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Report NEP-RMG-2022-09-19
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:
- Lee, David, 2022, "Pricing Cancellation Product," MPRA Paper, University Library of Munich, Germany, number 114147, Aug.
- Avik Das & Devanjali Nandi Das, 2022, "Understanding Volatility Spillover Relationship Among G7 Nations And India During Covid-19," Papers, arXiv.org, number 2208.09148, Aug.
- Emanuel Sommer & Karoline Bax & Claudia Czado, 2022, "Vine Copula based portfolio level conditional risk measure forecasting," Papers, arXiv.org, number 2208.09156, Aug, revised Feb 2023.
- Lyons, Paul & Rice, Jonathan, 2022, "Risk Weights on Irish Mortgages," Financial Stability Notes, Central Bank of Ireland, number 1/FS/22, Feb.
- Amine Ouazad, 2022, "Do Investors Hedge Against Green Swans? Option-Implied Risk Aversion to Wildfires," Papers, arXiv.org, number 2208.06930, Aug.
- Nicklas Werge, 2021, "Predicting Risk-adjusted Returns using an Asset Independent Regime-switching Model," Post-Print, HAL, number hal-03313129, DOI: 10.1016/j.eswa.2021.115576.
- Boyi Jin, 2022, "An intelligent algorithmic trading based on a risk-return reinforcement learning algorithm," Papers, arXiv.org, number 2208.10707, Aug, revised Aug 2022.
- Braga, Maria Debora & Nava, Consuelo R. & Zoia, Maria Grazia, 2022, "Kurtosis-Based Risk Parity: Methodology and Portfolio Effects," Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin, number 202208, Jul.
- Battulga Gankhuu, 2022, "Merton's Default Risk Model for Private Company," Papers, arXiv.org, number 2208.01974, Aug.
- Gapeev, Pavel V. & Jeanblanc, Monique, 2021, "First-to-default and second-to-default options in models with various information flows," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 110750, Aug.
- Yuyu Chen & Paul Embrechts & Ruodu Wang, 2022, "An unexpected stochastic dominance: Pareto distributions, dependence, and diversification," Papers, arXiv.org, number 2208.08471, Aug, revised Mar 2024.
- Karl Friedrich Siburg & Christopher Strothmann & Gregor Wei{ss}, 2022, "Comparing and quantifying tail dependence," Papers, arXiv.org, number 2208.10319, Aug.
- Hamed Taherdoost, 2021, "A Review on Risk Management in Information Systems: Risk Policy, Control and Fraud Detection," Post-Print, HAL, number hal-03741848, Dec, DOI: 10.3390/electronics10243065.
- Giacomo De Giorgi & Costanza Naguib, 2022, "Life after Default: Credit Hardship and its Effects," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp2206, Aug.
- Marie Michaelides & Mathieu Pigeon & H'el`ene Cossette, 2022, "Individual Claims Reserving using Activation Patterns," Papers, arXiv.org, number 2208.08430, Aug, revised Aug 2023.
- Maulana Harris Muhajir, 2022, "Macrofinancial determinants of default probability using copula: A case study of Indonesian banks," 2022 Stata Conference, Stata Users Group, number 10, Aug.
- Refk Selmi, 2022, "A war in a pandemic-The recent spike in economic uncertainty and the hedging abilities of Bitcoin," Post-Print, HAL, number hal-03737131.
- Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2022, "Beta-Sorted Portfolios," Papers, arXiv.org, number 2208.10974, Aug, revised Nov 2024.
- Jean-Marc Le Caillec, 2022, "Hypothesis Testing Fusion for Nonlinearity Detection in Hedge Fund Price Returns," Post-Print, HAL, number hal-03739132, DOI: 10.3390/a15080260.
- Carlos Alberto Piscarreta Pinto Ferreira, 2022, "Revisiting The Determinants Of Sovereign Bond Yield Volatility," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2022/0241, Jul.
- Angelopoulos, Anastasios N. & Bates, Stephen & Candes, Emmanuel J. & Jordan, Michael I. & Lei, Lihua, 2022, "Learn Then Test: Calibrating Predictive Algorithms to Achieve Risk Control," Research Papers, Stanford University, Graduate School of Business, number 4030, Apr.