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Report NEP-RMG-2023-05-15
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:
- Joana Passinhas & Ana Pereira, 2023, "A macroprudential look into the risk-return framework of banks’ profitability," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2023/0265, Mar.
- Fantazzini, Dean, 2023, "Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models," MPRA Paper, University Library of Munich, Germany, number 117141.
- St'ephane Cr'epey & Noufel Frikha & Azar Louzi, 2023, "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Papers, arXiv.org, number 2304.01207, Mar, revised Jul 2024.
- Julien Hambuckers & Marie Kratz & Antoine Usseglio-Carleve, 2023, "Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks," Papers, arXiv.org, number 2304.06950, Apr.
- Soumyadip Sarkar, 2023, "Managing Portfolio for Maximizing Alpha and Minimizing Beta," Papers, arXiv.org, number 2304.05900, Apr.
- Jiezhu Cheng & Kaizhu Huang & Zibin Zheng, 2023, "Can Perturbations Help Reduce Investment Risks? Risk-Aware Stock Recommendation via Split Variational Adversarial Training," Papers, arXiv.org, number 2304.11043, Apr, revised Jan 2024.
- Afees A. Salisu & Riza Demirer & Rangan Gupta, 2023, "Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach," Working Papers, University of Pretoria, Department of Economics, number 202308, Apr.
- Daoping Yu & Vytaras Brazauskas & Ricardas Zitikis, 2023, "Measuring Discrete Risks on Infinite Domains: Theoretical Foundations, Conditional Five Number Summaries, and Data Analyses," Papers, arXiv.org, number 2304.02723, Apr.
- Ruixue Jing & Luis Enrique Correa Rocha, 2023, "A network-based strategy of price correlations for optimal cryptocurrency portfolios," Papers, arXiv.org, number 2304.02362, Apr.
- Fjærvik, Thomas, 2023, "Crash risk in the Nordic Stock Market - a cross-sectional analysis," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2023/5, Apr.
- Christopher P. Chambers & Georgios Gerasimou, 2023, "Non-diversified portfolios with subjective expected utility," Papers, arXiv.org, number 2304.08059, Apr, revised Oct 2024.
- Luka Klinv{c}i'c & Vinko Zlati'c & Guido Caldarelli & Hrvoje v{S}tefanv{c}i'c, 2023, "Systemic risk measured by systems resiliency to initial shocks," Papers, arXiv.org, number 2304.05794, Apr.
- Tom, Daniel M. Ph.D., 2023, "Optimizing Risk Strategies in Multiple Dimensions," OSF Preprints, Center for Open Science, number 4e58b, Apr, DOI: 10.31219/osf.io/4e58b.
- Nicolás Salamanca & Buly A. Cardak & Edwin Ip & Joe Vecci, 2023, "Time-stability of risk preferences: A new approach with evidence from developed and developing countries," Discussion Papers, University of Exeter, Department of Economics, number 2305, Apr.
- Ha Nguyen, 2023, "Credit Risk and Financial Performance of Commercial Banks: Evidence from Vietnam," Papers, arXiv.org, number 2304.08217, Apr, revised Apr 2023.
- Maddalena Ghio & Linda Rousova & Dilyara Salakhova & Mr. Germán Villegas-Bauer, 2023, "Derivative Margin Calls: A New Driver of MMF Flows," IMF Working Papers, International Monetary Fund, number 2023/061, Mar.
- Md Shah Naoaj, 2023, "Exploring the Determinants of Capital Adequacy in Commercial Banks: A Study of Bangladesh's Banking Sector," Papers, arXiv.org, number 2304.05935, Mar.
- Artem Lensky & Mingyu Hao, 2023, "Learning to Predict Short-Term Volatility with Order Flow Image Representation," Papers, arXiv.org, number 2304.02472, Apr, revised Mar 2024.
- Ofelia Bonesini & Antoine Jacquier & Alexandre Pannier, 2023, "Rough volatility, path-dependent PDEs and weak rates of convergence," Papers, arXiv.org, number 2304.03042, Apr, revised Jan 2025.
- Tomas E. Caravello & John Driffill & Turalay Kenc & Martin Sola, 2023, "Risk Aversion and Changes in Regime," Working Papers, Red Nacional de Investigadores en Economía (RedNIE), number 237, Apr.
- Silvia Rossetto & Nassima Selmane & Raffaele Stagliano, 2022, "Ownership concentration and firm risk: the moderating role of mid-sized blockholders," Post-Print, HAL, number hal-04067634, May, DOI: 10.1111/jbfa.12634.
- Kaihua Qin & Jens Ernstberger & Liyi Zhou & Philipp Jovanovic & Arthur Gervais, 2023, "Mitigating Decentralized Finance Liquidations with Reversible Call Options," Papers, arXiv.org, number 2303.15162, Feb, revised Mar 2023.
- Maurizio Trapanese & Michele Lanotte, 2023, "Financial intermediation and new technology: theoretical and regulatory implications of digital financial markets," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 758, Apr.