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Report NEP-RMG-2023-04-24
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:
- Max Nendel & Jan Streicher, 2023, "An axiomatic approach to default risk and model uncertainty in rating systems," Papers, arXiv.org, number 2303.08217, Mar, revised Sep 2023.
- Stéphane Crépey & Noufel Frikha & Azar Louzi, 2024, "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Working Papers, HAL, number hal-04037328, Nov.
- Boudiaf, Ismael Alexander & Scheicher, Martin & Vacirca, Francesco, 2023, "CCP initial margin models in Europe," Occasional Paper Series, European Central Bank, number 314, Apr.
- Hermans, Lieven & Kostka, Thomas & Vassallo, Danilo, 2023, "Asset allocation and risk taking under different interest rate regimes," Working Paper Series, European Central Bank, number 2803, Mar.
- Young Shin Kim, 2023, "Portfolio Optimization with Relative Tail Risk," Papers, arXiv.org, number 2303.12209, Mar, revised Mar 2023.
- Giulia Livieri & Davide Radi & Elia Smaniotto, 2023, "Pricing Transition Risk with a Jump-Diffusion Credit Risk Model: Evidences from the CDS market," Papers, arXiv.org, number 2303.12483, Mar.
- Volodymyr Savchuk, 2023, "Real Options Technique as a Tool of Strategic Risk Management," Papers, arXiv.org, number 2303.09176, Mar.
- Makoto Okawara & Akihiko Takahashi, 2023, "Optimal Loan Portfolio under Regulatory and Internal Constraints "Forthcoming in International Journal of Financial Engineering"," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-558, May, revised Jul 2023.
- Pierre-Carl Michaud & Pascal St-Amour, 2023, "Longevity, Health and Housing Risks Management in Retirement," CIRANO Working Papers, CIRANO, number 2023s-07, Mar.
- Jacek Rothert & Alexander McQuoid & Katherine Smith, 2023, "Real exchange rate risk and FDI flows: stylized facts and theory," GRAPE Working Papers, GRAPE Group for Research in Applied Economics, number 79.
- Rajeswari Sengupta & Harsh Vardhan, 2023, "Bankruptcy regime change and credit risk premium on corporate bonds: Evidence from the Indian economy," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2023-001, Feb.