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Report NEP-RMG-2022-04-11
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:
- Martin Herdegen & Nazem Khan, 2022, "$\rho$-arbitrage and $\rho$-consistent pricing for star-shaped risk measures," Papers, arXiv.org, number 2202.07610, Feb, revised May 2024.
- Matt Davison & Marcos Escobar-Anel & Yichen Zhu, 2022, "Optimal market completion through financial derivatives with applications to volatility risk," Papers, arXiv.org, number 2202.08148, Feb.
- Burger, Eric & Grba, Fabian & Heidorn, Thomas, 2022, "The impact of ESG ratings on implied and historical volatility," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 230.
- Mahmoud Fatouh & Ioana Neamtu & Sweder van Wijnbergen, 2022, "Risk-Taking, Competition and Uncertainty: Do Contingent Convertible (CoCo) Bonds Increase the Risk Appetite of Banks?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-017/IV, Feb.
- Christina Brinkmann, 2022, "Imperfect Competition in Derivatives Markets," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 153, Mar.
- Sergio A. Correia & Matthew P. Seay & Cindy M. Vojtech, 2022, "Updated Primer on the Forward-Looking Analysis of Risk Events (FLARE) Model: A Top-Down Stress Test Model," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2022-009, Mar, DOI: 10.17016/FEDS.2022.009.
- Alhonita YATIE, 2022, "Failure of Gold, Bitcoin and Ethereum as safe havens during the Ukraine-Russia war," Bordeaux Economics Working Papers, Bordeaux School of Economics (BSE), number 2022-07.
- Ralph Koijen & Motohiro Yogo, 2022, "The Fragility of Market Risk Insurance," Working Papers, Princeton University. Economics Department., number 2022-3, Mar.
- Chotipong Charoensom & Thaisiri Watewai, 2022, "Optimal Liquidity Control and Systemic Risk in an Interbank Network with Liquidity Shocks and Regime-dependent Interconnectedness," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 175, Mar.
- Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2022, "Can Volatility Solve the Naive Portfolio Puzzle?," Villanova School of Business Department of Economics and Statistics Working Paper Series, Villanova School of Business Department of Economics and Statistics, number 52, Feb.
- Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch, 2022, "Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data," Working Papers, University of Pretoria, Department of Economics, number 202217, Mar.
- Item repec:ulb:ulbeco:2013/340821 is not listed on IDEAS anymore
- Daouia, Abdelaati & Padoan, Simone A. & Stupfler, Gilles, 2022, "Optimal weighted pooling for inference about the tail index and extreme quantiles," TSE Working Papers, Toulouse School of Economics (TSE), number 22-1322, Mar, revised 07 Jun 2023.
- Sebastián Fanelli & Martín Gonzalez-Eiras, 2021, "Resolution of Final Crises," Working Papers, CEMFI, number wp2021_2113, Dec.
- Chetan Dave & Scott J. Dressler & Samreen Malik, 2022, "A Cautionary Tale of Fat Tails," Villanova School of Business Department of Economics and Statistics Working Paper Series, Villanova School of Business Department of Economics and Statistics, number 53, Mar.
- Kathrin Hellmuth & Christian Klingenberg, 2022, "Computing Black Scholes with Uncertain Volatility-A Machine Learning Approach," Papers, arXiv.org, number 2202.07378, Feb.
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022, "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Janeway Institute Working Papers, Faculty of Economics, University of Cambridge, number 2208, Mar.
- Horn, Sebastian & Reinhart, Carmen M. & Trebesch, Christoph, 2022, "Hidden defaults," Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel), number 2208.