Report NEP-RMG-2023-04-03

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Yuru Sun & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Gael M. Martin, 2023, "Optimal probabilistic forecasts for risk management," Papers, arXiv.org, number 2303.01651, Mar.
• Bert Van Roosebeke & Ryan Defina, 2023, "The Role of Climate in Deposit Insurers' Fund Management: More Than a Financial Risk Management Factor?," IADI Survey Briefs, International Association of Deposit Insurers, number 5, Feb.
• Stéphane Crépey, 2022, "Positive XVAs," Post-Print, HAL, number hal-03910135.
• Chen Liu & Chao Wang & Minh-Ngoc Tran & Robert Kohn, 2023, "Deep Learning Enhanced Realized GARCH," Papers, arXiv.org, number 2302.08002, Feb, revised Oct 2023.
• Arno Botha & Esmerelda Oberholzer & Janette Larney & Riaan de Jongh, 2023, "Defining and comparing SICR-events for classifying impaired loans under IFRS 9," Papers, arXiv.org, number 2303.03080, Mar, revised Feb 2025.
• Martin Gachter & Elias Hasler & Florian Huber, 2023, "A tale of two tails: 130 years of growth-at-risk," Papers, arXiv.org, number 2302.08920, Feb.
• Felix Kapfhammer, 2023, "The Economic Consequences of Effective Carbon Taxes," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 01/2023, Jan.
• Yaojun Zhang & Lanpeng Ji & Georgios Aivaliotis & Charles Taylor, 2023, "Bayesian CART models for insurance claims frequency," Papers, arXiv.org, number 2303.01923, Mar, revised Dec 2023.
• Matteo Smerlak, 2023, "Great year, bad Sharpe? A note on the joint distribution of performance and risk-adjusted return," Papers, arXiv.org, number 2302.08829, Feb, revised Jun 2024.
• Gianmarco Bet & Francesco Dainelli & Eugenio Fabrizi, 2023, "The financial health of a company and the risk of its default: Back to the future," Papers, arXiv.org, number 2302.10140, Feb.
• Chabakauri, Georgy & Rytchkov, Oleg, 2021, "Asset pricing with index investing," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 105749, Jul.
• Hilde C. Bjornland & Yoosoon Chang & Jamie L. Cross, 2024, "Oil and the Stock Market Revisited: A Mixed Functional VAR Approach," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2023-005 Classification-1, Jul.
• Congressional Budget Office, 2023, "Financial Commitments of Federal Credit and Insurance Programs, 2012 to 2021," Reports, Congressional Budget Office, number 58614, Mar.
• Brice Corgnet & Roberto Hernan-Gonzalez & Yao Thibaut Kpegli & Adam Zylbersztejn, 2023, "Against the Odds! The Tradeoff Between Risk and Incentives is Alive and Well," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon, number 2305.
• Yoosoon Chang & Ana María Herrera & Elena Pesavento, 2023, "Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 02/2023, Feb.
• Henry Skeoch & Christos Ioannidis, 2023, "The barriers to sustainable risk transfer in the cyber-insurance market," Papers, arXiv.org, number 2303.02061, Mar, revised Aug 2023.
• Zhou Fang, 2023, "Continuous-Time Path-Dependent Exploratory Mean-Variance Portfolio Construction," Papers, arXiv.org, number 2303.02298, Mar.
• Dorinel Bastide & Stéphane Crépey & Samuel Drapeau & Mekonnen Tadese, 2023, "Derivatives Risks as Costs in a One-Period Network Model," Post-Print, HAL, number hal-03910144, Sep, DOI: 10.3934/fmf.2023014.
• Jaehyuk Choi & Jeonggyu Huh & Nan Su, 2023, "Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding," Papers, arXiv.org, number 2302.08758, Feb, revised Oct 2024.
• Guinea, Laurentiu & Pérez, Rafaela & Ruiz, Jesús, 2023, "Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 36916, Mar.
• Joseph de Vilmarest & Nicklas Werge, 2023, "An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition," Papers, arXiv.org, number 2303.01855, Mar, revised Jun 2024.
• Nicola Branzoli & Raffaele Gallo & Antonio Ilari & Dario Portioli, 2023, "Financial fragilities and risk-taking of corporate bond funds in the aftermath of central bank policy interventions," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1404, Mar.
• Roberto Fontana & Patrizia Semeraro, 2023, "Measuring distribution risk in discrete models," Papers, arXiv.org, number 2302.08838, Feb.
• Zhou Fang, 2023, "Electricity Virtual Bidding Strategy Via Entropy-Regularized Stochastic Control Method," Papers, arXiv.org, number 2303.02303, Mar.
• Martin Chorzempa & Nicolas Veron, 2023, "Will China's impending overhaul of its financial regulatory system make a difference?," Policy Briefs, Peterson Institute for International Economics, number PB23-1, Mar.
• Cole, Harold L. & Krueger, Dirk & Mailath, George J. & Park, Yena, 2023, "Trust in risk sharing: A double-edged sword," CFS Working Paper Series, Center for Financial Studies (CFS), number 697.
• Manuela M. Dantas & Kenneth J. Merkley & Felipe B. G. Silva, 2023, "Government Guarantees and Banks' Income Smoothing," Papers, arXiv.org, number 2303.03661, Mar.
• Jad Bazih & Dieter Vanwalleghem, 2021, "Deriving value or risk? Determinants and the impact of emerging market banks’ derivative usage," Post-Print, HAL, number hal-03329217, Apr, DOI: 10.1016/j.ribaf.2020.101379.
• Elie Bouri & David Gabauer & Rangan Gupta & Harald Kinateder, 2023, "Geopolitical Risk and Inflation Spillovers across European and North American Economies," Working Papers, University of Pretoria, Department of Economics, number 202304, Mar.
• H. T. Shehzad & M. A. Anwar & M. Razzaq, 2023, "A Comparative Predicting Stock Prices using Heston and Geometric Brownian Motion Models," Papers, arXiv.org, number 2302.07796, Feb.
• Dan A. Black & Jeffrey Grogger & Tom Kirchmaier & Koen Sanders, 2023, "Criminal charges, risk assessment and violent recidivism in cases of domestic abuse," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1897, Jan.
• Hanif, Mustufa, 2022, "Overview of the Crash of KSE," MPRA Paper, University Library of Munich, Germany, number 116558, Dec.

Report NEP-RMG-2023-04-03

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: