-01, University of Graz, Department of Economics.
• Brent Meyer & Emil Mihaylov & Steven J. Davis & Nicholas Parker & David Altig & Jose Maria Barrero & Nicholas Bloom, 2020. "Pandemic-Era Uncertainty on Main Street and Wall Street," Working Papers 2020-189, Becker Friedman Institute for Research In Economics.