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Report NEP-RMG-2022-09-26
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:
- Qiuqi Wang & Ruodu Wang & Johanna Ziegel, 2022, "E-backtesting," Papers, arXiv.org, number 2209.00991, Aug, revised Dec 2024.
- W. Scott Frame & Nika Lazaryan & Ping McLemore & Atanas Mihov, 2022, "Operational Loss Recoveries and the Macroeconomic Environment: Evidence from the U.S. Banking Sector," Working Papers, Federal Reserve Bank of Dallas, number 2215, Sep, DOI: 10.24149/wp2215.
- Zhanyi Jiao & Steven Kou & Yang Liu & Ruodu Wang, 2022, "An axiomatic theory for anonymized risk sharing," Papers, arXiv.org, number 2208.07533, Aug, revised May 2023.
- Jaydip Sen & Arpit Awad & Aaditya Raj & Gourav Ray & Pusparna Chakraborty & Sanket Das & Subhasmita Mishra, 2022, "Stock Performance Evaluation for Portfolio Design from Different Sectors of the Indian Stock Market," Papers, arXiv.org, number 2208.07166, Jul.
- Sérgio Leão & Rafael Schiozer & Raquel F. Oliveira & Gustavo Araujo, 2022, "Lending Relationships and Currency Hedging," Working Papers Series, Central Bank of Brazil, Research Department, number 565, Aug.
- Jos'e A. Salmer'on & Giulia Di Nunno & Bernardo D'Auria, 2022, "Before and after default: information and optimal portfolio via anticipating calculus," Papers, arXiv.org, number 2208.07163, Jul, revised May 2023.
- Mikl'os R'asonyi & Hasanjan Sayit, 2022, "Exponential utility maximization in small/large financial markets," Papers, arXiv.org, number 2208.06549, Aug, revised Jan 2025.
- Ricard Durall, 2022, "Asset Allocation: From Markowitz to Deep Reinforcement Learning," Papers, arXiv.org, number 2208.07158, Jul.
- Item repec:hal:wpaper:hal-03727161 is not listed on IDEAS anymore
- Danial Saef & Yuanrong Wang & Tomaso Aste, 2022, "Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing," Papers, arXiv.org, number 2208.12614, Aug, revised Sep 2022.
- Finer, David Andrew, 2022, "No Shock Waves through Wall Street? Market Responses to the Risk of Nuclear War," Working Papers, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State, number 318.
- Yao Luo & Hidenori Takahashi, 2022, "Bidding for Contracts under Uncertain Demand: Skewed Bidding and Risk Sharing," Working Papers, University of Toronto, Department of Economics, number tecipa-732, Sep.
- Jun Lu & Danny Ding, 2022, "A Hybrid Approach on Conditional GAN for Portfolio Analysis," Papers, arXiv.org, number 2208.07159, Jul.
- Ms. Susan E Betts, 2022, "Revenue Administration: Compliance Risk Management: Overarching Framework to Drive Revenue Performance," IMF Technical Notes and Manuals, International Monetary Fund, number 2022/005, Aug.
- Sojung Kim & Marcel Kleiber & Stefan Weber, 2022, "Microscopic Traffic Models, Accidents, and Insurance Losses," Papers, arXiv.org, number 2208.12530, Aug, revised Nov 2023.
- Nidhi Aggarwal & Manish K. Singh & Susan Thomas, 2022, "Do decreases in Distance-to-Default predict rating downgrades?," Working Papers, xKDR, number 14, Sep.
- Kang Gao & Perukrishnen Vytelingum & Stephen Weston & Wayne Luk & Ce Guo, 2022, "Understanding intra-day price formation process by agent-based financial market simulation: calibrating the extended chiarella model," Papers, arXiv.org, number 2208.14207, Aug.
- Mingyu Xu & Zuo Quan Xu & Xun Yu Zhou, 2022, "$g$-Expectation of Distributions," Papers, arXiv.org, number 2208.06535, Aug.
- Sung Hoon Choi & Donggyu Kim, 2022, "Large Volatility Matrix Analysis Using Global and National Factor Models," Papers, arXiv.org, number 2208.12323, Aug, revised Dec 2022.
- Lech A. Grzelak, 2022, "On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500," Papers, arXiv.org, number 2208.12518, Aug.
- Ferraz, Eduardo & Mantilla, César, 2022, "A trade-off from the future: How risk aversion may explain the demand for illiquid assets," Working papers, Red Investigadores de Economía, number 97, Sep.
- Shunta Akiyama & Mitsuaki Obara & Yasushi Kawase, 2022, "Optimal design of lottery with cumulative prospect theory," Papers, arXiv.org, number 2209.00822, Sep.
- Mathias Lindholm & Ronald Richman & Andreas Tsanakas & Mario V. Wuthrich, 2022, "A Discussion of Discrimination and Fairness in Insurance Pricing," Papers, arXiv.org, number 2209.00858, Sep.
- Henri Arno & Klaas Mulier & Joke Baeck & Thomas Demeester, 2022, "Next-Year Bankruptcy Prediction from Textual Data: Benchmark and Baselines," Papers, arXiv.org, number 2208.11334, Aug.