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Report NEP-RMG-2023-03-27
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:
- Paweł Sakowski & Rafał Sieradzki & Robert Ślepaczuk, 2023, "The systemic risk approach based on implied and realized volatility," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-07.
- Sweder van Wijnbergen & Daniel Dimitrov, 2023, "Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector," Working Papers, DNB, number 768, Mar.
- Samir Saissi Hassani & Georges Dionne, 2023, "Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 23-2, Mar.
- Mucahit Aygun & Fabio Bellini & Roger J. A. Laeven, 2023, "Elicitability of Return Risk Measures," Papers, arXiv.org, number 2302.13070, Feb, revised Mar 2023.
- Victor Olkhov, 2023, "Market-Based Probability of Stock Returns," Papers, arXiv.org, number 2302.07935, Feb, revised Dec 2024.
- Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2023, "Factor mimicking portfolios for climate risk," ECON - Working Papers, Department of Economics - University of Zurich, number 429, Mar, revised Mar 2024.
- Hamed Amini & Zhongyuan Cao & Andreea Minca & Agn`es Sulem, 2023, "Ruin Probabilities for Risk Processes in Stochastic Networks," Papers, arXiv.org, number 2302.06668, Feb.
- Jan Rosenzweig, 2023, "A Tale of Tail Covariances (and Diversified Tails)," Papers, arXiv.org, number 2302.13646, Feb.
- Ravi Kashyap, 2023, "A Tale of Two Currencies: Cash and Crypto," Papers, arXiv.org, number 2302.06348, Feb.
- Philipp Adammer & Jan Pruser & Rainer Schussler, 2023, "Forecasting Macroeconomic Tail Risk in Real Time: Do Textual Data Add Value?," Papers, arXiv.org, number 2302.13999, Feb, revised May 2024.
- Ivan Guo & Nicolas Langren'e & Jiahao Wu, 2023, "Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks," Papers, arXiv.org, number 2302.12439, Feb, revised Nov 2024.
- Zuzana FungÃ¡Ä ová & Alexei Karas & Laura Solanko & Laurent Weill, 2022, "The Politics of Bank Failures in Russia," Working Papers, Utrecht School of Economics, number 2206.
- Mathias Manguzvane & Mduduzi Biyase, 2023, "Exchange rate risk and sovereign debt risk in South Africa: A Regime Dependent Approach," Economics Working Papers, College of Business and Economics, University of Johannesburg, South Africa, number edwrg-04-2023, revised 2023.