Report NEP-RMG-2020-09-07

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:

• Leung, Melvern & Li, Youwei & Pantelous, Athanasios & Vigne, Samuel, 2019. "Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing," MPRA Paper 101698, University Library of Munich, Germany.
• International Monetary Fund, 2019. "Republic of Armenia: Detailed Assessment of Observance of the Basel Core Principles for Effective Banking Supervision," IMF Staff Country Reports 2019/042, International Monetary Fund.
• Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Shahzad, Syed Jawad Hussain & Výrost, Tomáš, 2020. "Increasing systemic risk during the Covid-19 pandemic: A cross-quantilogram analysis of the banking sector," EconStor Preprints 222580, ZBW - Leibniz Information Centre for Economics.
• Viral V. Acharya & Sascha Steffen, 2020. "The Risk of Being a Fallen Angel and the Corporate Dash for Cash in the Midst of COVID," NBER Working Papers 27601, National Bureau of Economic Research, Inc.
• International Monetary Fund, 2019. "Australia: Financial Sector Assessment Program-Detailed Assessment of Observance-Basel Core Principles For Effective Banking Supervision," IMF Staff Country Reports 2019/053, International Monetary Fund.
• Edmond Lezmi & Jules Roche & Thierry Roncalli & Jiali Xu, 2020. "Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks," Papers 2007.04838, arXiv.org.
• Patryk Gierjatowicz & Marc Sabate-Vidales & David v{S}iv{s}ka & Lukasz Szpruch & v{Z}an v{Z}uriv{c}, 2020. "Robust pricing and hedging via neural SDEs," Papers 2007.04154, arXiv.org.
• Peter A. Forsyth, 2020. "A Stochastic Control Approach to Defined Contribution Plan Decumulation: "The Nastiest, Hardest Problem in Finance"," Papers 2008.06598, arXiv.org.
• Marco Gross & Dimitrios Laliotis & Mindaugas Leika & Pavel Lukyantsau, 2020. "Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective," IMF Working Papers 20/111, International Monetary Fund.
• Yichun Chi & Xun Yu Zhou & Sheng Chao Zhuang, 2020. "Variance Contracts," Papers 2008.07103, arXiv.org.
• Eric Benhamou & Beatrice Guez & Nicolas Paris, 2020. "Omega and Sharpe ratio," Working Papers hal-02886481, HAL.
• Aili Zhang & Ping Chen & Shuanming Li & Wenyuan Wang, 2020. "Risk Modelling on Liquidations with L\'{e}vy Processes," Papers 2007.01426, arXiv.org.
• Sotirios Sabanis & Ying Zhang, 2020. "A fully data-driven approach to minimizing CVaR for portfolio of assets via SGLD with discontinuous updating," Papers 2007.01672, arXiv.org.
• Varinia Tindal & Denise Salazar, 2018. "Análisis de la metodología Enterprise Risk Management (ERM) y su aplicación para la optimización de la relación riesgo/retorno en la administración de las reservas internacionales," Notas Técnicas 14, Banco Central de Bolivia.
• Figueres, Juan Manuel & Jarociński, Marek, 2020. "Vulnerable growth in the Euro Area: Measuring the financial conditions," Working Paper Series 2458, European Central Bank.
• Jean-Baptiste Hasse, 2020. "Systemic Risk: a Network Approach," Working Papers halshs-02893780, HAL.
• Pierre-Olivier Goffard & Patrick Laub, 2021. "Approximate Bayesian Computations to fit and compare insurance loss models," Working Papers hal-02891046, HAL.
• Anusha Chari & Karlye Dilts Stedman & Christian T. Lundblad, 2020. "Capital Flows in Risky Times: Risk-On / Risk-Off and Emerging Market Tail Risk," Research Working Paper RWP 20-08, Federal Reserve Bank of Kansas City.
• Eric Benhamou & David Saltiel & Beatrice Guez & Nicolas Paris, 2020. "Testing Sharpe ratio: luck or skill?," Working Papers hal-02886500, HAL.
