Report NEP-RMG-2020-01-06

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:

• Arthur Charpentier & Emmanuel Flachaire, 2019. "Pareto models for risk management," Papers 1912.11736, arXiv.org.
• Mohamed Arbi Madani & Zied Ftiti, 2019. "The Generalisation of the DMCA Coefficient to Serve Distinguishing Between Hedge and Safe Haven Capabilities of the Gold," Papers 1912.12590, arXiv.org.
• Paul Pelzl & María Teresa Valderrama, 2019. "Capital regulations and the management of credit commitments during crisis times," DNB Working Papers 661, Netherlands Central Bank, Research Department.
• Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," SocArXiv 3pzyv, Center for Open Science.
• International Monetary Fund, 2019. "Ukraine; Technical Assistance Report-State-Owned Enterprises–Fiscal Risk Management," IMF Staff Country Reports 19/359, International Monetary Fund.
• Putra, Yanda Eka & Susanto, Romi, 2019. "Analisa Penerapan Manajemen Risiko Bagian Kredit Pada Pt. Bank Perkreditan Rakyat (Bpr) Lengayang Cabang Surantih," OSF Preprints kdf7j, Center for Open Science.
• Gilad Sorek & T. Randolph Beard, 2019. "Background Risk and Insurance Take-up under Limited Liability," Auburn Economics Working Paper Series auwp2019-05, Department of Economics, Auburn University.
• Mogens Fosgerau & Dennis Kristensen, 2019. "Identification of a class of index models: A topological approach," CeMMAP working papers CWP52/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• José P. Dapena & Juan A. Serur & Julián R. Siri, 2019. "Risk on-Risk off: A regime switching model for active portfolio management," CEMA Working Papers: Serie Documentos de Trabajo. 706, Universidad del CEMA.
• Zachary Feinstein & Andreas Sojmark, 2019. "A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field," Papers 1912.08695, arXiv.org.
• Damian Jelito & Marcin Pitera & {L}ukasz Stettner, 2019. "Long-run risk sensitive impulse control," Papers 1912.02488, arXiv.org, revised Apr 2020.
• Torsvik, Gaute & Raaum, Oddbjørn & Løyland, Knut & Øvrum, Arnstein, 2019. "Compliance effects of risk-based tax audits," OSF Preprints 6u3ns, Center for Open Science.
• Syed Abul, Basher, 2019. "Oil and other energy commodities," MPRA Paper 97318, University Library of Munich, Germany.
• Kevin Kuo, 2019. "Generative Synthesis of Insurance Datasets," Papers 1912.02423, arXiv.org, revised Aug 2020.
• International Monetary Fund, 2019. "Ukraine; Technical Assistance Report-Strengthening Budget Formulation and Fiscal Risk Management," IMF Staff Country Reports 19/360, International Monetary Fund.
• Alessandro Doldi & Marco Frittelli, 2019. "Multivariate Systemic Optimal Risk Transfer Equilibrium," Papers 1912.12226, arXiv.org, revised Oct 2021.
• Clancy, Daragh & Dunne, Peter G. & Filiani, Pasquale, 2019. "Liquidity and tail-risk interdependencies in the euro area sovereign bond market," Research Technical Papers 11/RT/19, Central Bank of Ireland.