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Report NEP-RMG-2022-10-31
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:
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022, "Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment," Working Papers, University of Pretoria, Department of Economics, number 202247, Oct.
- Spark C. Tseung & Ian Weng Chan & Tsz Chai Fung & Andrei L. Badescu & X. Sheldon Lin, 2022, "A Posteriori Risk Classification and Ratemaking with Random Effects in the Mixture-of-Experts Model," Papers, arXiv.org, number 2209.15212, Sep.
- World Bank, 2021, "Understanding the Needs of Civil Protection Agencies and Opportunities for Scaling up Disaster Risk Management Investments," World Bank Publications - Reports, The World Bank Group, number 36292.
- World Bank, 2020, "The Philippines Parametric Catastrophe Risk Insurance Program Pilot," World Bank Publications - Reports, The World Bank Group, number 36013, Dec.
- Desogus, Marco & Conversano, Claudio & Pili, Ambrogio & Venturi, Beatrice, 2022, "Fractal analysis of Dow Jones Industrial Index returns," MPRA Paper, University Library of Munich, Germany, number 114923.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022, "Climate Risks and State-Level Stock-Market Realized Volatility," Working Papers, University of Pretoria, Department of Economics, number 202246, Sep.
- Jaydip Sen & Abhishek Dutta, 2022, "A Comparative Study of Hierarchical Risk Parity Portfolio and Eigen Portfolio on the NIFTY 50 Stocks," Papers, arXiv.org, number 2210.00984, Oct.
- Tachfine El Alami & Laurent Devineau & Stéphane Loisel, 2022, "Risk adjustment under IFRS 17: An adaptation of Solvency 2 one-year aggregation into an ultimate view framework," Working Papers, HAL, number hal-03762799, Aug.
- Brian P. Hanley & Steve Keen, 2022, "The Sign of Risk for Present Value of Future Losses," Papers, arXiv.org, number 2209.06654, Aug.
- Mbaye, Cheikh & Sagna, Abass & Vrins, Frédéric, 2022, "A general firm value model under partial information," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2022009, Jul.
- T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022, "Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments," Papers, arXiv.org, number 2209.12222, Sep, revised Jun 2024.
- Lassance, Nathan & Vanderveken, Rodolphe & Vrins, Frédéric, 2022, "On the optimal combination of naive and mean-variance portfolio strategies," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2022006, Jul.
- Ali Ayoub & Didier Sornette, 2022, "Comprehensive empirical assessment of nuclear power risks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-69, Sep.
- World Bank, 2021, "Financial Risk and Opportunities to Build Resilience in Europe," World Bank Publications - Reports, The World Bank Group, number 35685.
- Francesca Biagini & Lukas Gonon & Andrea Mazzon & Thilo Meyer-Brandis, 2022, "Detecting asset price bubbles using deep learning," Papers, arXiv.org, number 2210.01726, Oct, revised Jun 2024.
- Deb Narayan Barik & Siddhartha P. Chakrabarty, 2022, "Does limited liability reduce leveraged risk?: The case of loan portfolio management," Papers, arXiv.org, number 2209.12636, Sep.
- Alessandro Doldi & Marco Maggis, 2022, "On Conditional Chisini Means and Risk Measures," Papers, arXiv.org, number 2209.10871, Sep.
- Matthieu Stigler & Apratim Dey & Andrew Hobbs & David Lobell, 2022, "With big data come big problems: pitfalls in measuring basis risk for crop index insurance," Papers, arXiv.org, number 2209.14611, Sep.
- Paul Bilokon & Sergei Kucherenko & Casey Williams, 2022, "Quasi-Monte Carlo methods for calculating derivatives sensitivities on the GPU," Papers, arXiv.org, number 2209.11337, Sep.
- Marta Gómez-Puig & Mary Pieterse-Bloem & Simón Sosvilla-Rivero, 2022, ""Dynamic connectedness between credit and liquidity risks in EMU sovereign debt markets"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202217, Oct, revised Oct 2022.
- Ariel Neufeld & Philipp Schmocker, 2022, "Chaotic Hedging with Iterated Integrals and Neural Networks," Papers, arXiv.org, number 2209.10166, Sep, revised Jan 2026.
- Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021, "Sovereign Risk and Financial Risk," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2021-27, Nov, DOI: 10.29338/wp2021-27.