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Report NEP-RMG-2023-01-02
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:
- Juselius, Mikael & Tarashev, Nikola A., 2022, "When uncertainty decouples expected and unexpected losses," Bank of Finland Research Discussion Papers, Bank of Finland, number 4/2022.
- Congressional Budget Office, 2022, "How CBO Analyzes Public-Private Risk Sharing in Insurance Markets," Reports, Congressional Budget Office, number 57615, Nov.
- Spiros Bougheas & Adam Spencer, 2022, "Fire Sales and Ex Ante Valuation of Systemic Risk: A Financial Equilibrium Networks Approach," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 544, Nov.
- Pierre-Loic M'eliot & Ashkan Nikeghbali & Gabriele Visentin, 2022, "Mod-Poisson approximation schemes: Applications to credit risk," Papers, arXiv.org, number 2211.04436, Oct.
- Olkhov, Victor, 2022, "The Market-Based Asset Price Probability," MPRA Paper, University Library of Munich, Germany, number 115382, May, revised 16 Nov 2022.
- Amin Izadyar & Shiva Zamani, 2022, "Investor base and idiosyncratic volatility of cryptocurrencies," Papers, arXiv.org, number 2211.13274, Nov.
- Cyril Pouvelle., 2022, "An Analysis of Financial Conglomerate Resilience: A Perspective on bancassurance in France
[Une analyse de la résilience des conglomérats financiers : Une perspective sur la bancassurance en France," Débats Economiques et financiers, Banque de France, number 39. - Tihana Škrinjarić, 2022, "Introduction of the composite indicator of cyclical systemic risk in Croatia: possibilities and limitations," Working Papers, The Croatian National Bank, Croatia, number 68, Nov.
- Saroyan, Susanna, 2022, "Counterparty choice, maturity shifts and market freezes: lessons from the e-MID interbank market," INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford, number 2022-28, Nov.
- Bodnar, Taras & Mazur, Stepan & Nguyen, Hoang, 2022, "Estimation of optimal portfolio compositions for small sampleand singular covariance matrix," Working Papers, Örebro University, School of Business, number 2022:15, Dec.
- Georgij Alekseev & Stefano Giglio & Quinn Maingi & Julia Selgrad & Johannes Stroebel, 2022, "A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 30703, Dec.
- Camerlenghi, Federico & Favaro, Stefano & Naulet, Zacharie & Panero, Francesca, 2021, "Optimal disclosure risk assessment," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 117304, Apr.
- Fortin, Ines & Hlouskova, Jaroslava, 2022, "Prospect theory and asset allocation," IHS Working Paper Series, Institute for Advanced Studies, number 42, Dec.
- Pasquale De Rosa & Valerio Schiavoni, 2022, "Understanding Cryptocoins Trends Correlations," Papers, arXiv.org, number 2212.01267, Nov.
- Tang, Xinyin & Feng, Chong & Zhu, Jianping & He, Minna, 2022, "How Can We Learn from Borrowers’ Online Behaviors? The Signal Effect of Borrowers’ Platform Involvement on Their Credit Risk," SocArXiv, Center for Open Science, number qga8j, Dec, DOI: 10.31219/osf.io/qga8j.
- Li, Chenxing & Maheu, John M & Yang, Qiao, 2022, "An Infinite Hidden Markov Model with Stochastic Volatility," MPRA Paper, University Library of Munich, Germany, number 115456, Nov.
- Zbigniew Palmowski & Pawe{l} Stk{e}pniak, 2022, "Last passage American cancellable option in L\'evy models," Papers, arXiv.org, number 2212.01119, Dec.
- Andreasen, Martin Møller & Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2021, "Why does risk matter more in recessions than in expansions?," Bank of Finland Research Discussion Papers, Bank of Finland, number 13/2021.
- Harry Pickard & Thomas Dohmen & Bert Van Landeghem, 2022, "Inequality and risk preference," Working Papers, The University of Sheffield, Department of Economics, number 2022022, Dec.
- Montes-Galdón, Carlos & Paredes, Joan & Wolf, Elias, 2022, "Conditional density forecasting: a tempered importance sampling approach," Working Paper Series, European Central Bank, number 2754, Dec.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022, "Gold and Silver as Safe Havens: A Fractional Integration and Cointegration Analysis," CESifo Working Paper Series, CESifo, number 10084.
- Nissinen, Juuso & Sihvonen, Markus, 2022, "Bond convenience curves and funding costs," Bank of Finland Research Discussion Papers, Bank of Finland, number 11/2022.