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. Stan Miles issued this report. It is usually issued weekly.

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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-03814979, HAL.
• Gyöngyi Bugár & Máté Uzsoki, 2021. "Back-testing, risk estimation models: a simulation study for two-asset portfolios," UPFBE Working Paper Series 2021_2, Faculty of Business and Economics, University Pécs.
• Joshua V. Rosenberg, 2022. "Things That Have Never Happened Before Happen All the Time," Speech 94974, Federal Reserve Bank of New York.
• Martin Keller-Ressel, 2022. "W-shaped implied volatility curves in a variance-gamma mixture model," Papers 2209.14726, arXiv.org.
• Hillberry,Russell Henry & Karabay,Bilgehan & Tan,Shawn Weiming, 2020. "Risk Management in Border Inspection," Policy Research Working Paper Series 9438, The World Bank.
• Marek, Philipp & Stein, Ingrid, 2022. "Basel III and SME bank finance in Germany," Discussion Papers 37/2022, Deutsche Bundesbank.
• Alessandro Bondi & Sergio Pulido & Simone Scotti, 2022. "The rough Hawkes Heston stochastic volatility model," Papers 2210.12393, arXiv.org.
• 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-03807034, HAL.
• International Monetary Fund, 2022. "Solomon Islands: Technical Assistance Report-Central Bank Risk Management," IMF Staff Country Reports 2022/327, International Monetary Fund.
• Wahyoe Soedarmono & Iman Gunadi & Fiskara Indawan & Carla Sheila Wulandari, 2021. "Exploring The Impact Of Loan Restructuring In Indonesian Banking," Working Papers WP/06/2021, Bank Indonesia.
• Fengler, Matthias & Polivka, Jeanine, 2022. "Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model," VfS Annual Conference 2022 (Basel): Big Data in Economics 264010, Verein für Socialpolitik / German Economic Association.
• Patrice Loisel & Marielle Brunette & Stéphane Couture, 2022. "Ambiguity, value of information and forest rotation decision under storm risk," Working Papers hal-03796414, HAL.
• Leonie Bräuer & Harald Hau, 2022. "Can Time-Varying Currency Risk Hedging Explain Exchange Rates?," Swiss Finance Institute Research Paper Series 22-77, Swiss Finance Institute.
• Daniele Costanzo & Radoslav Raykov, 2022. "Considerations for the allocation of non-default losses by financial market infrastructures," Staff Analytical Notes 2022-16, Bank of Canada.
• Noe Rodriguez-Rodriguez & Octavio Miramontes, 2022. "Shannon entropy: an econophysical approach to cryptocurrency portfolios," Papers 2210.02633, arXiv.org.
• 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 114969, University Library of Munich, Germany.
• 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) halshs-03815575, HAL.
• Zikai Wei & Bo Dai & Dahua Lin, 2022. "Factor Investing with a Deep Multi-Factor Model," Papers 2210.12462, arXiv.org.
• 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-03812138, HAL.
• Bao H. Nguyen & Bo Zhang, 2022. "Forecasting Oil Prices: Can Large BVARs Help?," CAMA Working Papers 2022-65, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• 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-03793866, HAL.
• Efrem Castelnuovo & Lorenzo Mori, 2022. "Uncertainty, Skewness, and the Business Cycle Through the MIDAS Lens," "Marco Fanno" Working Papers 0291, Dipartimento di Scienze Economiche "Marco Fanno".
• 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-03792423, HAL.
• Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2022. "Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents," Working Papers hal-03797251, HAL.
• Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2022. "American options in the Volterra Heston model," Post-Print hal-03178306, HAL.
• 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 2210.13667, arXiv.org, revised Jul 2023.