Report NEP-RMG-2021-08-30

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:

• Dario Caldara & Chiara Scotti & Molin Zhong, 2021. "Macroeconomic and Financial Risks: A Tale of Mean and Volatility," International Finance Discussion Papers 1326, Board of Governors of the Federal Reserve System (U.S.).
• Farmer, J. Doyne & Kleinnijenhuis, Alissa & Nahai-Williamson, Paul & Wetzer, Thom, 2020. "Foundations of system-wide financial stress testing with heterogeneous institutions," INET Oxford Working Papers 2020-14, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
• Ragnar Levy Gudmundarson & Manuel Guerra & Alexandra Bugalho de Moura, 2021. "Minimizing ruin probability under dependencies for insurance pricing," Papers 2108.10075, arXiv.org.
• Bryan, Calvin & Manning, Dale & Goemans, Christopher & Sloggy, Matthew R., 2021. "What’s past is prologue? The effect of prior losses on agricultural risk management," 2021 Annual Meeting, August 1-3, Austin, Texas 312784, Agricultural and Applied Economics Association.
• Sébastien Betermier & Nicholas Byrne & Jean-Sébastien Fontaine & Hayden Ford & Jason Ho & Chelsea Mitchell, 2021. "Reaching for yield or resiliency? Explaining the shift in Canadian pension plan portfolios," Staff Analytical Notes 2021-20, Bank of Canada.
• Matteo Michielon & Asma Khedher & Peter Spreij, 2021. "From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations," Papers 2108.06578, arXiv.org.
• International Monetary Fund, 2021. "How to Assess Country Risk: The Vulnerability Exercise Approach Using Machine Learning," IMF Technical Notes and Manuals 2021/003, International Monetary Fund.
• Sebastian Jaimungal & Silvana Pesenti & Ye Sheng Wang & Hariom Tatsat, 2021. "Robust Risk-Aware Reinforcement Learning," Papers 2108.10403, arXiv.org, revised Dec 2021.
• Sung Je Byun & Aaron L. Game & Alexander Jiron & Pavel Kapinos & Kelly Klemme & Bert Loudis, 2021. "The Pandemic's Impact on Credit Risk: Averted or Delayed?," FEDS Notes 2021-07-30-3, Board of Governors of the Federal Reserve System (U.S.).
• Giancarlo Corsetti & Anna Lipinska & Giovanni Lombardo, 2021. "Sharing Asymmetric Tail Risk: Smoothing, Asset Prices and Terms of Trade," International Finance Discussion Papers 1324, Board of Governors of the Federal Reserve System (U.S.).
• Dal Borgo, Mariela, 2021. "Do bankruptcy protection levels affect households' demand for stocks?," CAGE Online Working Paper Series 564, Competitive Advantage in the Global Economy (CAGE).
• Lori Chappell, 2021. "Use of the bayesmh command in Stata to calculate excess relative and excess absolute risk for radiation health risk estimates," 2021 Stata Conference 29, Stata Users Group.
• Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The RQE-CAPM : New insights about the pricing of idiosyncratic risk," CIRANO Working Papers 2021s-28, CIRANO.
• Narayana R. Kocherlakota, 2021. "Public Debt Bubbles in Heterogeneous Agent Models with Tail Risk," NBER Working Papers 29138, National Bureau of Economic Research, Inc.
• Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2021. "The Risk Premia of Energy Futures," Post-Print hal-03312959, HAL.
• Ben Jann, 2021. "dstat: A new command for the analysis of distributions," 2021 Stata Conference 1, Stata Users Group.
• Yixiao Lu & Yihong Wang & Tinggan Yang, 2021. "Adaptive Gradient Descent Methods for Computing Implied Volatility," Papers 2108.07035, arXiv.org, revised Mar 2023.