Report NEP-RMG-2022-03-07

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:

• Koichi Miyamoto, 2022, "Quantum algorithm for calculating risk contributions in a credit portfolio," Papers, arXiv.org, number 2201.11394, Jan.
• Jan Rosenzweig, 2022, "Fat Tails and Optimal Liability Driven Portfolios," Papers, arXiv.org, number 2201.10846, Jan, revised Apr 2023.
• Eric C. K. Cheung & Oscar Peralta & Jae-Kyung Woo, 2021, "Multivariate matrix-exponential affine mixtures and their applications in risk theory," Papers, arXiv.org, number 2201.11122, Dec.
• Juan Ignacio Pe~na & Rosa Rodriguez & Silvia Mayoral, 2022, "Tail Risk of Electricity Futures," Papers, arXiv.org, number 2202.01732, Feb.
• Matthew F. Tomlinson & David Greenwood & Marcin Mucha-Kruczynski, 2022, "2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log-returns: out-of-sample comparison of conditional EVT models," Papers, arXiv.org, number 2202.01043, Feb, revised Oct 2022.
• Marcin Pitera & Thorsten Schmidt, 2022, "Estimating and backtesting risk under heavy tails," Papers, arXiv.org, number 2201.10454, Jan, revised Jan 2022.
• Minheng Xiao, 2022, "Data-Driven Risk Measurement by SV-GARCH-EVT Model," Papers, arXiv.org, number 2201.09434, Jan, revised Dec 2024.
• Wan-Chien Chiu & Juan Ignacio Pe~na & Chih-Wei Wang, 2022, "Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects," Papers, arXiv.org, number 2202.02276, Feb.
• Martin Guth, 2022, "Predicting Default Probabilities for Stress Tests: A Comparison of Models," Papers, arXiv.org, number 2202.03110, Feb.
• Hwai-Chung Ho, 2022, "Forecasting the distribution of long-horizon returns with time-varying volatility," Papers, arXiv.org, number 2201.07457, Jan.
• Schwaab, Bernd & Zhang, Xin & Lucas, André & D’Innocenzo, Enzo, 2020, "Modeling extreme events:time-varying extreme tail shape," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 399, Dec, revised 01 Jun 2023.
• Meutia, Annissa, 2022, "Risk Management," OSF Preprints, Center for Open Science, number 3zgsw, Feb, DOI: 10.31219/osf.io/3zgsw.
• Abdoulaye Sy & Catherine Araujo-Bonjean & Marie-Eliette Dury & Nourddine Azzaoui & Arnaud Guillin, 2021, "An Extreme Value Mixture model to assess drought hazard in West Africa," CERDI Working papers, HAL, number hal-03297023, Jul.
• Wolf, Elias, 2022, "Estimating growth at risk with skewed stochastic volatility models," Discussion Papers, Free University Berlin, School of Business & Economics, number 2022/2.
• Jori Hoencamp & Shashi Jain & Drona Kandhai, 2022, "A semi-static replication approach to efficient hedging and pricing of callable IR derivatives," Papers, arXiv.org, number 2202.01027, Feb.
• Jaydip Sen & Sidra Mehtab & Abhishek Dutta & Saikat Mondal, 2022, "Hierarchical Risk Parity and Minimum Variance Portfolio Design on NIFTY 50 Stocks," Papers, arXiv.org, number 2202.02728, Feb.
• Muhammad Abubakr Naeem & Sitara Karim & Tooraj Jamasb & Rabindra Nepal, 2022, "Risk Transmission Between Green Markets and Commodities," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2022-18, Feb.
• Karel Janda & Ladislav Kristoufek & Binyi Zhang, 2022, "Return and Volatility Spillovers between Chinese and U.S. Clean Energy Related Stocks," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2022-17, Feb.
• Zhiqin Zou & Arash Farnoosh & Tom Mcnamara, 2021, "Risk analysis in the management of a green supply chain," Post-Print, HAL, number hal-03181313, Jan, DOI: 10.1002/jsc.2383.
• Seungki Min & Ciamac C. Moallemi & Costis Maglaras, 2022, "Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective," Papers, arXiv.org, number 2201.11962, Jan.
• Jaydip Sen & Saikat Mondal & Sidra Mehtab, 2022, "Portfolio Optimization on NIFTY Thematic Sector Stocks Using an LSTM Model," Papers, arXiv.org, number 2202.02723, Feb.
• Anindya Goswami & Kedar Nath Mukherjee & Irvine Homi Patalwala & Sanjay N. S, 2022, "Regime recovery using implied volatility in Markov modulated market model," Papers, arXiv.org, number 2201.10304, Jan, revised Mar 2022.
• Panggabean, Angelita Nauli, 2022, "Risk Management Pada Industri Otomotif," OSF Preprints, Center for Open Science, number eqwa8, Jan, DOI: 10.31219/osf.io/eqwa8.
• Isuru Ratnayake & V. A. Samaranayake, 2022, "Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model," Papers, arXiv.org, number 2202.03351, Feb, revised Mar 2022.
• Carmina Fjellstrom, 2022, "Long Short-Term Memory Neural Network for Financial Time Series," Papers, arXiv.org, number 2201.08218, Jan.
