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Report NEP-RMG-2022-08-15
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:
- Georgios I. Papayiannis, 2022, "Static Hedging of Freight Rate Risk in the Shipping Market under Model Uncertainty," Papers, arXiv.org, number 2207.00862, Jul, revised Apr 2025.
- Timo Dimitriadis & Yannick Hoga, 2022, "Dynamic CoVaR Modeling and Estimation," Papers, arXiv.org, number 2206.14275, Jun, revised Jan 2025.
- Yichen Feng & Ming Min & Jean-Pierre Fouque, 2022, "Deep Learning for Systemic Risk Measures," Papers, arXiv.org, number 2207.00739, Jul.
- Anthony Coache & Sebastian Jaimungal & 'Alvaro Cartea, 2022, "Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning," Papers, arXiv.org, number 2206.14666, Jun, revised May 2023.
- Weronika Ormaniec & Marcin Pitera & Sajad Safarveisi & Thorsten Schmidt, 2022, "Estimating value at risk: LSTM vs. GARCH," Papers, arXiv.org, number 2207.10539, Jul.
- Chase Englund & Carlos Sosa, 2022, "An Approach to Quantifying Operational Resilience Concepts," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2022-07-01-2, Jul, DOI: 10.17016/2380-7172.3127.
- Sebastian Jaimungal & Silvana M. Pesenti & Leandro S'anchez-Betancourt, 2022, "Minimal Kullback-Leibler Divergence for Constrained L\'evy-It\^o Processes," Papers, arXiv.org, number 2206.14844, Jun, revised Aug 2022.
- J. du Pisanie & J. S. Allison & I. J. H. Visagie, 2022, "A proposed simulation technique for population stability testing in credit risk scorecards," Papers, arXiv.org, number 2206.11344, Jun.
- Elisa Al`os & Frido Rolloos & Kenichiro Shiraya, 2022, "Forward start volatility swaps in rough volatility models," Papers, arXiv.org, number 2207.10370, Jul.
- Barham, Jim, 2021, "COVID-19 Risk Portfolio Dashboard," Agricultural Outlook Forum 2021, United States Department of Agriculture, Agricultural Outlook Forum, number 321010, Feb, DOI: 10.22004/ag.econ.321010.
- Ryan, Ellen, 2022, "Are fund managers rewarded for taking cyclical risks?," ESRB Working Paper Series, European Systemic Risk Board, number 134, Jul.
- Jędrzej Białkowski & Martin T. Bohl & Devmali Perera, 2022, "Commodity Futures Hedge Ratios: A Meta-Analysis," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 22/12, Jul.
- Item repec:hal:wpaper:hal-03715954 is not listed on IDEAS anymore
- Salmerón Garrido, José Antonio & Nunno, Giulia Di & D'Auria, Bernardo, 2022, "Before and after default: information and optimal portfolio via anticipating calculus," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 35411, Jul.
- Xiqian Cai & Lata Gangadharan & Yi Lu & Xiaojian Zhao, 2022, "Does a sea fishing legacy explain differences in risk attitudes?," Monash Economics Working Papers, Monash University, Department of Economics, number 2022-17, Jul.
- Maddalena Galardo & Valerio Vacca, 2022, "Higher capital requirements and credit supply: evidence from Italy," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1372, Jun.
- Item repec:ecb:ecbwps:20222679 is not listed on IDEAS anymore
- Jan Sun, 2022, "The Role of Marital Status for the Evaluation of Bankruptcy Regimes," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2022_361, Jul.
- Jackie Grant & Mark Hindmarsh & Sergey E. Koposov, 2022, "The distribution of loss to future USS pensions due to the UUK cuts of April 2022," Papers, arXiv.org, number 2206.06201, Jun.