Report NEP-RMG-2022-01-03This 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:
- Karim Barigou & Valeria Bignozzi & Andreas Tsanakas, 2021. "Insurance valuation: A two-step generalised regression approach," Post-Print hal-03043244, HAL.
- Andrea Hauser & Carlos Rosa & Rui Esteves & Alexandra Moura & Carlos Oliveira, 2021. "Building a hurricane risk map for continental Portugal based on loss data from hurricane Leslie," Working Papers REM 2021/0209, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Blanka Horvath & Josef Teichmann & Zan Zuric, 2021. "Deep Hedging under Rough Volatility," Swiss Finance Institute Research Paper Series 21-88, Swiss Finance Institute.
- Karim Barigou & Lukasz Delong, 2021. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Post-Print hal-02896141, HAL.
- Raslan Alzuabi & Sarah Brown & Daniel Gray & Mark N Harris & Christopher Spencer, 2021. "Portfolio Allocation and Borrowing Constraints," Working Papers 2021009, The University of Sheffield, Department of Economics.
- Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2021. "Option Pricing with State-dependent Pricing Kernel," Papers 2112.05308, arXiv.org, revised Apr 2022.
- Hans Manner & Gabriel Rodriguez & Florian Stöckler, 2021. "A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets," Graz Economics Papers 2021-14, University of Graz, Department of Economics.
- Heinzel Christoph & Richard Peter, 2021. "Precautionary motives with multiple instruments," Working Papers SMART 21-09, INRAE UMR SMART.
- Sushant Acharya & Keshav Dogra & Sanjay R. Singh, 2021. "The financial origins of non-fundamental risk," Working Papers 345, University of California, Davis, Department of Economics.
- Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang, 2021. "Realized GARCH, CBOE VIX, and the Volatility Risk Premium," Papers 2112.05302, arXiv.org.
- Sami Mestiri & Sabrine Abdelghani, 2021. "La modélisation de la dynamique des volatilités et des corrélations entre les prix des matières premières et les rendements boursiers," Working Papers hal-03432761, HAL.
- Abhijit Chakraborty & Tobias Reisch & Christian Diem & Stefan Thurner, 2021. "Inequality in economic shock exposures across the global firm-level supply network," Papers 2112.00415, arXiv.org.
- Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021. "Sovereign Risk and Financial Risk," FRB Atlanta Working Paper 27, Federal Reserve Bank of Atlanta.
- Florian Bourgey & Emmanuel Gobet & Ying Jiao, 2022. "Bridging socioeconomic pathways of CO2 emission and credit risk," Working Papers hal-03458299, HAL.
- Farmer, J. Doyne & Kleinnijenhuis, Alissa & Wetzer, Thom & Wiersema, Garbrand, 2020. "Scenario-Free Analysis of Financial Stability with Interacting Contagion Channels," INET Oxford Working Papers 2019-10, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Miryana Grigorova & Marie-Claire Quenez & Agnès Sulem, 2021. "American options in a non-linear incomplete market model with default," Post-Print hal-02025835, HAL.
- Christophe HURLIN & Christophe PERIGNON & Sébastien SAURIN, 2021. "The Fairness of Credit Scoring Models," LEO Working Papers / DR LEO 2912, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Knapp, S. & van de Velden, M., 2021. "Exploration of machine learning algorithms for maritime risk applications," Econometric Institute Research Papers 2021-03, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Maelle Vaille, 2021. "Central bank balance sheet and systemic risk," Working Papers hal-03432692, HAL.
- Francisco Amaral & Martin Dohmen & Sebastian Kohl & Moritz Schularick, 2021. "Superstar Returns," ECONtribute Discussion Papers Series 131, University of Bonn and University of Cologne, Germany.
- Marina Lovchikova & Johannes Matschke, 2021. "Capital Controls and the Global Financial Cycle," Research Working Paper RWP 21-08, Federal Reserve Bank of Kansas City.
- Sebastian Gryglewicz & Simon Mayer & Erwan Morellec, 2021. "Screening and Monitoring Corporate Loans," Swiss Finance Institute Research Paper Series 21-82, Swiss Finance Institute.
- Farmer, J. Doyne & Kleinnijenhuis, Alissa & Goodhart, Charles, 2021. "Systemic implications of the bail-in design," INET Oxford Working Papers 2021-21, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Bin Wei, 2021. "Ambiguity, Long-Run Risks, and Asset Prices," FRB Atlanta Working Paper 2021-21, Federal Reserve Bank of Atlanta.
- Christoph Görtz & Mallory Yeromonahos, 2021. "Asymmetries in Risk Premia, Macroeconomic Uncertainty and Business Cycles," Working Paper series 21-25, Rimini Centre for Economic Analysis.
- Christoph Carnehl & Johannes Schneider, 2021. "On Risk and Time Pressure: When to Think and When to Do," Papers 2111.07451, arXiv.org, revised Mar 2022.
- Zineb El Filali Ech-Chafiq & Pierre Henry-Labordere & Jérôme Lelong, 2021. "Pricing Bermudan options using regression trees/random forests," Working Papers hal-03436046, HAL.