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Report NEP-RMG-2023-05-08
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:
- Henry Penikas, 2022, "Model Risk for Acceptable, but Imperfect, Discrimination and Calibration in Basel PD and LGD Models," Bank of Russia Working Paper Series, Bank of Russia, number wps92, Apr.
- Cyril B'en'ezet & St'ephane Cr'epey & Dounia Essaket, 2023, "The Recalibration Conundrum: Hedging Valuation Adjustment for Callable Claims," Papers, arXiv.org, number 2304.02479, Apr, revised Jan 2026.
- Gurdip Bakshi & John Crosby & Xiaohui Gao, 2023, "Dark Matter in (Volatility and) Equity Option Risk Premiums," Papers, arXiv.org, number 2303.16371, Mar.
- Lang, Jan Hannes & Rusnák, Marek & Greiwe, Moritz, 2023, "Medium-term growth-at-risk in the euro area," Working Paper Series, European Central Bank, number 2808, Apr.
- Ke Zhang, 2023, "Adjust factor with volatility model using MAXFLAT low-pass filter and construct portfolio in China A share market," Papers, arXiv.org, number 2304.04676, Mar, revised Apr 2023.
- Voraprapa Nakavachara & Roongkiat Ratanabanchuen & Kanis Saengchote & Thitiphong Amonthumniyom & Pongsathon Parinyavuttichai & Polpatt Vinaibodee, 2023, "Do People Gamble or Invest in the Cryptocurrency Market? Transactional-Level Evidence from Thailand," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 206, Apr, revised Feb 2024.
- Van Roosebeke, Bert & Defina, Ryan, 2023, "The Role of Climate in Deposit Insurers' Fund Management: More Than a Financial Risk Management Factor?," MPRA Paper, University Library of Munich, Germany, number 116936, Mar.
- Hengjie Ai & Ravi Bansal & Hongye Guo & Amir Yaron, 2023, "Identifying Preference for Early Resolution from Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 31087, Mar.
- Giglio, Stefano & Kuchler, Theresa & Stroebel, Johannes & Zeng, Xuran, 2023, "Biodiversity Risk," SocArXiv, Center for Open Science, number n7pbj, Apr, DOI: 10.31219/osf.io/n7pbj.
- Hallissey, Niamh & Killeen, Neill & Wosser, Michael, 2022, "Identifying and assessing systemic risks in Ireland: a review of the Central Bank’s toolkit," Financial Stability Notes, Central Bank of Ireland, number 16/FS/22, Nov.
- Stefano Giglio & Theresa Kuchler & Johannes Stroebel & Xuran Zeng, 2023, "Biodiversity Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 31137, Apr.
- Emmanuelle Augeraud-Véron & Marc Leandri, 2023, "Optimal self-protection and health risk perception: bridging the gap between risk theory and the Health Belief Model," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2023-12.
- Itamar Drechsler & Alexi Savov & Philipp Schnabl & Olivier Wang, 2023, "Deposit Franchise Runs," NBER Working Papers, National Bureau of Economic Research, Inc, number 31138, Apr.
- Weiwei Li & Dejian Tian, 2023, "Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty," Papers, arXiv.org, number 2304.04396, Apr.
- Bikramjit Das & Vicky Fasen-Hartmann, 2023, "On heavy-tailed risks under Gaussian copula: the effects of marginal transformation," Papers, arXiv.org, number 2304.05004, Apr.
- Henry Penikas, 2022, "The Interrelationship of Credit and Climate Risks," Bank of Russia Working Paper Series, Bank of Russia, number wps100, Sep.
- M N, Nikhil & Chakraborty, Suman & B M, Lithin & Ledwani, Sanket, 2022, "Modeling Indian Bank Nifty volatility using univariate GARCH models," MPRA Paper, University Library of Munich, Germany, number 116824, Oct, revised 06 Feb 2023.