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Report NEP-RMG-2022-03-28
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:
- Giuseppe Genovese & Ashkan Nikeghbali & Nicola Serra & Gabriele Visentin, 2022, "Universal approximation of credit portfolio losses using Restricted Boltzmann Machines," Papers, arXiv.org, number 2202.11060, Feb, revised Apr 2023.
- Benjamin Bruder & Nazar Kostyuchyk & Thierry Roncalli, 2022, "Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia," Papers, arXiv.org, number 2202.10721, Feb.
- Elisa Luciano & Jean Charles Rochet, 2021, "Risk Appetite Fluctuations in the Insurance Industry," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 666 JEL Classification: G.
- Yusuke Uchiyama & Kei Nakagawa, 2022, "Schr\"{o}dinger Risk Diversification Portfolio," Papers, arXiv.org, number 2202.09939, Feb.
- John Stachurski, 2022, "Systemic Risk in Financial Systems: Properties of Equilibria," Papers, arXiv.org, number 2202.11183, Feb.
- Supriya Kapoor & Adnan Velic, 2022, "QE: Implications for Bank Risk-Taking, Profitability, and Systemic Risk," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number tep0122, Feb.
- Victoria Dobrynskaya & Mikhail Dubrovskiy, 2022, "Cryptocurrencies Meet Equities: Risk Factors And Asset Pricing Relationships," HSE Working papers, National Research University Higher School of Economics, number WP BRP 86/FE/2022.
- Pavel V. Shevchenko & Jiwook Jang & Matteo Malavasi & Gareth W. Peters & Georgy Sofronov & Stefan Truck, 2022, "The Nature of Losses from Cyber-Related Events: Risk Categories and Business Sectors," Papers, arXiv.org, number 2202.10189, Feb, revised Mar 2022.
- Alhonita Yatie, 2022, "Crypto-assets better safe-havens than Gold during Covid-19: The case of European indices," Papers, arXiv.org, number 2202.10760, Feb.
- Джусангалиева Камилла // Jussangaliyeva Kamilla & Миллер Алия // Miller Aliya & Хакимжанов Сабит // Khakimzhanov Sabit, 2022, "Пруденциальные требования по ликвидности и риск-ориентированный подход // Prudential liquidity requirements and a risk-based approach," Working Papers, National Bank of Kazakhstan, number #2022-3.
- Thanasis Stengos & Theodore Panagiotidis & Georgios Papapanagiotou, 2022, "On the volatility of cryptocurrencies," Working Papers, University of Guelph, Department of Economics and Finance, number 2202.
- Xu, Yongdeng, 2022, "The Exponential HEAVY Model: An Improved Approach to Volatility Modeling and Forecasting," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2022/5, Mar.
- George-Marian Aevoae & Alin Marius Andries & Steven Ongena & Nicu Sprincean, 2022, "ESG and Systemic Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-25, Mar.
- Florian Bourgey & Stefano De Marco & Emmanuel Gobet, 2022, "Weak approximations and VIX option price expansions in forward variance curve models," Papers, arXiv.org, number 2202.10413, Feb, revised May 2022.
- Verena Monschang & Bernd Wilfling, 2022, "A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 9722, Mar.
- German Rodikov & Nino Antulov-Fantulin, 2022, "Can LSTM outperform volatility-econometric models?," Papers, arXiv.org, number 2202.11581, Feb.
- Christoph Carnehl & Johannes Schneider, 2022, "On Risk and Time Pressure: When to Think and When to Do," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2022_342, Mar.
- Dorinel Bastide & Stéphane Crépey & Samuel Drapeau & Mekonnen Tadese, 2022, "Derivatives Risks as Costs in a One-Period Network Model," Working Papers, HAL, number hal-03554577, Feb, DOI: 10.48550/arXiv.2202.03248.
- David Dillenberger & Daniel Gottlieb & Pietro Ortoleva, 2020, "Stochastic Impatience and the Separation of Time and Risk Preferences," Working Papers, Princeton University. Economics Department., number 2020-54, Apr.
- Toshiko Matsui & Ali Al-Ali & William J. Knottenbelt, 2022, "On the Dynamics of Solid, Liquid and Digital Gold Futures," Papers, arXiv.org, number 2202.09845, Feb.
- Lin Qi, 2022, "Investor Sentiment, Volatility and Cross-Market Illiquidity Dynamics: A Threshold Vector Autoregression Approach," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2022-24, Mar.
- Gérard Mondello, 2021, "Lenders' liability and ultra-hazardous activities," Post-Print, HAL, number halshs-03502693.
- Avezum, Lucas, 2022, "Essays on bank regulation and supervision," Other publications TiSEM, Tilburg University, School of Economics and Management, number ecf0bc59-8366-46c4-bdfa-8.
- Taiga Saito & Akihiko Takahashi, 2022, "Portfolio optimization with choice of a probability measure (forthcoming in proceedings of IEEE CIFEr 2022)," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-534, Mar.
- Zexuan Yin & Paolo Barucca, 2022, "Neural Generalised AutoRegressive Conditional Heteroskedasticity," Papers, arXiv.org, number 2202.11285, Feb.
- Imane El Ouadghiri & Mathieu Gomes & Jonathan Peillex & Guillaume Pijourlet, 2022, "Investor Attention to the Fossil Fuel Divestment Movement and Stock Returns," Post-Print, HAL, number hal-03549713, Jan.