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Report NEP-RMG-2022-07-11
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:
- Elisa Al`os & David Garc'ia-Lorite & Makar Pravosud, 2022, "On the skew and curvature of implied and local volatilities," Papers, arXiv.org, number 2205.11185, May, revised Sep 2023.
- Merike Kukk & Alari Paulus & Nicolas Reigl, 2022, "Credit market concentration and systemic risk in Europe," Bank of Estonia Working Papers, Bank of Estonia, number wp2022-4, Mar, revised 24 Mar 2022, DOI: 10.23656/25045520/042022/0194.
- Sandhya Devi & Sherman Page, 2022, "Tsallis Relative entropy from asymmetric distributions as a risk measure for financial portfolios," Papers, arXiv.org, number 2205.13625, May.
- Bjoern Schulte-Tillman & Mawuli Segnon & Bernd Wilfling, 2022, "Financial-market volatility prediction with multiplicative Markov-switching MIDAS components," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 9922, Jun.
- Philipp Ratz, 2022, "Nonparametric Value-at-Risk via Sieve Estimation," Papers, arXiv.org, number 2205.07101, May.
- Asenova, Stefka & Segers, Johan, 2022, "Extremes of Markov random fields on block graphs," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022013, Jan.
- Ahmed, Hanan, 2022, "Extreme value statistics using related variables," Other publications TiSEM, Tilburg University, School of Economics and Management, number 246f0f13-701c-4c0d-8e09-e.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2022, "Boom-bust cycles and asset market participation waves: Momentum, value, risk and herding," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 177.
- Oorschot, Jochem & Segers, Johan & Zhou, Chen, 2022, "Tail inference using extreme U-statistics," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022014, Mar.
- Luciano Campos & Danilo Leiva-León & Steven Zapata, 2022, "Latin American Falls, Rebounds and Tail," Working Papers, Red Nacional de Investigadores en Economía (RedNIE), number 145, May.
- Surbhi Bhatia & Manish K. Singh, 2022, "Fifty years since Altman (1968): Performance of financial distress prediction models," Working Papers, xKDR, number 12, Jun.
- German Rodikov & Nino Antulov-Fantulin, 2022, "Volatility-inspired $\sigma$-LSTM cell," Papers, arXiv.org, number 2205.07022, May.
- Giovannini, Alessandro & Ioannou, Demosthenes & Stracca, Livio, 2022, "Public and private risk sharing: friends or foes? The interplay between different forms of risk sharing," Occasional Paper Series, European Central Bank, number 295, Jun.
- Deniz Igan & Ali Mirzaei & Tomoe Moore, 2022, "A shot in the arm: stimulus packages and firm performance during Covid-19," BIS Working Papers, Bank for International Settlements, number 1014, May.
- Gapeev, Pavel V. & Kort, Peter M. & Lavrutich, Maria N. & Thijssen, Jacco J. J., 2022, "Optimal double stopping problems for maxima and minima of geometric Brownian motions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 114849, Jun.