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Report NEP-RMG-2022-12-05
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:
- Samir Saissi Hassani & Georges Dionne, 2022, "Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 22-3, Jul.
- Said Khalil, 2022, "Expectile-based capital allocation," Working Papers, HAL, number hal-03816525, Oct.
- Bekirova, Olga & Zubarev, Andrey, 2022, "Факторы Риска, Прибыльности И Вероятности Дефолта В Российском Банковском Секторе
[Determinants of risk, profitability and probability of default for Russian banking sector]," MPRA Paper, University Library of Munich, Germany, number 115164, Oct. - Mario Cerrato & Paolo Coccorese & Xuan Zhang, 2022, "Default Risk and the Cross-Section of UK Insurance Firms’ Returns," Working Papers, Business School - Economics, University of Glasgow, number 2022_07, Jun.
- Ruochen Xiao & Qiaochu Feng & Ruxin Deng, 2022, "Inflexible Multi-Asset Hedging of incomplete market," Papers, arXiv.org, number 2211.00948, Nov, revised May 2023.
- Georges Dionne & Rayane El Hraiki & Mohamed Mnasri, 2022, "Determinants and real effects of joint hedging: An empirical analysis of the US petroleum industry," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 22-4, Aug.
- Spiros Bougheas & Adam Hal Spencer, 2022, "Fire sales and ex ante valuation of systemic risk: A financial equilibrium networks approach," Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM), number 2022/04.
- Michael Holscher & David Ignell & Morgan Lewis & Kevin J. Stiroh, 2022, "Climate Change and the Role of Regulatory Capital: A Stylized Framework for Policy Assessment," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2022-068, Oct, DOI: 10.17016/FEDS.2022.068.
- Yunran Wei & Ricardas Zitikis, 2022, "Assessing the difference between integrated quantiles and integrated cumulative distribution functions," Papers, arXiv.org, number 2210.16880, Oct, revised Apr 2023.
- Tzougas, George & Makariou, Despoina, 2022, "The multivariate Poisson-Generalized Inverse Gaussian claim count regression model with varying dispersion and shape parameters," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 117197, Dec.
- Hauptmeier, Sebastian & Holm-Hadulla, Fédéric & Renault, Théodore, 2022, "Risk sharing and monetary policy transmission," Working Paper Series, European Central Bank, number 2746, Nov.
- Ricardo Crisostomo, 2022, "Measuring Transition Risk in Investment Funds," Papers, arXiv.org, number 2210.15329, Oct, revised Dec 2022.
- Baumgartner, Tim & Güttler, André, 2022, "Bitcoin flash crash on May 19, 2021: What did really happen on Binance?," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 25/2022.
- Reza Bradrania & Davood Pirayesh Neghab, 2022, "State-dependent Asset Allocation Using Neural Networks," Papers, arXiv.org, number 2211.00871, Nov.
- Lucas Goodman & Anita Mukherjee & Shanthi Ramnath, 2022, "Set it and Forget it? Financing Retirement in an Age of Defaults," Working Paper Series, Federal Reserve Bank of Chicago, number WP 2022-50, Oct, DOI: 10.21033/wp-2022-50.
- Favaro, Stefano & Panero, Francesca & Rigon, Tommaso, 2021, "Bayesian nonparametric disclosure risk assessment," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 117305, Dec.
- Skander J. Van den Heuvel, 2022, "The Welfare Effects of Bank Liquidity and Capital Requirements," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2022-072, Nov, DOI: 10.17016/FEDS.2022.072.
- Hanna, Alan J. & Turner, John D. & Walker, Clive B., 2022, "The spectre of terrorism and the stock market," QUCEH Working Paper Series, Queen's University Belfast, Queen's University Centre for Economic History, number 22-10.
- David R. Ba~nos & Salvador Ortiz-Latorre & Oriol Zamora Font, 2022, "Change of measure in a Heston-Hawkes stochastic volatility model," Papers, arXiv.org, number 2210.15343, Oct.
- Sherry Hu & Kose John & Balbinder Singh Gill, 2022, "Stock price reaction to power outages following extreme weather events: Evidence from Texas power outage," Papers, arXiv.org, number 2210.16905, Oct.
- Wei Li & Wolfgang Karl Hardle & Stefan Lessmann, 2022, "A Data-driven Case-based Reasoning in Bankruptcy Prediction," Papers, arXiv.org, number 2211.00921, Nov.