Report NEP-RMG-2022-09-12

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:

• O'Brien, Martin & Wosser, Michael, 2022, "Assessing Structure-Related Systemic Risk in Advanced Economies," Research Technical Papers, Central Bank of Ireland, number 3/RT/22, Jun.
• Lyons, Paul & Rice, Jonathan, 2022, "Risk Weights on Non-Financial Corporate Lending by Irish Retail Banks," Financial Stability Notes, Central Bank of Ireland, number 4/FS/22, Jun.
• McInerney, Niall & O'Brien, Martin & Wosser, Michael & Zavalloni, Luca, 2022, "Rightsizing Bank Capital for Small, Open Economies," Research Technical Papers, Central Bank of Ireland, number 4/RT/22, Jun.
• Herbertsson, Alexander, 2022, "Saddlepoint approximations for credit portfolios with stochastic recoveries," Working Papers in Economics, University of Gothenburg, Department of Economics, number 823, Aug.
• Phillip Murray & Ben Wood & Hans Buehler & Magnus Wiese & Mikko S. Pakkanen, 2022, "Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions," Papers, arXiv.org, number 2207.07467, Jul.
• Bochmann, Paul & Hiebert, Paul & Schüler, Yves S. & Segoviano, Miguel, 2022, "Latent fragility: conditioning banks’ joint probability of default on the financial cycle," Working Paper Series, European Central Bank, number 2698, Aug.
• Tom Beernaert & Nicolas Soenen & Rudi Vander Vennet, 2022, "ECB Monetary Policy and the Term Structure of Bank Default Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 22/1050, Aug.
• Lorenzo Dal Maso & Kiridaran Kanagaretnam & Gerald Lobo & Francesco Mazzi, 2022, "Does Disaster Risk Relate to Banks’ Loan Loss Provision Estimates?," Working Papers - Business, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2022_05.rdf.
• Schneorson, Oren, 2022, "Interbank credit exposures and financial stability," ESRB Working Paper Series, European Systemic Risk Board, number 136, Aug.
• Lucio Fiorin, 2022, "Estimation of Historical volatility and Allocation strategies using Variance Swaps," Papers, arXiv.org, number 2208.03164, Aug.
• Martin Keller-Ressel, 2022, "Bartlett's Delta revisited: Variance-optimal hedging in the lognormal SABR and in the rough Bergomi model," Papers, arXiv.org, number 2207.13573, Jul.
• Giorgio Meucci & Francesca Rinaldi, 2022, "Bank exposure to climate-related physical risk In Italy: an assessment based on AnaCredit data on loans to non-financial corporations," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 706, Jul.
• Indrajit Saha & Veeraruna Kavitha, 2022, "Systemic-risk and evolutionary stable strategies in a financial network," Papers, arXiv.org, number 2207.07574, Jun, revised Dec 2022.
• Carlos Montes-Galdón & Eva Ortega, 2022, "Skewed SVARs: tracking the structural sources of macroeconomic tail risks," Working Papers, Banco de España, number 2208, Mar.
• Saida Amansou & Hajar Benjana, 2021, "Proposal for a 6C model of maturity of integrated risk management in the service sector
  [Proposition d'un modèle des 6C de maturité de la gestion intégrée des risques dans le secteur des services]," Post-Print, HAL, number hal-03690144, DOI: 10.5281/zenodo.5821634.
• Jan Sila & Michael Mark & Ladislav Kristoufek, 2022, "On Empirical Challenges in Forecasting Market Betas in Crypto Markets," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2022/19, Aug, revised Aug 2022.
• Durrani, Agha & Ongena, Steven & Ponte Marques, Aurea, 2022, "The certification role of the EU-wide stress testing exercises in the stock market. What can we learn from the stress tests (2014-2021)?," Working Paper Series, European Central Bank, number 2711, Aug.
