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Report NEP-RMG-2022-08-22
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:
- Giuseppe Storti & Chao Wang, 2022, "A semi-parametric dynamic conditional correlation framework for risk forecasting," Papers, arXiv.org, number 2207.04595, Jul, revised Dec 2024.
- Rodrigo Alfaro & Alejandra Inzunza, 2022, "Modeling S&P500 returns with GARCH models," Working Papers Central Bank of Chile, Central Bank of Chile, number 955, May.
- Eric Djeutcha & Jules Sadefo Kamdem, 2022, "Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model," Post-Print, HAL, number hal-03675886, Jun, DOI: 10.1007/s10479-022-04808-y.
- Mohamed Belkhir & Sami Ben Naceur & Bertrand Candelon & Jean-Charles Wijnandts, 2022, "Macroprudential Regulation and Sector-Specific Default Risk," IMF Working Papers, International Monetary Fund, number 2022/141, Jul.
- J. Cerda-Hernandez & A. Sikov & A. Ramos, 2022, "An optimal investment strategy aimed at maximizing the expected utility across all intermediate capital levels," Papers, arXiv.org, number 2207.02947, Jul, revised Jun 2024.
- Enrico Dall'Acqua & Riccardo Longoni & Andrea Pallavicini, 2022, "Rough-Heston Local-Volatility Model," Papers, arXiv.org, number 2206.09220, Jun.
- Hans Buehler & Phillip Murray & Ben Wood, 2022, "Deep Bellman Hedging," Papers, arXiv.org, number 2207.00932, Jul, revised Jun 2024.
- Martin Iseringhausen & Ivan Petrella & Konstantinos Theodoridis, 2022, "Aggregate skewness and the business cycle," Working Papers, European Stability Mechanism, number 53, Jul.
- Pascal Flurin Meier & Raphael Flepp & David Oesch, 2024, "May Bad Luck Be Without You: The Effect of CEO Luck on Strategic Risk-taking," Working Papers, University of Zurich, Department of Business Administration (IBW), number 393, May.
- Savvas Antoniou & Ioanna Evangelou & Theodosis Kallenos & Nektarios A. Michail, 2022, "Estimating the Mortgage Default Probability in Cyprus: Evidence using micro data," Working Papers, Central Bank of Cyprus, number 2022-1, Jun.
- Mathias Lindholm & Ronald Richman & Andreas Tsanakas & Mario V. Wuthrich, 2022, "A multi-task network approach for calculating discrimination-free insurance prices," Papers, arXiv.org, number 2207.02799, Jul.
- Menna Hassan & Nourhan Sakr & Arthur Charpentier, 2022, "Government Intervention in Catastrophe Insurance Markets: A Reinforcement Learning Approach," Papers, arXiv.org, number 2207.01010, Jul.