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Report NEP-RMG-2022-05-30
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:
- Tuan Tran & Nhat Nguyen, 2022, "Improving Portfolio Liquidity with Cash-Value-at-Risk for Covariance Estimations in Quantitative Trading," Working Papers, HAL, number hal-03647881, Apr.
- Karim Amzile & Mohamed Habachi, 2022, "Assessment of Support Vector Machine performance for default prediction and credit rating," Post-Print, HAL, number halshs-03643738, DOI: 10.21511/bbs.17(1).2022.14.
- Alhonita Yatie, 2022, "Failure of Gold, Bitcoin and Ethereum as safe havens during the Ukraine-Russia war," Working Papers, HAL, number hal-03625196, Mar.
- Ion Lapteacru, 2022, "What drives the risk of European banks during crises? New evidence and insights," Working Papers, HAL, number hal-03625046, Mar.
- Njeru, Andrew Kioi, 2022, "Asset quality assessment in the absence of quality data towards optimal credit intermediation," KBA Centre for Research on Financial Markets and Policy Working Paper Series, Kenya Bankers Association (KBA), number 63.
- Jiamin Yu, 2022, "Will claim history become a deprecated rating factor? An optimal design method for the real-time road risk model," Papers, arXiv.org, number 2204.11585, Apr.
- Nordine Abidi & Mohamed Belkhir, 2022, "Corporate Vulnerabilities in the Middle East, North Africa, and Pakistan in the Wake of COVID-19 Pandemic," IMF Working Papers, International Monetary Fund, number 2022/071, Apr.
- Elisa Al`os & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2022, "CVA in fractional and rough volatility models," Papers, arXiv.org, number 2204.11554, Apr.
- Dotta, Vitor, 2022, "Addressing systemic risk in Europe during Covid-19: The role of regulation and the policy mix," IPE Working Papers, Berlin School of Economics and Law, Institute for International Political Economy (IPE), number 181/2022.
- Giovanni di Iasio & Spyridon Alogoskoufis & Simon Kordel & Dominika Kryczka & Giulio Nicoletti & Nicholas Vause, 2022, "A model of system-wide stress simulation: market-based finance and the Covid-19 event," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 687, Apr.
- Xianfei Hui & Baiqing Sun & Hui Jiang & Yan Zhou, 2022, "Modeling dynamic volatility under uncertain environment with fuzziness and randomness," Papers, arXiv.org, number 2204.12657, Apr, revised Oct 2022.
- International Association of Deposit Insurers, 2021, "Deposit Insurance Coverage Level and Scope," IADI Research Papers, International Association of Deposit Insurers, number 21-12, Dec.
- Maria Alessia Aiello & Cristina Angelico, 2022, "Climate change and credit risk: the effect of carbon taxes on Italian banks' business loan default rates," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 688, Apr.
- Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2022, "Addressing COVID-19 outliers in BVARs with stochastic volatility," Discussion Papers, Deutsche Bundesbank, number 13/2022.
- Huiling Yuan & Guodong Li & Junhui Wang, 2022, "High-Frequency-Based Volatility Model with Network Structure," Papers, arXiv.org, number 2204.12933, Apr.
- Anneke Kosse & Zhentong Lu, 2022, "Transmission of Cyber Risk Through the Canadian Wholesale Payment System," Staff Working Papers, Bank of Canada, number 22-23, May, DOI: 10.34989/swp-2022-23.
- Ibrahim Ekren & Brad Mostowski & Gordan v{Z}itkovi'c, 2022, "Kyle's Model with Stochastic Liquidity," Papers, arXiv.org, number 2204.11069, Apr.
- Hadian Rasanan, Amir Hosein & Evans, Nathan J. & Padash, Amin & Rad, Jamal Amani, 2022, "Race Lévy flights: A mathematically tractable framework for studying heavy-tailed accumulation noise," OSF Preprints, Center for Open Science, number x53hj, Apr, DOI: 10.31219/osf.io/x53hj.
- Bert Van Roosebeke & Ryan Defina, 2022, "Deposit Insurance in 2022: Global Trends and Key Emerging Issues," IADI Research Papers, International Association of Deposit Insurers, number 22-02, Feb.
- Leogrande, Angelo & Costantiello, Alberto & Laureti, Lucio & Matarrese, Marco Maria, 2022, "The Determinants of Risk Weighted Asset in Europe," MPRA Paper, University Library of Munich, Germany, number 112924, May.