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Report NEP-RMG-2022-02-21
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:
- Item repec:bof:bofrdp:2022_004 is not listed on IDEAS anymore
- Jinping Zhang & Keming Zhang, 2022, "Portfolio selection models based on interval-valued conditional value at risk (ICVaR) and empirical analysis," Papers, arXiv.org, number 2201.02987, Jan, revised Jul 2022.
- Denuit, Michel & Dhaene, Jan & Robert, Christian Y., 2021, "Risk-sharing rules and their properties, with applications to peer-to-peer insurance," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021037, Nov.
- Martin Indergand & Eric Jondeau & Andreas Fuster, 2022, "Measuring and Stress-Testing Market-Implied Bank Capital," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-11, Jan.
- Beatriz de la Flor & Javier Ojea-Ferreiro & Eva Ferreira, 2022, "The Hedging Cost of Forgetting the Exchange Rate," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2022-01.
- Ioana Neamtu & Quynh-Anh Vo, 2021, "Capital allocation, the leverage ratio requirement," Bank of England working papers, Bank of England, number 956, Dec.
- Mark Kiermayer & Christian Wei{ss}, 2022, "Neural calibration of hidden inhomogeneous Markov chains -- Information decompression in life insurance," Papers, arXiv.org, number 2201.02397, Jan.
- Anusha Chari & Karlye Dilts Stedman & Kristin J. Forbes, 2021, "Spillovers at the Extremes: The Macroprudential Stance and Vulnerability to the Global Financial Cycle," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 21-16, Dec, DOI: 10.18651/RWP2021-16.
- Jaydip Sen & Ashwin Kumar R S & Geetha Joseph & Kaushik Muthukrishnan & Koushik Tulasi & Praveen Varukolu, 2022, "Precise Stock Price Prediction for Robust Portfolio Design from Selected Sectors of the Indian Stock Market," Papers, arXiv.org, number 2201.05570, Jan.
- Marcin Pitera & {L}ukasz Stettner, 2022, "Discrete-time risk sensitive portfolio optimization with proportional transaction costs," Papers, arXiv.org, number 2201.02828, Jan.
- Masaaki Fukasawa, 2022, "On asymptotically arbitrage-free approximations of the implied volatility," Papers, arXiv.org, number 2201.02752, Jan, revised Jan 2022.
- Federico Apicella & Raffaele Gallo & Giovanni Guazzarotti, 2022, "Insurers' investments before and after the Covid-19 outbreak," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1363, Feb.
- Wenjia Wang & Yanyuan Wang & Xiaowei Zhang, 2022, "Smooth Nested Simulation: Bridging Cubic and Square Root Convergence Rates in High Dimensions," Papers, arXiv.org, number 2201.02958, Jan, revised Oct 2023.
- Denuit, Michel & Hieber, Peter & Robert, Christian Y., 2021, "Mortality credits within large survivor funds," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021038, Dec.
- Melchisedek Joslem Ngambou Djatche, 2021, "The Most Expected Things Often Come as a Surprise: Analysis of the Impact of Monetary Surprises on the Bank's Risk and Activity," GREDEG Working Papers, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France, number 2021-45, Dec.
- Csaba Burger, 2022, "Defaulting Alone: The Geography of Sme Owner Numbers and Credit Risk in Hungary," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2022/144.
- Ludolph, Melina, 2024, "CoCo Bonds, Bank Stability, and Earnings Opacity," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 1/2022, revised 2024.
- Nathan Kallus, 2022, "Treatment Effect Risk: Bounds and Inference," Papers, arXiv.org, number 2201.05893, Jan, revised Jul 2022.