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Report NEP-RMG-2022-03-21
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:
- Zhengkun Li, 2022, "Honour Thesis: A Joint Value at Risk and Expected Shortfall Combination Framework and its Applications in the Cryptocurrency Market," Papers, arXiv.org, number 2202.10918, Feb.
- Gareth W. Peters & Matteo Malavasi & Georgy Sofronov & Pavel V. Shevchenko & Stefan Truck & Jiwook Jang, 2022, "Cyber Loss Model Risk Translates to Premium Mispricing and Risk Sensitivity," Papers, arXiv.org, number 2202.10588, Feb, revised Mar 2023.
- Poledna, Sebastian & Martínez-Jaramillo, Serafín & Caccioli, Fabio & Thurner, Stefan, 2021, "Quantification of systemic risk from overlapping portfolios in the financial system," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 113734, Feb.
- Yu Zhao & Shaopeng Wei & Yu Guo & Qing Yang & Xingyan Chen & Qing Li & Fuzhen Zhuang & Ji Liu & Gang Kou, 2022, "Combining Intra-Risk and Contagion Risk for Enterprise Bankruptcy Prediction Using Graph Neural Networks," Papers, arXiv.org, number 2202.03874, Jan, revised Jul 2022.
- Gain, Hemant, 2022, "Risk Management Practice Adopted in Road Construction Project," MPRA Paper, University Library of Munich, Germany, number 112055, Jan.
- Federico Huneeus & Joseph P. Kaboski & Mauricio Larrain & Sergio L. Schmukler & Mario Vera, 2022, "The Distribution of Crisis Credit: Effects on Firm Indebtedness and Aggregate Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 29774, Feb.
- Elena Ivona Dumitrescu & Sullivan Hué & Christophe Hurlin & Sessi Tokpavi, 2022, "Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects," Post-Print, HAL, number hal-03331114, DOI: 10.1016/j.ejor.2021.06.053.
- Nick James & Max Menzies & Georg A. Gottwald, 2022, "On financial market correlation structures and diversification benefits across and within equity sectors," Papers, arXiv.org, number 2202.10623, Feb, revised Jun 2022.
- Hediye Yarahmadi & Abbas Ali Saberi, 2022, "A 2D Levy-flight model for the complex dynamics of real-life financial markets," Papers, arXiv.org, number 2202.12067, Feb.
- Pretto, Madeline, 2021, "Tail-risk Comprehension and Protection in Real-time Electricity Pricing : Experimental Evidence," Warwick-Monash Economics Student Papers, Warwick Monash Economics Student Papers, number 25.
- Sondakh, Jullie J. & Tulung, Joy E. & Karamoy, Herman, 2021, "The Effect of Third-Party Funds, Credit Risk, Market Risk, and Operational Risk on Profitability in Banking for Period 2014-2017," MPRA Paper, University Library of Munich, Germany, number 112066, Mar, revised 16 Apr 2021.
- Razana Juhaida Johari & Md. Mahmudul Alam & Jamaliah Said, 2020, "Empirical assessment on factors contributing to integrity practices of Malaysian public sector officers," Post-Print, HAL, number hal-03538155, Dec, DOI: 10.1108/BPMJ-06-2020-0297.
- Darapheak Tin & Chung Tran, 2022, "Lifecycle Earnings Risk and Insurance: New Evidence from Australia," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2022-686, Mar.
- Azhar, Nurul Izzaty Hasanah & Lokman, Norziana & Alam, Md. Mahmudul & Said, Jamaliah, 2021, "Factors Determining Z-score and Corporate Failure in Malaysian Companies," OSF Preprints, Center for Open Science, number ke8ab, Nov, DOI: 10.31219/osf.io/ke8ab.
- Chung-Han Hsieh, 2022, "On Solving Robust Log-Optimal Portfolio: A Supporting Hyperplane Approximation Approach," Papers, arXiv.org, number 2202.03858, Feb.
- Matthew Harding & Gabriel F. R. Vasconcelos, 2022, "Managers versus Machines: Do Algorithms Replicate Human Intuition in Credit Ratings?," Papers, arXiv.org, number 2202.04218, Feb.
- Markus K. Brunnermeier & Sebastian Merkel & Yuliy Sannikov, 2020, "A Safe Asset Perspective for an Integrated Policy Framework," Working Papers, Princeton University. Economics Department., number 2020-58, May.