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Report NEP-RMG-2023-04-17
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:
- Zulu, Thulani & Manguzvane, Mathias Mandla & Bonga-Bonga, Lumengo, 2023, "Assessing the contribution of South African Insurance Firms to Systemic Risk," MPRA Paper, University Library of Munich, Germany, number 116815.
- Stéphane Crépey & Noufel Frikha & Azar Louzi, 2025, "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-04037328, Aug, DOI: 10.1007/s00780-025-00573-5.
- Claudiu Vinte & Marcel Ausloos, 2023, "Portfolio Volatility Estimation Relative to Stock Market Cross-Sectional Intrinsic Entropy," Papers, arXiv.org, number 2303.09330, Mar.
- Gao, Mingze & Hasan, Iftekhar & Qiu, Buhui & Wu, Eliza, 2023, "Lone (loan) wolf pack risk," Bank of Finland Research Discussion Papers, Bank of Finland, number 4/2023.
- Yun-Shi Dai & Peng-Fei Dai & Wei-Xing Zhou, 2023, "Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets," Papers, arXiv.org, number 2303.11030, Mar.
- Hugo E. Ramirez & Rafael Serrano, 2023, "Optimal investment with insurable background risk and nonlinear portfolio allocation frictions," Papers, arXiv.org, number 2303.04236, Mar.
- Mao Fabrice Djete & Gaoyue Guo & Nizar Touzi, 2023, "Mean field game of mutual holding with defaultable agents, and systemic risk," Papers, arXiv.org, number 2303.07996, Mar.
- Fallou Niakh, 2023, "A fixed point approach for computing actuarially fair Pareto optimal risk-sharing rules," Papers, arXiv.org, number 2303.05421, Mar, revised Jul 2023.
- Oguz Koc & Omur Ugur & A. Sevtap Kestel, 2023, "The Impact of Feature Selection and Transformation on Machine Learning Methods in Determining the Credit Scoring," Papers, arXiv.org, number 2303.05427, Mar.
- Mahmoud Fatouh & Simone Giansante, 2023, "The cyclicality of bank credit losses and capital ratios under expected loss model," Bank of England working papers, Bank of England, number 1013, Jan.
- Gazoulit Sarra & Khadija Oubal, 2023, "Risk management in public universities in pursuit of performance: A synthesis of the literature
[La gestion des risques dans les universités publiques en quête de la performance: Une synthèse de la," Post-Print, HAL, number hal-03958352, Jan, DOI: 10.5281/zenodo.7556604. - Josefa Henriquez & Richard C. van Kleef & Andrew Matthews & Thomas McGuire & Francesco Paolucci, 2023, "Combining Risk Adjustment with Risk Sharing in Health Plan Payment Systems: Private Health Insurance in Australia," NBER Working Papers, National Bureau of Economic Research, Inc, number 31052, Mar.
- Andrius Grigutis, 2023, "Probabilistic Overview of Probabilities of Default for Low Default Portfolios by K. Pluto and D. Tasche," Papers, arXiv.org, number 2303.06148, Feb.
- Raffaele Mattera & Philipp Otto, 2023, "Network log-ARCH models for forecasting stock market volatility," Papers, arXiv.org, number 2303.11064, Mar.
- Greeshma Balabhadra & El Mehdi Ainasse & Pawel Polak, 2023, "High-Frequency Volatility Estimation with Fast Multiple Change Points Detection," Papers, arXiv.org, number 2303.10550, Mar, revised Jun 2024.
- Eduardo Abi Jaber & Nathan De Carvalho, 2023, "Reconciling rough volatility with jumps," Papers, arXiv.org, number 2303.07222, Mar, revised Sep 2024.
- Pieter M. van Staden & Peter A. Forsyth & Yuying Li, 2023, "A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming," Papers, arXiv.org, number 2303.08968, Mar.
- Antonis Demos, 2023, "Estimation of Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers, Athens University of Economics and Business, number 2309, Mar.
- Pierre-Carl Michaud & Pascal St. Amour, 2023, "Longevity, Health and Housing Risks Management in Retirement," NBER Working Papers, National Bureau of Economic Research, Inc, number 31038, Mar.
- Lu Liu, 2023, "The demand for long-term mortgage contracts and the role of collateral," Bank of England working papers, Bank of England, number 1009, Jan.
- Stanca Lorenzo, 2023, "Recursive preferences, correlation aversion, and the temporal resolution of uncertainty," Working papers, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, number 080, Apr.
- Dipti Rani Hazra & Md. Shah Naoaj & Mohammed Mahinur Alam & Abdul Kader, 2023, "Cost of Implementation of Basel III reforms in Bangladesh -- A Panel data analysis," Papers, arXiv.org, number 2303.11414, Mar.
- Paul-Olivier Klein & Rima Turk-Ariss, 2022, "Bank capital and economic activity," Post-Print, HAL, number hal-03955630, Oct, DOI: 10.1016/j.jfs.2022.101068.