Report NEP-RMG-2022-11-21

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:

• Jules Sadefo Kamdem & Danielle Selambi, 2022, "Cyber-Risk Forecasting using Machine Learning Models and Generalized Extreme Value Distributions," Working Papers, HAL, number hal-03814979, Oct.
• Gyöngyi Bugár & Máté Uzsoki, 2021, "Back-testing, risk estimation models: a simulation study for two-asset portfolios," UPFBE Working Paper Series, Faculty of Business and Economics, University Pécs, number 2021_2, Aug.
• Joshua V. Rosenberg, 2022, "Things That Have Never Happened Before Happen All the Time," Speech, Federal Reserve Bank of New York, number 94974, Oct.
• Martin Keller-Ressel, 2022, "W-shaped implied volatility curves in a variance-gamma mixture model," Papers, arXiv.org, number 2209.14726, Sep.
• Hillberry,Russell Henry & Karabay,Bilgehan & Tan,Shawn Weiming, 2020, "Risk Management in Border Inspection," Policy Research Working Paper Series, The World Bank, number 9438, Oct.
• Marek, Philipp & Stein, Ingrid, 2022, "Basel III and SME bank finance in Germany," Discussion Papers, Deutsche Bundesbank, number 37/2022.
• Alessandro Bondi & Sergio Pulido & Simone Scotti, 2022, "The rough Hawkes Heston stochastic volatility model," Papers, arXiv.org, number 2210.12393, Oct.
• Melchisedek Joslem Ngambou Djatche, 2021, "The Most Expected Things Often Come as a Surprise: Analysis of the Impact of Monetary Surprises on the Bank's Risk and Activity," Working Papers, HAL, number hal-03807034.
• International Monetary Fund, 2022, "Solomon Islands: Technical Assistance Report-Central Bank Risk Management," IMF Staff Country Reports, International Monetary Fund, number 2022/327, Oct.
• Wahyoe Soedarmono & Iman Gunadi & Fiskara Indawan & Carla Sheila Wulandari, 2021, "Exploring The Impact Of Loan Restructuring In Indonesian Banking," Working Papers, Bank Indonesia, number WP/06/2021.
• Fengler, Matthias & Polivka, Jeanine, 2022, "Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model," VfS Annual Conference 2022 (Basel): Big Data in Economics, Verein für Socialpolitik / German Economic Association, number 264010.
• Patrice Loisel & Marielle Brunette & Stéphane Couture, 2022, "Ambiguity, value of information and forest rotation decision under storm risk," Working Papers, HAL, number hal-03796414, Oct.
• Leonie Bräuer & Harald Hau, 2022, "Can Time-Varying Currency Risk Hedging Explain Exchange Rates?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-77, Oct.
• Daniele Costanzo & Radoslav Raykov, 2022, "Considerations for the allocation of non-default losses by financial market infrastructures," Staff Analytical Notes, Bank of Canada, number 2022-16, Nov, DOI: 10.34989/san-2022-16.
• Noe Rodriguez-Rodriguez & Octavio Miramontes, 2022, "Shannon entropy: an econophysical approach to cryptocurrency portfolios," Papers, arXiv.org, number 2210.02633, Oct.
• Bekirova, Olga & Zubarev, Andrey, 2022, "Эконометрический Анализ Факторов Банкротств Российских Компаний В Обрабатывающем Секторе
  [Econometric Analysis of Bankruptcy Factors for Russian Companies in the Manufacturing Industry]," MPRA Paper, University Library of Munich, Germany, number 114969, Jun.
• Antoine Parent & Pierre-Charles Pradier, 2022, "A la Recherche du Temps Perdu : Legal and Quantitative analysis of the First Documented Option Market - Paris 1844-1939," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03815575, Oct.
• Zikai Wei & Bo Dai & Dahua Lin, 2022, "Factor Investing with a Deep Multi-Factor Model," Papers, arXiv.org, number 2210.12462, Oct.
• Scarlett Tannous & Myriam Merad, 2022, "Have the risk policy shifts related to Seveso Upper Tier establishments in France led to an improvement in risk prevention? A focus on three risk prevention tools," Post-Print, HAL, number hal-03812138, Oct.
• Bao H. Nguyen & Bo Zhang, 2022, "Forecasting Oil Prices: Can Large BVARs Help?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2022-65, Oct.
• Refk Selmi & Shawkat Hammoudeh & Mark Wohar, 2022, "What drives most jumps in global crude oil prices? Fundamental shortage conditions, Cartel, geopolitics or the behavior of market financial participants," Post-Print, HAL, number hal-03793866, Aug.
• Efrem Castelnuovo & Lorenzo Mori, 2022, "Uncertainty, Skewness, and the Business Cycle Through the MIDAS Lens," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0291, Oct.
• Jean-Marc Bourgeon & José de Sousa & Alexis Noir-Luhalwe, 2022, "Social Distancing and Risk Taking: Evidence from a Team Game Show
  [Distanciation sociale et prise de risque : Les résultats d'un jeu d'équipe]," Working Papers, HAL, number hal-03792423, Oct.
• Item repec:hal:wpaper:hal-03797251 is not listed on IDEAS anymore

• Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2022, "American options in the Volterra Heston model," Post-Print, HAL, number hal-03178306, Apr, DOI: 10.1137/21M140674X.
• Clary Rodriguez-Cruz & Mehdi Molaei & Amruthesh Thirumalaiswamy & Klebert Feitosa & Vinothan N. Manoharan & Shankar Sivarajan & Daniel H. Reich & Robert A. Riggleman & John C. Crocker, 2022, "Experimental observations of fractal landscape dynamics in a dense emulsion," Papers, arXiv.org, number 2210.13667, Oct, revised Jul 2023.

Report NEP-RMG-2022-11-21

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: