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Report NEP-RMG-2022-04-25
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:
- Pedini, Luca & Severini, Sabrina, 2022, "Exploring the hedge, diversifier and safe haven properties of ESG investments: A cross-quantilogram analysis," MPRA Paper, University Library of Munich, Germany, number 112339.
- Yunyun Wang & Tatsushi Oka & Dan Zhu, 2022, "Bivariate Distribution Regression with Application to Insurance Data," Papers, arXiv.org, number 2203.12228, Mar, revised Sep 2023.
- Bambino-Contreras, Carlos & Morales-Oñate, Víctor, 2021, "Exposición al default: estimación para un portafolio de tarjeta de crédito
[Exposure to default: estimation for a credit card portfolio]," MPRA Paper, University Library of Munich, Germany, number 112333, Dec. - Ruan Pretorius & Terence van Zyl, 2022, "Deep Reinforcement Learning and Convex Mean-Variance Optimisation for Portfolio Management," Papers, arXiv.org, number 2203.11318, Feb.
- Turiel, Jeremy D. & Aste, Tomaso, 2022, "Heterogeneous criticality in high frequency finance: a phase transition in flash crashes," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 113892, Feb.
- Nyassoke Titi Gaston Clément & Jules Sadefo-Kamdem & Louis Aimé Fono, 2022, "Dynamic Optimal Hedge Ratio Design when Price and Production are stochastic with Jump," Post-Print, HAL, number hal-02417401, DOI: 10.1007/s10436-022-00410-1.
- Levent Altinoglu & Joseph E. Stiglitz, 2022, "Collective Moral Hazard and the Interbank Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 29807, Feb.
- Veraart, Luitgard A. M., 2022, "When does portfolio compression reduce systemic risk?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 113638, Jul.
- Pastén, Boris & Tapia, Pablo & Sepúlveda, Jorge, 2022, "Returns in US copper companies the face of the volatility and stringency of COVID-19," MPRA Paper, University Library of Munich, Germany, number 112574, Mar.
- Stefan Nagel & Zhengyang Xu, 2022, "Dynamics of Subjective Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 29803, Feb.
- Andrea Gamba & Alessio Saretto, 2022, "Endogenous Option Pricing," Working Papers, Federal Reserve Bank of Dallas, number 2202, Mar, DOI: 10.24149/wp2202.
- Tiemen Woutersen, 2022, "Discounting Trillions of Dollars in Pension Obligations: A Better Alternative to Using the Expected Return or Risk-Free Rate," Studies in Applied Economics, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise, number 204, Mar.
- Karim Amzile & Rajaa Amzile, 2022, "The application of techniques derived from artificial intelligence to the prediction of the solvency of bank customers: case of the application of the cart type decision tree (dt)," Papers, arXiv.org, number 2203.13001, Mar.
- Irina Kozlovtceva & Henry Penikas & Ekaterina Petreneva & Yulia Ushakova, 2020, "Macroprudential Policy Efficiency: Assessment for the Uncollateralized Consumer Loans in Russia," Bank of Russia Working Paper Series, Bank of Russia, number wps62, Nov.
- Bougias, Alexandros & Episcopos, Athanasios & Leledakis, George N., 2022, "The role of asset payouts in the estimation of default barriers," MPRA Paper, University Library of Munich, Germany, number 112317, Feb.
- Zhou Tianbao & Li Xinghao & Zhao Junguang, 2022, "Solar Term Anomaly in China Stock Market: Evidence from Shanghai Index," Papers, arXiv.org, number 2203.12603, Mar, revised Feb 2023.
- Gustavo S. Cortes & Angela Vossmeyer & Marc D. Weidenmier, 2022, "Stock Volatility and the War Puzzle: The Military Demand Channel," NBER Working Papers, National Bureau of Economic Research, Inc, number 29837, Mar.
- Dan Zhang & Arash Farnoosh & Frédéric Lantz, 2022, "Does Something Change in the Oil Market with the COVID-19 Crisis ?," Post-Print, HAL, number hal-03601767, May, DOI: 10.1016/j.inteco.2022.01.008.