• Afees A. Salisu & Rangan Gupta & Elie Bouri, 2022, "Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach," Working Papers, University of Pretoria, Department of Economics, number 202211, Feb.
• Kasde, Fiona Ramadhita, 2022, "Risk Management pada Industri Real Estate," OSF Preprints, Center for Open Science, number h4db5, Feb, DOI: 10.31219/osf.io/h4db5.
• maulana, ahmad, 2022, "Risk Management E-Commerce," OSF Preprints, Center for Open Science, number b5agj, Jan, DOI: 10.31219/osf.io/b5agj.
• Krzysztof Rusek & Piotr Bory{l}o & Piotr Jaglarz & Fabien Geyer & Albert Cabellos & Piotr Cho{l}da, 2022, "RiskNet: Neural Risk Assessment in Networks of Unreliable Resources," Papers, arXiv.org, number 2201.12263, Jan, revised Jun 2023.
• Pratama, Muhammad Andika Rizki, 2022, "GSLC TUT 6 - Risk Management pada Industri Otomotif," OSF Preprints, Center for Open Science, number b2eua, Jan, DOI: 10.31219/osf.io/b2eua.
• Prendergast, Michael, 2022, "Econometric Models for Computing Safe Withdrawal Rates," OSF Preprints, Center for Open Science, number jd2xg, Jan, DOI: 10.31219/osf.io/jd2xg.
• Yichen Feng & Jean-Pierre Fouque & Ruimeng Hu & Tomoyuki Ichiba, 2022, "Systemic Risk Models for Disjoint and Overlapping Groups with Equilibrium Strategies," Papers, arXiv.org, number 2202.00662, Feb.
• Carla Zoe Cremer & Luke Kemp, 2021, "Democratising Risk: In Search of a Methodology to Study Existential Risk," Papers, arXiv.org, number 2201.11214, Dec.
• Khalid El-Awady, 2021, "Applicability of Large Corporate Credit Models to Small Business Risk Assessment," Papers, arXiv.org, number 2201.08276, Dec.
• William Schueller & Christian Diem & Melanie Hinterplattner & Johannes Stangl & Beate Conrady & Markus Gerschberger & Stefan Thurner, 2022, "Propagation of disruptions in supply networks of essential goods: A population-centered perspective of systemic risk," Papers, arXiv.org, number 2201.13325, Jan.
• Julio Guerrero & Giuseppe Orlando, 2022, "Stochastic Local Volatility models and the Wei-Norman factorization method," Papers, arXiv.org, number 2201.11241, Jan.
• Igor Nesiolovskiy, 2021, "Stock exchange shares ranking and binary-ternary compressive coding," Papers, arXiv.org, number 2201.11507, Oct.
• Nurul Izzaty Hasanah Azhar & Norziana Lokman & Md. Mahmudul Alam & Jamaliah Said, 2021, "Factors determining Z-score and corporate failure in Malaysian companies," Post-Print, HAL, number hal-03520192, DOI: 10.1504/IJEBR.2021.114381.
• Giuseppe Brandi & T. Di Matteo, 2022, "Multiscaling and rough volatility: an empirical investigation," Papers, arXiv.org, number 2201.10466, Jan.
• Nikolas Michael & Mihai Cucuringu & Sam Howison, 2022, "Option Volume Imbalance as a predictor for equity market returns," Papers, arXiv.org, number 2201.09319, Jan.
• Peng Wu & Jean-Franc{c}ois Muzy & Emmanuel Bacry, 2022, "From Rough to Multifractal volatility: the log S-fBM model," Papers, arXiv.org, number 2201.09516, Jan, revised Jul 2022.
• Ihsan Chaoubi & Camille Besse & H'el`ene Cossette & Marie-Pier C^ot'e, 2022, "Micro-level Reserving for General Insurance Claims using a Long Short-Term Memory Network," Papers, arXiv.org, number 2201.13267, Jan.
• Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman van Dijk, 2022, "A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-013/III, Feb.
• Anton J. Heckens & Thomas Guhr, 2022, "New Collectivity Measures for Financial Covariances and Correlations," Papers, arXiv.org, number 2202.00297, Feb, revised Aug 2022.
• Yawovi Mawussé Isaac Amedanou, 2022, "Financing the economy in debt times: the crucial role of public-private partnerships," Working Papers, HAL, number hal-03545244, Jan.
• Zhe Wang & Ameir Shaa & Nicolas Privault & Claude Guet, 2021, "Deep self-consistent learning of local volatility," Papers, arXiv.org, number 2201.07880, Dec, revised Feb 2025.
• Shuo Sun & Wanqi Xue & Rundong Wang & Xu He & Junlei Zhu & Jian Li & Bo An, 2021, "DeepScalper: A Risk-Aware Reinforcement Learning Framework to Capture Fleeting Intraday Trading Opportunities," Papers, arXiv.org, number 2201.09058, Dec, revised Aug 2022.
• Meng-Chen Hsieh & Clifford Hurvich & Philippe Soulier, 2022, "Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes," Papers, arXiv.org, number 2202.00793, Feb.
• Raphael Auer & Bruce Muneaki Iwadate & Andreas Schrimpf & Alexander F. Wagner, 2022, "Global production linkages and stock market co-movement," BIS Working Papers, Bank for International Settlements, number 1003, Feb.

Report NEP-RMG-2022-03-07

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: