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. Stan 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:

• Zulu, Thulani & Manguzvane, Mathias Mandla & Bonga-Bonga, Lumengo, 2023. "Assessing the contribution of South African Insurance Firms to Systemic Risk," MPRA Paper 116815, University Library of Munich, Germany.
• Stéphane Crépey & Noufel Frikha & Azar Louzi, 2024. "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-04037328, HAL.
• Claudiu Vinte & Marcel Ausloos, 2023. "Portfolio Volatility Estimation Relative to Stock Market Cross-Sectional Intrinsic Entropy," Papers 2303.09330, arXiv.org.
• Gao, Mingze & Hasan, Iftekhar & Qiu, Buhui & Wu, Eliza, 2023. "Lone (loan) wolf pack risk," Bank of Finland Research Discussion Papers 4/2023, Bank of Finland.
• 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 2303.11030, arXiv.org.
• Hugo E. Ramirez & Rafael Serrano, 2023. "Optimal investment with insurable background risk and nonlinear portfolio allocation frictions," Papers 2303.04236, arXiv.org.
• Mao Fabrice Djete & Gaoyue Guo & Nizar Touzi, 2023. "Mean field game of mutual holding with defaultable agents, and systemic risk," Papers 2303.07996, arXiv.org.
• Fallou Niakh, 2023. "A fixed point approach for computing actuarially fair Pareto optimal risk-sharing rules," Papers 2303.05421, arXiv.org, 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 2303.05427, arXiv.org.
• Fatouh, Mahmoud & Giansante, Simone, 2023. "The cyclicality of bank credit losses and capital ratios under expected loss model," Bank of England working papers 1013, Bank of England.
• 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-03958352, HAL.
• 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 31052, National Bureau of Economic Research, Inc.
• Andrius Grigutis, 2023. "Probabilistic Overview of Probabilities of Default for Low Default Portfolios by K. Pluto and D. Tasche," Papers 2303.06148, arXiv.org.
• Raffaele Mattera & Philipp Otto, 2023. "Network log-ARCH models for forecasting stock market volatility," Papers 2303.11064, arXiv.org.
• Greeshma Balabhadra & El Mehdi Ainasse & Pawel Polak, 2023. "High-Frequency Volatility Estimation with Fast Multiple Change Points Detection," Papers 2303.10550, arXiv.org, revised Jun 2024.
• Eduardo Abi Jaber & Nathan De Carvalho, 2023. "Reconciling rough volatility with jumps," Papers 2303.07222, arXiv.org, 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 2303.08968, arXiv.org.
• Antonis Demos, 2023. "Estimation of Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2309, Athens University of Economics and Business.
• Pierre-Carl Michaud & Pascal St. Amour, 2023. "Longevity, Health and Housing Risks Management in Retirement," NBER Working Papers 31038, National Bureau of Economic Research, Inc.
• Liu, Lu, 2023. "The demand for long-term mortgage contracts and the role of collateral," Bank of England working papers 1009, Bank of England.
• Stanca Lorenzo, 2023. "Recursive preferences, correlation aversion, and the temporal resolution of uncertainty," Working papers 080, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
• 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 2303.11414, arXiv.org.
• Paul-Olivier Klein & Rima Turk-Ariss, 2022. "Bank capital and economic activity," Post-Print hal-03955630, HAL.