• Xi-Ning Zhuang & Zhao-Yun Chen & Cheng Xue & Yu-Chun Wu & Guo-Ping Guo, 2022, "Quantum Encoding and Analysis on Continuous Time Stochastic Process with Financial Applications," Papers, arXiv.org, number 2208.02364, Aug, revised Sep 2023.
• Paymon Khorrami & Fernando Mendo, 2021, "Rational Sentiments and Financial Frictions," Working Papers Central Bank of Chile, Central Bank of Chile, number 928, Oct.
• Petr Jakubik & Saida Teleu, 2022, "Do EU-Wide Stress Tests Affect Insurers´ Dividend Policies?," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2022/17, Aug, revised Aug 2022.
• Oosthuizen, Dick & Zalla, Ryan, 2022, "Funding deposit insurance," Working Paper Series, European Central Bank, number 2704, Aug.
• Laurent Lesage & Madalina Deaconu & Antoine Lejay & Jorge Augusto Meira & Geoffrey Nichil & Radu State, 2022, "Hawkes processes framework with a Gamma density as excitation function: application to natural disasters for insurance," Post-Print, HAL, number hal-03040090, Mar, DOI: 10.1007/s11009-022-09938-1.
• Arthur Seibold & Sebastian Seitz & Sebastian Siegloch, 2022, "Privatizing Disability Insurance," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 190, Aug.
• van Breemen, Vivian M. & Fabozzi, Frank J. & Vink, Dennis, 2022, "Intensified competition and the impact on credit ratings in the RMBS market," Working Paper Series, European Central Bank, number 2691, Jul.
• Caio Almeida & Jianqing Fan & Gustavo Freire & Francesca Tang, 2022, "Can a Machine Correct Option Pricing Models?," Working Papers, Princeton University. Economics Department., number 2022-9, Jul.
• Bletzinger, Tilman & Greif, William & Schwaab, Bernd, 2022, "Can EU bonds serve as euro-denominated safe assets?," Working Paper Series, European Central Bank, number 2712, Aug.
• Bigerna, Simona & D'Errico, Maria Chiara & Polinori, Paolo & Simshauer, Paul, 2022, "Renewable energy and portfolio volatility spillover effects of GCC oil exporting countries," MPRA Paper, University Library of Munich, Germany, number 114164, Aug.
• Jaccard, Ivan, 2022, "The trade-off between public health and the economy in the early stage of the COVID-19 pandemic," Working Paper Series, European Central Bank, number 2690, Jul.
• Oliver Gürtler & Lennart Struth & Max Thon, 2022, "Competition and Risk-Taking," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 181, Aug.
• O'Brien, Martin & Staunton, David & Wosser, Michael, 2022, "Recurrent property taxes and house price risks," Economic Letters, Central Bank of Ireland, number 4/EL/22, Jul.
• Will Wolf & Aaron Henry & Hamza Al Fadel & Xavier Quintuna & Julian Gay, 2022, "Scoring Aave Accounts for Creditworthiness," Papers, arXiv.org, number 2207.07008, Jul.
• Schaak, Henning & Rommel, Jens & Sagebiel, Julian & Barreiro-Hurlé, Jesus & Bougherara, Douadia & Cemablo, Luigi & Cerjak, Marija & Čop, Tajana & Czajkowski, Mikołaj & Espinosa-Goded, María & Höhle, J, 2022, "How well can experts predict farmers’ risk preferences?," 2022 Annual Meeting, July 31-August 2, Anaheim, California, Agricultural and Applied Economics Association, number 322194, Aug, DOI: 10.22004/ag.econ.322194.
• Lee, David, 2022, "Generic Price Model for Commodity Derivatives," MPRA Paper, University Library of Munich, Germany, number 114283, Aug.
• Martin Harding & Rafael Wouters, 2022, "Risk and State-Dependent Financial Frictions," Staff Working Papers, Bank of Canada, number 22-37, Aug, DOI: 10.34989/swp-2022-37.

Report NEP-RMG-2022-09-12

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: