Report NEP-RMG-2022-05-09

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:

• Benjamin Avanzi & Hayden Lau & Mogens Steffensen, 2022, "Optimal reinsurance design under solvency constraints," Papers, arXiv.org, number 2203.16108, Mar, revised Jun 2023.
• Rebekka Buse & Konstantin Gorgen & Melanie Schienle, 2022, "Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests," Papers, arXiv.org, number 2203.08224, Feb, revised Dec 2024.
• T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022, "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Papers, arXiv.org, number 2204.02680, Apr, revised Jun 2022.
• Christa Cuchiero & Guido Gazzani & Irene Klein, 2022, "Risk measures under model uncertainty: a Bayesian viewpoint," Papers, arXiv.org, number 2204.07115, Apr.
• JunTao Duan & Ionel Popescu, 2022, "LoCoV: low dimension covariance voting algorithm for portfolio optimization," Papers, arXiv.org, number 2204.00204, Apr.
• Veraart, Luitgard A. M., 2020, "Distress and default contagion in financial networks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 101905, Jul.
• Ferdoos Alharbi & Tahir Choulli, 2022, "Log-optimal portfolio after a random time: Existence, description and sensitivity analysis," Papers, arXiv.org, number 2204.03798, Apr.
• Peter Reinhard Hansen & Chen Tong, 2022, "Option Pricing with Time-Varying Volatility Risk Aversion," Papers, arXiv.org, number 2204.06943, Apr, revised Mar 2025.
• Bruno Spilak & Wolfgang Karl Hardle, 2022, "Risk budget portfolios with convex Non-negative Matrix Factorization," Papers, arXiv.org, number 2204.02757, Apr, revised Jun 2023.
• Florian Bourgey & Stefano De Marco & Peter K. Friz & Paolo Pigato, 2022, "Local volatility under rough volatility," Papers, arXiv.org, number 2204.02376, Apr, revised Nov 2022.
• Kun Zhang & Ben Mingbin Feng & Guangwu Liu & Shiyu Wang, 2022, "Sample Recycling for Nested Simulation with Application in Portfolio Risk Measurement," Papers, arXiv.org, number 2203.15929, Mar.
• Xu, Jack, 2022, "Fundamental Credit Analysis through Dynamical Modeling and Simulation of the Balance Sheet: Applications to Chinese Real Estate Developers," MPRA Paper, University Library of Munich, Germany, number 112699, Apr.
• Daniel Dimitrov, 2022, "Intergenerational Risk Sharing with Market Liquidity Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-028/VI, Mar.
• Jaehyuk Choi & Rong Chen, 2022, "Improved iterative methods for solving risk parity portfolio," Papers, arXiv.org, number 2203.00148, Feb.
• Giacomo Giorgio & Barbara Pacchiarotti & Paolo Pigato, 2022, "Short-time asymptotics for non self-similar stochastic volatility models," Papers, arXiv.org, number 2204.10103, Apr, revised Nov 2023.
• Xinyu Wang & Liang Zhao & Ning Zhang & Liu Feng & Haibo Lin, 2022, "Stability of China's Stock Market: Measure and Forecast by Ricci Curvature on Network," Papers, arXiv.org, number 2204.06692, Apr.
• Valentina Galvani & Vita Faychuk, 2022, "The Mean-Variance Core of Cryptocurrencies: When More is Not Better," Working Papers, University of Alberta, Department of Economics, number 2022-04, Mar.
• Franco D. Albareti & Thomas Ankenbrand & Denis Bieri & Esther Hanggi & Damian Lotscher & Stefan Stettler & Marcel Schongens, 2022, "A Structured Survey of Quantum Computing for the Financial Industry," Papers, arXiv.org, number 2204.10026, Apr.
• Felix-Benedikt Liebrich & Marco Maggis & Gregor Svindland, 2020, "Model Uncertainty: A Reverse Approach," Papers, arXiv.org, number 2004.06636, Apr, revised Mar 2022.
• Nick Netzer & Arthur Robson & Jakub Steiner & Pavel Kocourek, 2022, "Endogenous Risk Attitudes," CESifo Working Paper Series, CESifo, number 9547.
• Chetan Dave & Scott Dressler & Samreen Malik, 2022, "A Cautionary Tale of Fat Tails," Working Papers, University of Alberta, Department of Economics, number 2022-01, Mar.
• Nicholas Fritsch & Jan-Peter Siedlarek, 2022, "How Do Banks Respond to Capital Regulation? — The Impact of the Basel III Reforms in the United States," Working Papers, Federal Reserve Bank of Cleveland, number 22-11, Apr, DOI: 10.26509/frbc-wp-202211.
• Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022, "Variational inference for large Bayesian vector autoregressions," Papers, arXiv.org, number 2202.12644, Feb, revised Jun 2023.
• Sergio A. Correia & Matthew P. Seay & Cindy M. Vojtech, 2022, "Testing Bank Resiliency Through Time," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2022-03-18, Mar, DOI: 10.17016/2380-7172.3070.
• Sebastian Baran & Przemys{l}aw Rola, 2022, "Prediction of motor insurance claims occurrence as an imbalanced machine learning problem," Papers, arXiv.org, number 2204.06109, Apr.
• Jozef Barunik & Lubos Hanus, 2022, "Learning Probability Distributions in Macroeconomics and Finance," Papers, arXiv.org, number 2204.06848, Apr.

Report NEP-RMG-2022-05-09

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: