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Report NEP-RMG-2023-01-16
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:
- Shuhua Xiao & Jiali Ma & Li Xia & Shushang Zhu, 2022, "Optimal Systemic Risk Bailout: A PGO Approach Based on Neural Network," Papers, arXiv.org, number 2212.05235, Dec, revised Aug 2025.
- Spiros Bougheas & Adam Hal Spencer, 2022, "Fire Sales and Ex Ante Valuation of Systemic Risk: A Financial Equilibrium Networks Approach," CESifo Working Paper Series, CESifo, number 10111.
- Bustos, Emil & Engist, Oliver & Martinsson, Gustav & Thomann, Christian, 2022, "Financing Constraints and Risk Management: Evidence From Micro-Level Insurance Data," Working Paper Series, Research Institute of Industrial Economics, number 1452, Dec.
- F. Marta L. Di Lascio & Ilan Noy & Selene Perazzini, 2022, "Modelling spatial correlation between earthquake insured losses in New Zealand: A mixed-effects analysis," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS98, Dec.
- Pierre-Charles Pradier & Guillaume Rideau & Sakina Rrguiti, 2022, "Measuring adequately the benefit of diversification in the extreme quantiles: An inquiry into covariation on the brink of catastrophe," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03887413, Nov.
- Emmanuel Alanis & Sudheer Chava & Agam Shah, 2022, "Benchmarking Machine Learning Models to Predict Corporate Bankruptcy," Papers, arXiv.org, number 2212.12051, Dec.
- Chun Yat Yeung & Ali Hirsa, 2022, "Saddle-Point Approach to Large-Time Volatility Smile," Papers, arXiv.org, number 2212.05671, Dec.
- Gero Junike & Hauke Stier & Marcus C. Christiansen, 2022, "Profit and loss decomposition in continuous time and approximations," Papers, arXiv.org, number 2212.06733, Dec, revised Dec 2024.
- Awatef Ourir & Elie Bouri & Essahbi Essaadi, 2021, "Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach," Working Papers, Economic Research Forum, number 1511, Nov, revised 20 Nov 2021.
- Jakub Warmuz & Amit Chaudhary & Daniele Pinna, 2022, "Toxic Liquidation Spirals," Papers, arXiv.org, number 2212.07306, Dec, revised Jan 2023.
- Mehmet Balcilar & Shawkat Hammoudeh, 2022, "Financial Connectedness and Risk Transmission Among MENA Countries: Evidence from Connectedness Network and Clustering Analysis," Working Papers, Economic Research Forum, number 1605, Nov, revised 20 Nov 2022.
- Alessandro Gnoatto & Silvia Lavagnini & Athena Picarelli, 2022, "Deep Quadratic Hedging," Papers, arXiv.org, number 2212.12725, Dec, revised Nov 2024.
- Marc Chataigner & Areski Cousin & St'ephane Cr'epey & Matthew Dixon & Djibril Gueye, 2022, "Beyond Surrogate Modeling: Learning the Local Volatility Via Shape Constraints," Papers, arXiv.org, number 2212.09957, Dec.
- Dongwon Lee, 2023, "Financial integration and international risk spillovers," Working Papers, University of California at Riverside, Department of Economics, number 202301, Jan.
- Kanis Saengchote, 2022, "Decentralized lending and its users: Insights from Compound," Papers, arXiv.org, number 2212.05734, Dec.
- Dongli Wu & Bufan Zhang & Xiao Lin, 2022, "Efficient and Accurate Calibration to FX Market Skew with Fully Parameterized Local Volatility Model," Papers, arXiv.org, number 2211.14431, Nov, revised Apr 2023.
- Hossein Rad & Rand Kwong Yew Low & Joelle Miffre & Robert Faff, 2022, "The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures," Post-Print, HAL, number hal-03881976, Dec.
- Beutel, Johannes & Emter, Lorenz & Metiu, Norbert & Prieto, Esteban & Schüler, Yves, 2022, "The global financial cycle and macroeconomic tail risks," Discussion Papers, Deutsche Bundesbank, number 43/2022.
- Joost Bats & Giovanna Bua & Daniel Kapp, 2023, "Physical and transition risk premiums in euro area corporate bond markets," Working Papers, DNB, number 761, Jan.
- Francisco Amaral & Martin Dohmen & Sebastian Kohl & Moritz Schularick, 2021, "Superstar Returns," Working Papers, HAL, number hal-03881493, Dec.
- Pierre-Edouard Arrouy & Alexandre Boumezoued & Bernard Lapeyre & Sophian Mehalla, 2022, "Jacobi Stochastic Volatility factor for the Libor Market Model," Post-Print, HAL, number hal-02468583, Sep, DOI: 10.1007/s00780-022-00488-5.
- François Le Grand & Xavier Ragot, 2021, "Sovereign Default and Liquidity: The Case for a World Safe Asset," Post-Print, HAL, number hal-03501397, Jul, DOI: 10.1016/j.jinteco.2021.103462.
- Nicole Bauerle & An Chen, 2022, "Optimal investment under partial information and robust VaR-type constraint," Papers, arXiv.org, number 2212.04394, Dec, revised Sep 2023.
- Wenli Li & Costas Meghir & Florian Oswald, 2022, "Consumer Bankrupcty, Mortgage Default and Labor Supply," Working Papers, HAL, number hal-03882830, Mar.
- Harrison Mateika & Juannan Jia & Linda Lillard & Noah Cronbaugh & Will Shin, 2022, "Fallen Angel Bonds Investment and Bankruptcy Predictions Using Manual Models and Automated Machine Learning," Papers, arXiv.org, number 2212.03454, Dec, revised Dec 2022.
- Langenbucher, Katja, 2022, "Consumer credit in the age of AI: Beyond anti-discrimination law," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 369, DOI: 10.2139/ssrn.4298261.