Report NEP-RMG-2022-12-19

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:

• Zheng Gong & Wojciech Frys & Renzo Tiranti & Carmine Ventre & John O'Hara & Yingbo Bai, 2022. "A new encoding of implied volatility surfaces for their synthetic generation," Papers 2211.12892, arXiv.org, revised Jun 2023.
• Adil Rengim Cetingoz & Jean-David Fermanian & Olivier Gu'eant, 2022. "Risk Budgeting Portfolios: Existence and Computation," Papers 2211.07212, arXiv.org, revised Sep 2023.
• Faheem Aslam & Yasir Tariq Mohmand & Saqib Aziz & Jamal Ouenniche, 2020. "A complex networks based analysis of jump risk in equity returns: An evidence using intraday movements from Pakistan stock market," Post-Print hal-03160685, HAL.
• Fabio G., Santeramo & Ilaria, Russo & Emilia, Lamonaca, 2022. "Italian subsidised crop insurance: what the role of policy changes," MPRA Paper 115299, University Library of Munich, Germany.
• Giulio Principi & Fabio Maccheroni, 2022. "Conditional divergence risk measures," Papers 2211.04592, arXiv.org.
• Dianne Dobbeck, 2022. "A Supervisory Perspective on the U.S. Banking System," Speech 95230, Federal Reserve Bank of New York.
• Ampudia, Miguel & Busetto, Filippo & Fornari, Fabio, 2022. "Chronicle of a death foretold: does higher volatility anticipate corporate default?," Working Paper Series 2749, European Central Bank.
• Dorien Herremans & Kah Wee Low, 2022. "Forecasting Bitcoin volatility spikes from whale transactions and CryptoQuant data using Synthesizer Transformer models," Papers 2211.08281, arXiv.org.
• William Barnett & Kun He & Jingtong He, 2022. "Consumption Loan Augmented Divisia Monetary Index and China Monetary Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202217, University of Kansas, Department of Economics.
• Durrani, Agha & Metzler, Julian & Michail, Nektarios & Werner, Johannes Gabriel, 2022. "Bank lending rates and the remuneration for risk: evidence from portfolio and loan level data," Working Paper Series 2753, European Central Bank.
• Bonacorsi, Laura & Cerasi, Vittoria & Galfrascoli, Paola & Manera, Matteo, 2022. "ESG Factors and Firms’ Credit Risk," FEEM Working Papers 329521, Fondazione Eni Enrico Mattei (FEEM).
• Lech A. Grzelak, 2022. "Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities," Papers 2211.05014, arXiv.org, revised Nov 2024.
• Sylvanus, Gaku & Ifft, Jennifer & Byers, Luke, 2022. "Farm Loan Concentration and Financial Risk," 2022 Agricultural and Rural Finance Markets in Transition, October 17-18, 2022, Detroit, Michigan 329258, Regional Research Committee NC-1177 (formerly NC-1014): Agricultural and Rural Finance Markets in Transition.
• Yuecai Han & Xudong Zheng, 2022. "Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model," Papers 2210.15453, arXiv.org.
• Demetrio Lacava & Angelo Ranaldo & Paolo Santucci de Magistris, 2022. "Realized Illiquidity," Swiss Finance Institute Research Paper Series 22-90, Swiss Finance Institute.
• Rogelio A. Mancisidor & Kjersti Aas, 2022. "Multimodal Generative Models for Bankruptcy Prediction Using Textual Data," Papers 2211.08405, arXiv.org, revised Feb 2024.
• Dayal Saraswat, Kinshuk, 2022. "Technology-Based Risk Management for Rural Sectors and Natural Disasters in Developing Countries," MPRA Paper 115480, University Library of Munich, Germany.