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Report NEP-RMG-2022-11-14
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:
- Aadi Gupta & Priya Gulati & Siddhartha P. Chakrabarty, 2022, "Classification based credit risk analysis: The case of Lending Club," Papers, arXiv.org, number 2210.05136, Oct.
- Fernando Moreno-Pino & Stefan Zohren, 2022, "DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions," Papers, arXiv.org, number 2210.04797, Sep, revised Aug 2024.
- Arthur Seibold & Sebastian Seitz & Sebastian Siegloch, 2022, "Privatizing Disability Insurance," CESifo Working Paper Series, CESifo, number 9979.
- Herings, P.J.J. & Zhan, Yang, 2022, "Competitive Equilibria in Incomplete Markets with Risk Loving Preferences," Other publications TiSEM, Tilburg University, School of Economics and Management, number a8d79048-2351-4e73-97ce-9.
- Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022, "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers, arXiv.org, number 2210.02175, Oct.
- Fehrle, Daniel, 2022, "Hedging Against Inflation: Housing vs. Equity," VfS Annual Conference 2022 (Basel): Big Data in Economics, Verein für Socialpolitik / German Economic Association, number 264044.
- Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022, "Statistical inference for rough volatility: Minimax Theory," Papers, arXiv.org, number 2210.01214, Oct, revised Feb 2024.
- Petrovich, Beatrice & Carattini, Stefano & Wüstenhagen, Rolf, 2021, "The price of risk in residential solar investments," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 108405, Feb.
- Yan Dolinsky, 2022, "Duality Theory for Exponential Utility--Based Hedging in the Almgren--Chriss Model," Papers, arXiv.org, number 2210.03917, Oct, revised Jun 2023.
- Wenfeng He & Xiaoling Mei & Wei Zhong & Huanjun Zhu, 2022, "Multiperiod Dynamic Portfolio Choice: When High Dimensionality Meets Return Predictability," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2022-10-26, Oct.
- Darke, Matthew James, 2022, "How the risk of job automation in the UK has changed over time," Warwick-Monash Economics Student Papers, Warwick Monash Economics Student Papers, number 41.
- Filippo Ippolito & Alessandro Villa, 2022, "Levered Returns and Capital Structure Imbalances," Working Paper Series, Federal Reserve Bank of Chicago, number WP 2022-42, Jan, DOI: 10.21033/wp-2022-42.
- Alturki,Sultan Abdulaziz M & Hibbert,Ann Marie, 2021, "The Impact of Oil Shocks on Sovereign Default Risk," Policy Research Working Paper Series, The World Bank, number 9546, Feb.