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Report NEP-RMG-2023-02-13
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:
- Xia Han & Liyuan Lin & Ruodu Wang, 2023, "Diversification quotients based on VaR and ES," Papers, arXiv.org, number 2301.03517, Jan, revised May 2023.
- Zeddouk, Fadoua & Devolder, Pierre, 2022, "Pricing and hedging of longevity basis risk through securitization," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022038, Dec.
- Dupret, Jean-Loup & Hainaut, Donatien, 2023, "A fractional Hawkes process for illiquidity modeling," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2023001, Jan.
- Watanabe, Toshiaki & Nakajima, Jouchi, 2023, "High-frequency realized stochastic volatility model," Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University, number HIAS-E-127, Jan.
- Joshua Bosshardt & Ali Kakhbod & Farzad Saidi, 2023, "Liquidity Regulation and Bank Risk Taking on the Horizon," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2023_389, Jan.
- Thomas Dierckx & Jesse Davis & Wim Schoutens, 2022, "Nowcasting Stock Implied Volatility with Twitter," Papers, arXiv.org, number 2301.00248, Dec.
- Al-Hassan, Hassana & Devolder, Pierre, 2022, "Stochastic Modellization of Hybrid Public Pension Plans (PAYG) under Demographic Risks with Application to the Belgian Case," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022042, Dec.
- Brückbauer, Frank & Cezanne, Thibault, 2022, "Bank manager sentiment, loan growth and bank risk," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 22-066.
- Jan K. Brueckner & Stuart S. Rosenthal, 2022, "Tenant Riskiness, Contract Length, and the Term Structure of Commercial Leases," CESifo Working Paper Series, CESifo, number 10189.
- Yuqi Li & Lihua Zhang, 2022, "Achieving a Given Financial Goal with Optimal Deferred Term Insurance Purchasing Policy," Papers, arXiv.org, number 2301.04118, Dec.
- Putri, Dini Fonika & Afriyeni, Afriyeni & fernos, jhon, 2022, "Penerapan Manajemen Risiko Operasional Unit Customer Service PT. Bank Nagari Cabang Alahan Panjang," OSF Preprints, Center for Open Science, number da9hs, Dec, DOI: 10.31219/osf.io/da9hs.
- Kerem Tuzcuoglu, 2023, "Risk Amplification Macro Model (RAMM)," Technical Reports, Bank of Canada, number 123, DOI: 10.34989/tr-123.
- Pickard, Harry & Dohmen, Thomas & van Landeghem, Bert, 2023, "Inequality and Risk Preference," IZA Discussion Papers, Institute of Labor Economics (IZA), number 15854, Jan.
- Wulandari, Ratna & Afriyeni, Afriyeni & fernos, jhon, 2022, "Resiko Operasional Unit Teller Dan Customer Service Pada PT. BPR Ophir Pasaman Barat," OSF Preprints, Center for Open Science, number f7ruq, Dec, DOI: 10.31219/osf.io/f7ruq.
- Jarek Kk{e}dra & Assaf Libman & Victoria Steblovskaya, 2023, "Minimum Cost Super-Hedging in a Discrete Time Incomplete Multi-Asset Binomial Market," Papers, arXiv.org, number 2301.02912, Jan, revised May 2024.
- Wassima Lakhchini & Rachid Wahabi & Mounime El Kabbouri, 2022, "Artificial Intelligence & Machine Learning in Finance: A literature review," Post-Print, HAL, number hal-03916744, Dec, DOI: 10.5281/zenodo.7454232.
- Item repec:hal:journl:hal-03031751 is not listed on IDEAS anymore
- Masayuki SATO & Shin KINOSHITA & Takanori IDA, 2022, "Subjective Risk Valuation and Behavioral Change : Evidence from COVID-19 in the U.K. and Japan," Discussion papers, Graduate School of Economics , Kyoto University, number e-22-011, Nov.
- Evangelos Benos & Gerardo Ferrara & Angelo Ranaldo, 2022, "Collateral Cycles," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-91, Dec.
- Denuit, Michel & Trufin, Julien, 2022, "Autocalibration by balance correction in nonlife insurance pricing," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022041, Dec.