Report NEP-RMG-2022-05-02

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:

• Naimoli, Antonio, 2022, "The information content of sentiment indices for forecasting Value at Risk and Expected Shortfall in equity markets," MPRA Paper, University Library of Munich, Germany, number 112588, Mar.
• Rama Cont & Mihai Cucuringu & Renyuan Xu & Chao Zhang, 2022, "Tail-GAN: Learning to Simulate Tail Risk Scenarios," Papers, arXiv.org, number 2203.01664, Mar, revised May 2025.
• Godwin, Alexander, 2022, "Hedge fund alpha and beta corrected for stale pricing," MPRA Paper, University Library of Munich, Germany, number 112509, Mar.
• Puneet Pasricha & Dharmaraja Selvamuthu & Selvaraju Natarajan, 2022, "A contagion process with self-exciting jumps in credit risk applications," Papers, arXiv.org, number 2202.12946, Feb.
• Baishuai Zuo & Chuancun Yin, 2022, "Multivariate doubly truncated moments for generalized skew-elliptical distributions with application to multivariate tail conditional risk measures," Papers, arXiv.org, number 2203.00839, Mar.
• Lotfi Boudabsa & Damir Filipović, 2022, "Ensemble learning for portfolio valuation and risk management," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-30, Apr.
• Tobias Fissler & Silvana M. Pesenti, 2022, "Sensitivity Measures Based on Scoring Functions," Papers, arXiv.org, number 2203.00460, Mar, revised Jul 2022.
• {O}yvind Grotmol & Martin Jullum & Kjersti Aas & Michael Scheuerer, 2022, "Performance evaluation of volatility estimation methods for Exabel," Papers, arXiv.org, number 2203.12402, Mar.
• Silvia Sarpietro & Yuya Sasaki & Yulong Wang, 2022, "Non-Existent Moments of Earnings Growth," Papers, arXiv.org, number 2203.08014, Mar, revised Feb 2024.
• Baishuai Zuo & Chuancun Yin, 2022, "Doubly truncated moment risk measures for elliptical distributions," Papers, arXiv.org, number 2203.01091, Mar.
• Maria Teresa Medeiros Garcia & Ana Jin Ye, 2022, "Risk-taking by banks: Evidence from European Union countries," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2022/0225, Apr.
• Yuanying Guan & Zhanyi Jiao & Ruodu Wang, 2022, "A reverse ES (CVaR) optimization formula," Papers, arXiv.org, number 2203.02599, Mar, revised May 2023.
• Alim, Wajid & Ali, Amjad & Metla, Mahwish Rauf, 2021, "The Effect of Liquidity Risk Management on Financial Performance of Commercial Banks in Pakistan," MPRA Paper, University Library of Munich, Germany, number 112482.
• Jonas Crevecoeur & Katrien Antonio & Stijn Desmedt & Alexandre Masquelein, 2022, "Bridging the gap between pricing and reserving with an occurrence and development model for non-life insurance claims," Papers, arXiv.org, number 2203.07145, Mar, revised Feb 2023.
• Benjamin Avanzi & Ping Chen & Lars Frederik Brandt Henriksen & Bernard Wong, 2022, "On the surplus management of funds with assets and liabilities in presence of solvency requirements," Papers, arXiv.org, number 2203.05139, Mar, revised Aug 2022.
• Yevhen Havrylenko & Maria Hinken & Rudi Zagst, 2022, "Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer," Papers, arXiv.org, number 2203.04053, Mar, revised Oct 2023.
• Benjamin Avanzi & Mark Lavender & Greg Taylor & Bernard Wong, 2022, "Detection and treatment of outliers for multivariate robust loss reserving," Papers, arXiv.org, number 2203.03874, Mar, revised Jun 2023.
• Heard, Claire Louise & Rakow, Tim, 2022, "Examining insensitivity to probability in evidence‐based communication of relative risks: the role of affect and communication format," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 113810, Oct.
• Cecilia Parlatore & Thomas Philippon, 2022, "Designing Stress Scenarios," NBER Working Papers, National Bureau of Economic Research, Inc, number 29901, Apr.
• Jun Lu & Shao Yi, 2022, "Reducing overestimating and underestimating volatility via the augmented blending-ARCH model," Papers, arXiv.org, number 2203.12456, Mar.
• Florian Eckert & Heiner Mikosch, 2021, "Firm Bankruptcies and Start-Up Activity in Switzerland During the Corona Crisis," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 21-499, Nov, DOI: 10.3929/ethz-b-000516953.
• Christian Bayer & Masaaki Fukasawa & Shonosuke Nakahara, 2022, "On the weak convergence rate in the discretization of rough volatility models," Papers, arXiv.org, number 2203.02943, Mar.
• Miguel A. Ruiz-Ortiz & Jos'e Carlos G'omez-Larra~naga & Jes'us Rodr'iguez-Viorato, 2022, "A persistent-homology-based turbulence index & some applications of TDA on financial markets," Papers, arXiv.org, number 2203.05603, Mar, revised Jul 2023.
• Raad Khraishi & Ramin Okhrati, 2022, "Offline Deep Reinforcement Learning for Dynamic Pricing of Consumer Credit," Papers, arXiv.org, number 2203.03003, Mar.

Report NEP-RMG-2022-05-02

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: