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Report NEP-RMG-2023-02-20
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:
- Claudio Albanese & Stéphane Crépey & Stefano Iabichino, 2022, "Quantitative Reverse Stress Testing, Bottom Up," Working Papers, HAL, number hal-03910136, Dec.
- Thomas Schneider & Philip Strahan & Jun Yang, 2023, "Bank Stress Testing, Human Capital Investment and Risk Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 30867, Jan.
- Denuit, Michel & Robert, Christian Y., 2022, "Dynamic conditional mean risk sharing in the compound Poisson surplus model," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022034, Nov.
- Daniel Dimitrov & Sweder van Wijnbergen, 2023, "Macroprudential Regulation: A Risk Management Approach," Working Papers, DNB, number 765, Feb.
- Michael B. Giles & Abdul-Lateef Haji-Ali & Jonathan Spence, 2023, "Efficient Risk Estimation for the Credit Valuation Adjustment," Papers, arXiv.org, number 2301.05886, Jan, revised May 2024.
- Leandro Gualario, 2023, "Nietzsche and Fractal Geometry: a philosophical continuity," Post-Print, HAL, number hal-03727161, Jan, DOI: 10.46298/jpe.9913.
- Al-Haschimi, Alexander & Apostolou, Apostolos & Azqueta-Gavaldon, Andres & Ricci, Martino, 2023, "Using machine learning to measure financial risk in China," Working Paper Series, European Central Bank, number 2767, Jan.
- Miguel Ampudia & Filippo Busetto & Fabio Fornari, 2022, "Chronicle of a death foretold: does higher volatility anticipate corporate default?," Bank of England working papers, Bank of England, number 1001, Oct.
- Lingjiong Zhu, 2023, "A delayed dual risk model," Papers, arXiv.org, number 2301.06450, Jan.
- Jeroen Brinkhoff & Mr. Juan Sole, 2022, "Did Insurers Become Risk-Loving During “Low-for-Long”? The Role of Returns, Ratings, and Regulation," IMF Working Papers, International Monetary Fund, number 2022/202, Sep.
- Chuting Sun & Qi Wu & Xing Yan, 2023, "Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning," Papers, arXiv.org, number 2301.07318, Jan, revised Jan 2024.
- Bruno Bouchard & Adil Reghai & Benjamin Virrion, 2021, "Computation of Expected Shortfall by fast detection of worst scenarios," Post-Print, HAL, number hal-02619589, Mar, DOI: 10.1080/14697688.2021.1880618.
- Artur Kotlicki & Andrea Austin & David Humphry & Hanna Burnett & Philip Ridgill & Sam Smith, 2023, "Network analysis of the UK reinsurance market," Bank of England working papers, Bank of England, number 1000, Jan.
- Akash Raja, 2023, "The impact of changes in bank capital requirements," Bank of England working papers, Bank of England, number 1004, Jan.
- Sakib, S M Nazmuz, 2023, "Application Of Fixed Point Theorem To Insurance Loss Model," OSF Preprints, Center for Open Science, number n78rj, Jan, DOI: 10.31219/osf.io/n78rj.
- Hafner, Christian & Herwartz, Helmut, 2022, "Asymmetric volatility impulse response functions," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022037, Nov.
- Cristina Amado, 2022, "Outlier robust specification of multiplicative time-varying volatility models," NIPE Working Papers, NIPE - Universidade do Minho, number 11/2022.
- Item repec:hal:wpaper:hal-03909334 is not listed on IDEAS anymore
- Moawia Alghalith, 2022, "Methods in Econophysics: Estimating the Probability Density and Volatility," Papers, arXiv.org, number 2301.10178, Nov.
- Dan Zhang & Arash Farnoosh & Zhengwei Ma, 2022, "Does the Launch of Shanghai Crude Oil Futures Stabilize the Spot Market ? A Financial Cycle Perspective," Post-Print, HAL, number hal-03910474, Jan, DOI: 10.1080/10168737.2021.2001027.
- Nils Engler & Filip Lindskog, 2023, "Approximations of multi-period liability values by simple formulas," Papers, arXiv.org, number 2301.09450, Jan.
- Hentschel, Manuel & Engelke, Sebastian & Segers, Johan, 2022, "Statistical Inference for Hüsler–Reiss Graphical Models Through Matrix Completions," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022032, Oct.
- Raphael Auer & Bernhard Haslhofer & Stefan Kitzler & Pietro Saggese & Friedhelm Victor, 2023, "The Technology of Decentralized Finance (DeFi)," BIS Working Papers, Bank for International Settlements, number 1066, Jan.
- Irem Erten & Ioana Neamtu & John Thanassoulis, 2023, "The ring-fencing bonus," Bank of England working papers, Bank of England, number 999, Jan.
- Mykola Pinchuk, 2023, "Labor Income Risk and the Cross-Section of Expected Returns," Papers, arXiv.org, number 2301.09173, Jan.
- Carl Bonander & Mats Ekman & Niklas Jakobsson, 2023, "When do Default Nudges Work?," Papers, arXiv.org, number 2301.08797, Jan, revised Aug 2023.
- Tom, Daniel M. Ph.D., 2023, "Eliminating Disparate Treatment in Modeling Default of Credit Card Clients," OSF Preprints, Center for Open Science, number cfyzv, Jan, DOI: 10.31219/osf.io/cfyzv.
- Capraru, Bogdan & Georgescu, George & Sprincean, Nicu, 2023, "Fiscal Rules, Independent Fiscal Institutions, and Sovereign Risk," Working Papers of Romania Fiscal Council, Romania Fiscal Council, number 230201, Feb.
- Miriam Buiten & Alexandre de Streel & Martin Peitz, 2022, "The Law and Economics of AI Liability," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2022_371, Nov.