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. 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:

• Joana Passinhas & Ana Pereira, 2023. "A macroprudential look into the risk-return framework of banks’ profitability," Working Papers REM 2023/0265, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Fantazzini, Dean, 2023. "Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models," MPRA Paper 117141, University Library of Munich, Germany.
• St'ephane Cr'epey & Noufel Frikha & Azar Louzi, 2023. "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Papers 2304.01207, arXiv.org, revised Jul 2024.
• Julien Hambuckers & Marie Kratz & Antoine Usseglio-Carleve, 2023. "Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks," Papers 2304.06950, arXiv.org.
• Soumyadip Sarkar, 2023. "Managing Portfolio for Maximizing Alpha and Minimizing Beta," Papers 2304.05900, arXiv.org.
• Jiezhu Cheng & Kaizhu Huang & Zibin Zheng, 2023. "Can Perturbations Help Reduce Investment Risks? Risk-Aware Stock Recommendation via Split Variational Adversarial Training," Papers 2304.11043, arXiv.org, 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 202308, University of Pretoria, Department of Economics.
• Daoping Yu & Vytaras Brazauskas & Ricardas Zitikis, 2023. "Measuring Discrete Risks on Infinite Domains: Theoretical Foundations, Conditional Five Number Summaries, and Data Analyses," Papers 2304.02723, arXiv.org.
• Ruixue Jing & Luis Enrique Correa Rocha, 2023. "A network-based strategy of price correlations for optimal cryptocurrency portfolios," Papers 2304.02362, arXiv.org.
• Fjærvik, Thomas, 2023. "Crash risk in the Nordic Stock Market - a cross-sectional analysis," Discussion Papers 2023/5, Norwegian School of Economics, Department of Business and Management Science.
• