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Report NEP-RMG-2022-07-25
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:
- Jean-Paul Laurent & Hassan Omidi Firouzi, 2022, "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers, HAL, number hal-03679434, May.
- Bevilacqua, Mattia & Tunaru, Radu, 2021, "The SKEW index: extracting what has been left," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 108198, Apr.
- Giovanni Covi & James Brookes & Charumathi Raja, 2022, "Measuring Capital at Risk in the UK banking sector: a microstructural network approach," Bank of England working papers, Bank of England, number 983, May.
- Gadat, Sébastien & Costa, Manon & Huang, Lorick, 2022, "CV@R penalized portfolio optimization with biased stochastic mirror descent," TSE Working Papers, Toulouse School of Economics (TSE), number 22-1342, Jun, revised Nov 2023.
- Item repec:hal:wpaper:hal-03675886 is not listed on IDEAS anymore
- Item repec:hal:wpaper:hal-03675291 is not listed on IDEAS anymore
- Ralph S. J. Koijen & Hae Kang Lee & Stijn Van Nieuwerburgh, 2022, "Aggregate Lapsation Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 30187, Jun.
- Maurizio Trapanese, 2022, "Regulatory complexity, uncertainty, and systemic risk: are regulators hedgehogs or foxes?," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 697, Jun.
- Andrei N. Soklakov, 2022, "Information Geometry of Risks and Returns," Papers, arXiv.org, number 2206.08753, Jun, revised Jun 2023.
- Kuvshinov, Dmitry & Richter, Björn & Zimmermann, Kaspar, 2022, "The shifts and the shocks: bank risk, leverage, and the macroeconomy," Working Paper Series, European Central Bank, number 2672, Jun.
- Rossetto, Silvia & Selmane, Nassima & Staglianò, Raffaele, 2022, "Ownership concentration and firm risk: The moderating role of mid-sized blockholders," TSE Working Papers, Toulouse School of Economics (TSE), number 22-1346, Jul.
- Thomas M. Eisenbach & Anna Kovner & Michael Junho Lee, 2022, "When It Rains, It Pours: Cyber Risk and Financial Conditions," Staff Reports, Federal Reserve Bank of New York, number 1022, Jun.
- di Iasio, Giovanni & Alogoskoufis, Spyridon & Kördel, Simon & Kryczka, Dominika & Nicoletti, Giulio & Vause, Nicholas, 2022, "A model of system-wide stress simulation: market-based finance and the Covid-19 event," Working Paper Series, European Central Bank, number 2671, Jun.
- Dertwinkel-Kalt, Markus & Kasinger, Johannes & Schneider, Dmitrij, 2022, "Skewness preferences: Evidence from online poker," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 351.
- Kim Oosterlinck & Ariane Reyns & Ariane Szafarz, 2022, "Gold, Bitcoin, and Portfolio Diversification: Lessons from the Ukrainian War," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 22-008, Jun.
- R. Vilela Mendes, 2022, "The fractional volatility model and rough volatility," Papers, arXiv.org, number 2206.02205, Jun.
- Michael T. Kiley, 2022, "Financial and Macroeconomic Indicators of Recession Risk," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2022-06-21-1, Jun, DOI: 10.17016/2380-7172.3126.