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. Stan Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were announced in this report:

• Georgios I. Papayiannis, 2022. "Static Hedging of Freight Risk under Model Uncertainty," Papers 2207.00862, arXiv.org.
• Timo Dimitriadis & Yannick Hoga, 2022. "Dynamic CoVaR Modeling," Papers 2206.14275, arXiv.org, revised Feb 2024.
• Yichen Feng & Ming Min & Jean-Pierre Fouque, 2022. "Deep Learning for Systemic Risk Measures," Papers 2207.00739, arXiv.org.
• Anthony Coache & Sebastian Jaimungal & 'Alvaro Cartea, 2022. "Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning," Papers 2206.14666, arXiv.org, revised May 2023.
• Weronika Ormaniec & Marcin Pitera & Sajad Safarveisi & Thorsten Schmidt, 2022. "Estimating value at risk: LSTM vs. GARCH," Papers 2207.10539, arXiv.org.
• Chase Englund & Carlos Sosa, 2022. "An Approach to Quantifying Operational Resilience Concepts," FEDS Notes 2022-07-01-2, Board of Governors of the Federal Reserve System (U.S.).
• Sebastian Jaimungal & Silvana M. Pesenti & Leandro S'anchez-Betancourt, 2022. "Minimal Kullback-Leibler Divergence for Constrained L\'evy-It\^o Processes," Papers 2206.14844, arXiv.org, 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 2206.11344, arXiv.org.
• Elisa Al`os & Frido Rolloos & Kenichiro Shiraya, 2022. "Forward start volatility swaps in rough volatility models," Papers 2207.10370, arXiv.org.
• Barham, Jim, 2021. "COVID-19 Risk Portfolio Dashboard," Agricultural Outlook Forum 2021 321010, United States Department of Agriculture, Agricultural Outlook Forum.
• Ryan, Ellen, 2022. "Are fund managers rewarded for taking cyclical risks?," ESRB Working Paper Series 134, European Systemic Risk Board.
• Jędrzej Białkowski & Martin T. Bohl & Devmali Perera, 2022. "Commodity Futures Hedge Ratios: A Meta-Analysis," Working Papers in Economics 22/12, University of Canterbury, Department of Economics and Finance.
• 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 35411, Universidad Carlos III de Madrid. Departamento de Estadística.
• Xiqian Cai & Lata Gangadharan & Yi Lu & Xiaojian Zhao, 2022. "Does a sea fishing legacy explain differences in risk attitudes?," Monash Economics Working Papers 2022-17, Monash University, Department of Economics.
• Maddalena Galardo & Valerio Vacca, 2022. "Higher capital requirements and credit supply: evidence from Italy," Temi di discussione (Economic working papers) 1372, Bank of Italy, Economic Research and International Relations Area.
• Konietschke, Paul & Ongena, Steven & Ponte Marques, Aurea, 2022. "Stress tests and capital requirement disclosures: do they impact banks’ lending and risk-taking decisions?," Working Paper Series 2679, European Central Bank.
• Jan Sun, 2022. "The Role of Marital Status for the Evaluation of Bankruptcy Regimes," CRC TR 224 Discussion Paper Series crctr224_2022_361, University of Bonn and University of Mannheim, Germany.
• 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 2206.06201, arXiv.org.