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Report NEP-RMG-2022-11-07
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:
- Xenxo Vidal-Llana & Carlos Salort Sánchez & Vincenzo Coia & Montserrat Guillen, 2022, ""Non-Crossing Dual Neural Network: Joint Value at Risk and Conditional Tail Expectation estimations with non-crossing conditions"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202215, Oct, revised Oct 2022.
- Weihuan Huang & Nifei Lin & L. Jeff Hong, 2022, "Monte-Carlo Estimation of CoVaR," Papers, arXiv.org, number 2210.06148, Oct.
- Devang Sinha & Siddhartha P. Chakrabarty, 2022, "Multilevel Monte Carlo and its Applications in Financial Engineering," Papers, arXiv.org, number 2209.14549, Sep.
- Huneeus,Federico & Kaboski,Joseph P. & Larrain,Mauricio & Schmukler,Sergio L. & Vera,Mario, 2022, "The Distribution of Crisis Credit : Effects on Firm Indebtedness and Aggregate Risk," Policy Research Working Paper Series, The World Bank, number 9937, Feb.
- Hu, Shuang & Peng, Zuoxiang & Segers, Johan, 2022, "Modelling multivariate extreme value distributions via Markov trees," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022021, Aug.
- Ketelbuters, John-John & Hainaut, Donatien, 2022, "A recursive method for computing moments of Hawkes intensities: application to the potential approach of credit risk," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022026, Aug.
- Giulia Di Nunno & Anton Yurchenko-Tytarenko, 2022, "Sandwiched Volterra Volatility model: Markovian approximations and hedging," Papers, arXiv.org, number 2209.13054, Sep, revised Jul 2024.
- Denuit, Michel & Robert, Christian Y., 2022, "Allocation of benefits in mutual aid and survivor funds," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022029, Sep.
- Nassim Nicholas Taleb & Jeffrey West, 2022, "Working With Convex Responses: Antifragility From Finance to Oncology," Papers, arXiv.org, number 2209.14631, Sep, revised Jan 2023.
- Seibold, Arthur & Seitz, Sebastian & Siegloch, Sebastian, 2022, "Privatizing Disability Insurance," IZA Discussion Papers, IZA Network @ LISER, number 15579, Sep.
- Fengler, Matthias & Polivka, Jeannine, 2022, "Structural Volatility Impulse Response Analysis," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 2211, Oct, revised Nov 2022.
- Fornari, Fabio & Zaghini, Andrea, 2022, "It’s not time to make a change: sovereign fragility and the corporate credit risk," Working Paper Series, European Central Bank, number 2740, Oct.
- Herrera Dappe,Matias & Musacchio,Aldo & Pan,Carolina & Semikolenova,Yadviga Viktorivna & Turkgulu,Burak & Barboza,Jonathan, 2022, "Smoke and Mirrors : Infrastructure State-Owned Enterprises and Fiscal Risks," Policy Research Working Paper Series, The World Bank, number 9970, Mar.
- Dafermos, Yannis & van Lerven, Frank & Nikolaidi, Maria, 2022, "Greening capital requirements," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 116946, Oct.
- Ananda Chatterjee & Hrisav Bhowmick & Jaydip Sen, 2022, "Stock Volatility Prediction using Time Series and Deep Learning Approach," Papers, arXiv.org, number 2210.02126, Oct.
- Michael Adam, 2022, "Potential Applications of Quantum Computing for the Insurance Industry," Papers, arXiv.org, number 2210.06172, Oct.
- Feyen,Erik H.B. & Mare,Davide Salvatore, 2021, "Measuring Systemic Banking Resilience : A Simple Reverse Stress Testing Approach," Policy Research Working Paper Series, The World Bank, number 9864, Nov.
- A. N. M. Sajedul Alam & Junaid Bin Kibria & Arnob Kumar Dey & Zawad Alam & Shifat Zaman & Motahar Mahtab & Mohammed Julfikar Ali Mahbub & Annajiat Alim Rasel, 2022, "A Survey: Credit Sentiment Score Prediction," Papers, arXiv.org, number 2209.15293, Sep.