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Report NEP-RMG-2022-01-17
This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-RMG
The following items were announced in this report:
- Matic, Jovanka Lili & Packham, Natalie & Härdle, Wolfgang Karl, 2021, "Hedging Cryptocurrency Options," MPRA Paper, University Library of Munich, Germany, number 110985, Nov.
- Wang, Ruting & Althof, Michael & Härdle, Wolfgang, 2021, "A financial risk meter for China," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-022.
- Viet-Anh Nguyen & Soroosh Shafieezadeh Abadeh & Damir Filipović & Daniel Kuhn, 2021, "Mean-Covariance Robust Risk Measurement," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-93, Dec.
- Jorge E. Galán, 2021, "CREWS: a CAMELS-based early warning system of systemic risk in the banking sector," Occasional Papers, Banco de España, number 2132, Nov.
- Bátiz-Zuk Enrique & Lara Sánchez José Luis, 2021, "Revisiting the link between systemic risk and competition based on network theory and interbank exposures," Working Papers, Banco de México, number 2021-26, Dec.
- Sebastiano Michele Zema & Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2021, "Mesoscopic Structure of the Stock Market and Portfolio Optimization," Papers, arXiv.org, number 2112.06544, Dec.
- Raphael Burkhardt & Urban Ulrych, 2022, "Sparse and Stable International Portfolio Optimization and Currency Risk Management," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-07, Jan.
- Christian Meyer, 2021, "Estimation of inter-sector asset correlations," Papers, arXiv.org, number 2111.15204, Nov.
- Holly Brannelly & Andrea Macrina & Gareth W. Peters, 2021, "Stochastic measure distortions induced by quantile processes for risk quantification and valuation," Papers, arXiv.org, number 2201.02045, Dec.
- Laine, Tatu & Korpinen, Kasperi, 2021, "Measuring counterparty risk in FMIs," BoF Economics Review, Bank of Finland, number 9/2021.
- Christian Meyer, 2021, "Model Risk in Credit Portfolio Models," Papers, arXiv.org, number 2111.14631, Nov.
- Martin Hoesli & Louis Johner, 2021, "Portfolio Diversification across U.S. Gateway and Non-Gateway Real Estate Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-89, Dec.
- Pan, Jingwei, 2021, "Volatility and Dependence Models with Applications to U.S. Equity Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 129944.
- Babacar Seck & Robert J. Elliott, 2021, "Regime Switching Entropic Risk Measures on Crude Oil Pricing," Papers, arXiv.org, number 2112.13041, Dec.
- Laura Auria & Markus Bingmer & Carlos Mateo Caicedo Graciano & Clémence Charavel & Sergio Gavilá & Alessandra Iannamorelli & Aviram Levy & Alfredo Maldonado & Florian Resch & Anna Maria Rossi & Stepha, 2021, "Overview of central banks’ in-house credit assessment systems in the euro area," Occasional Papers, Banco de España, number 2131, Nov.
- Anthony Coache & Sebastian Jaimungal, 2021, "Reinforcement Learning with Dynamic Convex Risk Measures," Papers, arXiv.org, number 2112.13414, Dec, revised Nov 2022.
- Item repec:hal:wpaper:hal-03473431 is not listed on IDEAS anymore
- Wei Cao & Yun He & Wenjun Wang & Weidong Zhu & Yves Demazeau, 2021, "Ensemble methods for credit scoring of Chinese peer-to-peer loans," Post-Print, HAL, number hal-03434348, DOI: 10.21314/JCR.2021.005.
- Christoph Heinzel & Richard Peter, 2021, "Precautionary motives with multiple instruments
[Motifs de précaution en cas de multiples instruments]," Working Papers, HAL, number hal-03484875, Dec. - Yannick Malevergne & Didier Sornette & Ran Wei, 2021, "A model of financial bubbles and drawdowns with non-local behavioral self-referencing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-96, Dec.
- Pagano, Marco & Wagner, Christian & Zechner, Josef, 2021, "Disaster resilience and asset prices," CFS Working Paper Series, Center for Financial Studies (CFS), number 673.
- Le, Tuan Anh & Dao, Thi Thanh Binh, 2021, "Portfolio optimization under mean-CVaR simulation with copulas on the Vietnamese stock exchange," MPRA Paper, University Library of Munich, Germany, number 111105.
- Damir Filipović & Amir Khalilzadeh, 2021, "Machine Learning for Predicting Stock Return Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-95, Dec.
- Anna Aksamit & Ivan Guo & Shidan Liu & Zhou Zhou, 2021, "Superhedging duality for multi-action options under model uncertainty with information delay," Papers, arXiv.org, number 2111.14502, Nov, revised Nov 2023.
- Conefrey, Thomas & Hickey, Rónán & Walsh, Graeme, 2021, "An Analysis of Medium-Term Risks to the Public Finances," Economic Letters, Central Bank of Ireland, number 6/EL/21, Sep.
- Altavilla, Carlo & Ellul, Andrew & Pagano, Marco & Polo, Andrea & Vlassopoulos, Thomas, 2021, "Loan guarantees, bank lending and credit risk reallocation," CFS Working Paper Series, Center for Financial Studies (CFS), number 672.
- Qinkai Chen & Christian-Yann Robert, 2021, "Multivariate Realized Volatility Forecasting with Graph Neural Network," Papers, arXiv.org, number 2112.09015, Dec, revised Dec 2021.