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Report NEP-RMG-2023-01-30
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:
- Peter K. Friz & Thomas Wagenhofer, 2022, "Reconstructing Volatility: Pricing of Index Options under Rough Volatility," Papers, arXiv.org, number 2212.07817, 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," Post-Print, HAL, number halshs-03887413, Nov.
- Caroline Hillairet & Olivier Lopez, 2021, "Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models," Post-Print, HAL, number hal-02564462, Jan, DOI: 10.1080/03461238.2021.1872694.
- Yuteng Cheng, 2023, "Mandatory Retention Rules and Bank Risk," Staff Working Papers, Bank of Canada, number 23-3, Jan, DOI: 10.34989/swp-2023-3.
- Damiaan H.J. Chen & Roel M.W.J. Beetsma & Sweder J.G. van Wijnbergen, 2022, "Intergenerational Sharing ofUnhedgeable Inflation Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-088/IV, Dec.
- Julien Hambuckers & Li Sun & Luca Trapin, 2023, "Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors," Papers, arXiv.org, number 2301.01362, Jan.
- Caroline Hillairet & Olivier Lopez & Louise d'Oultremont & Brieuc Spoorenberg, 2022, "Cyber contagion: impact of the network structure on the losses of an insurance portfolio," Post-Print, HAL, number hal-03388840, Nov.
- Matteo Burzoni & Alessandro Doldi & Enea Monzio Compagnoni, 2022, "Risk Sharing with Deep Neural Networks," Papers, arXiv.org, number 2212.11752, Dec, revised Jun 2023.
- Yann Bramoullé & Renaud Bourlès & Eduardo Perez-Richet, 2021, "Altruism and Risk Sharing in Networks," Sciences Po Economics Publications (main), HAL, number hal-02563135, Jun, DOI: 10.1093/jeea/jvaa031.
- Ida Nervik Hjelseth & Arvid Raknerud & Bjørn H. Vatne, 2022, "A bankruptcy probability model for assessing credit risk on corporate loans with automated variable selection," Working Paper, Norges Bank, number 2022/7, Jun.
- Harry Pickard & Thomas Dohmen & Bert van Landeghem, 2023, "Inequality and Risk Preference," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 216, Jan.
- Eduardo Abi Jaber & Camille Illand & Shaun & Li, 2022, "The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles," Papers, arXiv.org, number 2212.10917, Dec, revised May 2023.
- Leonid Dolinskyi & Yan Dolinsky, 2023, "Optimal Liquidation with High Risk Aversion and Small Linear Price Impact," Papers, arXiv.org, number 2301.01555, Jan, revised Nov 2023.