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Report NEP-RMG-2022-04-18
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 Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022, "Vulnerability-CoVaR: Investigating the Crypto-market," Papers, arXiv.org, number 2203.10777, Mar.
- Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022, "Estimating risks of option books using neural-SDE market models," Papers, arXiv.org, number 2202.07148, Feb.
- Wosnitza, Jan Henrik, 2022, "Calibration alternatives to logistic regression and their potential for transferring the dispersion of discriminatory power into uncertainties of probabilities of default," Discussion Papers, Deutsche Bundesbank, number 04/2022.
- Frido Rolloos, 2022, "The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility," Papers, arXiv.org, number 2202.07542, Feb.
- Ziteng Cheng & Sebastian Jaimungal, 2022, "Risk-Averse Markov Decision Processes through a Distributional Lens," Papers, arXiv.org, number 2203.09612, Mar, revised Apr 2024.
- John Cotter & Enrique Salvador, 2022, "The non-linear trade-off between return and risk and its determinants," Working Papers, Geary Institute, University College Dublin, number 202203, Feb.
- Item repec:hal:wpaper:hal-03579957 is not listed on IDEAS anymore
- Krüger, Ulrich & Roling, Christoph & Silbermann, Leonid & Wong, Lui Hsian, 2022, "Banks' strategic interaction, adverse price dynamics and systemic liquidity risk," Discussion Papers, Deutsche Bundesbank, number 06/2022.
- Bingyan Han, 2022, "Distributionally robust risk evaluation with a causality constraint and structural information," Papers, arXiv.org, number 2203.10571, Mar, revised Jun 2025.
- Fuzhou Gong & Ting Wang, 2022, "The Variable Volatility Elasticity Model from Commodity Markets," Papers, arXiv.org, number 2203.09177, Mar.
- Ryan, Ellen, 2022, "Are fund managers rewarded for taking cyclical risks?," Working Paper Series, European Central Bank, number 2652, Mar.
- Tomás Caravello & Turalay Kenc & Martín Sola, 2021, "Risk Aversion and Changes in Regime," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2021_08, Dec.
- Dupret, Jean-Loup & Hainaut, Donatien, 2022, "A subdiffusive stochastic volatility jump model," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022001, Jan.
- Paul Gassiat, 2022, "Weak error rates of numerical schemes for rough volatility," Papers, arXiv.org, number 2203.09298, Mar, revised Feb 2023.
- José Alves & João Quental Gonçalves, 2022, "How Money relates to value? An empirical examination on Gold, Silver and Bitcoin," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2022/0222, Mar.
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022, "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2218, Mar.
- Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022, "Dynamic Autoregressive Liquidity (DArLiQ)," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022009, Feb.