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Report NEP-RMG-2022-09-05
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:
- Osadchiy, Maksim, 2022, "One-factor model of liquidity risk," MPRA Paper, University Library of Munich, Germany, number 113869, Jul.
- Cosimo Pancaro & Christoffer Kok & Carola Müller & Steven Ongena, 2022, "The Disciplining Effect of Supervisory Scrutiny in the EU-Wide Stress Test," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-59, Aug.
- Elisa Al`os & Eulalia Nualart & Makar Pravosud, 2022, "On the implied volatility of Asian options under stochastic volatility models," Papers, arXiv.org, number 2208.01353, Aug, revised Mar 2024.
- Fukker, Gábor & Kaijser, Michiel & Mingarelli, Luca & Sydow, Matthias, 2022, "Contagion from market price impact: a price-at-risk perspective," Working Paper Series, European Central Bank, number 2692, Aug.
- Bougias, Alexandros & Episcopos, Athanasios & Leledakis, George N., 2022, "Valuation of European firms during the Russia-Ukraine war," MPRA Paper, University Library of Munich, Germany, number 113791, Jul.
- Marco Piña & Rodrigo Herrera, 2021, "Risk modeling with option-implied correlations and score-driven dynamics," Working Papers Central Bank of Chile, Central Bank of Chile, number 932, Nov.
- Item repec:chf:rpseri:rp2260 is not listed on IDEAS anymore
- Kyungsub Lee, 2022, "Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures," Papers, arXiv.org, number 2207.05939, Jul, revised Sep 2024.
- Jerry Anunrojwong & Krishnamurthy Iyer & David Lingenbrink, 2022, "Persuading Risk-Conscious Agents: A Geometric Approach," Papers, arXiv.org, number 2208.03758, Aug, revised Jul 2023.
- Alberto Manzano & Emanuele Nastasi & Andrea Pallavicini & Carlos V'azquez, 2022, "Pricing commodity index options," Papers, arXiv.org, number 2208.01289, Aug.
- Einmahl, John & He, Y., 2022, "Extreme Value Inference for General Heterogeneous Data," Other publications TiSEM, Tilburg University, School of Economics and Management, number fd8dd91c-086f-40e6-ac29-3.