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Report NEP-RMG-2022-10-03
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:
- Zhiyi Shen, 2022, "Out-of-Model Adjustments of Variable Annuities," Papers, arXiv.org, number 2208.12838, Aug.
- Roger J. A. Laeven & Emanuela Rosazza Gianin, 2022, "Quasi-Logconvex Measures of Risk," Papers, arXiv.org, number 2208.07694, Jul.
- Jozef Barunik & Matej Nevrla, 2022, "Beyond Volatility: Common Factors in Idiosyncratic Quantile Risks," Papers, arXiv.org, number 2208.14267, Aug, revised Aug 2025.
- Guangyan Jia & Mengjin Zhao, 2022, "On the Correspondence and the Risk Contribution for Conditional Coherent and Deviation Risk Measures," Papers, arXiv.org, number 2208.13336, Aug, revised Feb 2023.
- Felix Polyakov, 2022, "Biology-inspired geometric representation of probability and applications to completion and options' pricing," Papers, arXiv.org, number 2209.04264, Sep.
- Leonardo de Assis Santos & Leonardo Marques, 2022, "Big data analytics for supply chain risk management: research opportunities at process crossroads," Post-Print, HAL, number hal-03766121, DOI: 10.1108/BPMJ-01-2022-0012.
- Suen, Richard M. H., 2022, "Precautionary Saving Behaviour under Ambiguity," MPRA Paper, University Library of Munich, Germany, number 114382, Aug.
- Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto, 2022, "The systemic risk of US oil and natural gas companies," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2022-11, Jul.
- Marcos Escobar-Anel & Yevhen Havrylenko & Rudi Zagst, 2022, "Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model," Papers, arXiv.org, number 2208.14152, Aug, revised Jul 2024.
- Camilo Eduardo Sánchez-Quinto, 2022, "SRISK: una medida de riesgo sistémico para la banca colombiana 2005-2021," Borradores de Economia, Banco de la Republica de Colombia, number 1207, Sep, DOI: 10.32468/be.1207.
- Anand, Vaibhav, 2022, "The Value of Forecast Improvements: Evidence from Advisory Lead Times and Vehicle Crashes," MPRA Paper, University Library of Munich, Germany, number 114491, Sep.
- Aur'elien Alfonsi & Bernard Lapeyre & J'er^ome Lelong, 2022, "How many inner simulations to compute conditional expectations with least-square Monte Carlo?," Papers, arXiv.org, number 2209.04153, Sep, revised May 2023.
- Alessi, Lucia & Di Girolamo, Francesca Erica & Pagano, Andrea & Petracco Giudici, Marco, 2022, "Accounting for climate transition risk in banks' capital requirements," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2022-08, Jun.
- Thomas M. Eisenbach & Gregory Phelan, 2022, "How Can Safe Asset Markets Be Fragile?," Liberty Street Economics, Federal Reserve Bank of New York, number 20220908, Sep.
- Shah, Anand & Bahri, Anu, 2022, "Metanomics: Adaptive market and volatility behaviour in Metaverse," MPRA Paper, University Library of Munich, Germany, number 114442, Sep.
- Jonathan Berrisch & Sven Pappert & Florian Ziel & Antonia Arsova, 2022, "Modeling Volatility and Dependence of European Carbon and Energy Prices," Papers, arXiv.org, number 2208.14311, Aug, revised Feb 2023.
- Emanuel Kohlscheen, 2022, "Quantifying the Role of Interest Rates, the Dollar and Covid in Oil Prices," Papers, arXiv.org, number 2208.14254, Aug, revised Oct 2022.
- Yeorim Kim & Mauro Mastrogiacomo & Stefan Hochguertel & Hans Bloemen, 2022, "Till debt do us part: strategic divorces and a test of moral hazard," Working Papers, DNB, number 749, Aug.
- Kazuya Suzuki & Kana Sasamoto, 2022, "Quantitative Analysis of Haircuts: Evidence from the Japanese Repo and Securities Lending Markets," Bank of Japan Working Paper Series, Bank of Japan, number 22-E-13, Aug.