• Stefano De Marco, 2020. "On the harmonic mean representation of the implied volatility," Papers 2007.03585, arXiv.org.
• Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2020. "Stochastic reserving with a stacked model based on a hybridized Artificial Neural Network," Papers 2008.07564, arXiv.org.
• Glenn Boyle & Sanghyun Hong, 2020. "Systematic Liquidity Risk Premia," Working Papers in Economics 20/15, University of Canterbury, Department of Economics and Finance.
• Thomas Spooner & Rahul Savani, 2020. "A Natural Actor-Critic Algorithm with Downside Risk Constraints," Papers 2007.04203, arXiv.org.
• Fleck, Johannes & Monninger, Adrian, 2020. "Culture and portfolios: trust, precautionary savings and home ownership," Working Paper Series 2457, European Central Bank.
• Denuit, Michel, 2019. "Size-biased risk measures of compound sums," LIDAM Discussion Papers ISBA 2019009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Rangan Gupta & Sowmya Subramaniam & Elie Bouri & Qiang Ji, 2020. "Infectious Disease-Related Uncertainty and the Safe-Haven Characteristic of US Treasury Securities," Working Papers 202078, University of Pretoria, Department of Economics.
• Albert S. Kyle & Anna A. Obizhaeva, 2020. "Large Bets and Stock Market Crashes," Working Papers w0269, New Economic School (NES).
• Jonathan Kearns & Mike Major & David Norman, 2020. "How Risky is Australian Household Debt?," RBA Research Discussion Papers rdp2020-05, Reserve Bank of Australia.
• D'Orazio, Paola & Dirks, Maximilian W., 2020. "COVID-19 and financial markets: Assessing the impact of the coronavirus on the eurozone," Ruhr Economic Papers 859, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
• Afafe Hertouch & Mustapha Achibane, 2020. "Internal control and banking risk management: the case of Moroccan banks [Le contrôle interne et la gestion des risques bancaires : cas des banques marocaines]," Post-Print hal-02915824, HAL.
• Robert P. Bartlett III & Adair Morse, 2020. "Small Business Survival Capabilities and Policy Effectiveness: Evidence from Oakland," NBER Working Papers 27629, National Bureau of Economic Research, Inc.
• Paulina Concha Larrauri & Upmanu Lall, 2020. "Big Data links from Climate to Commodity Production Forecasts and Risk Management," Papers 2007.03015, arXiv.org.
• Valentina Avramescu, 2020. "Property Insurance," Proceedings of the 16th International RAIS Conference, March 30-31, 2020 0026va, Research Association for Interdisciplinary Studies.
• Fabio C. Bagliano & Carolina Fugazza & Giovanna Nicodano, 2020. "Life-Cycle Welfare Losses from Rules-of-Thumb Asset Allocation," Working papers 068, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
• Lakshay Chauhan & John Alberg & Zachary C. Lipton, 2020. "Uncertainty-Aware Lookahead Factor Models for Quantitative Investing," Papers 2007.04082, arXiv.org, revised Jul 2020.
• Pierre Picard, 2020. "Corporate pandemic insurance [L'assurance des entreprises face au risque de pandémie]," Working Papers hal-02888881, HAL.
• Arlan Brucal & Viktor Roezer & Denyse S. Dookie & Rebecca Byrnes & Majah-Leah V. Ravago & Faye Cruz & Gemma Narisma, 2020. "Disaster impacts and financing: Local insights from the Philippines," Department of Economics, Ateneo de Manila University, Working Paper Series 202015, Department of Economics, Ateneo de Manila University.
• Kazuya Kaneko & Koichi Miyamoto & Naoyuki Takeda & Kazuyoshi Yoshino, 2020. "Quantum Pricing with a Smile: Implementation of Local Volatility Model on Quantum Computer," Papers 2007.01467, arXiv.org.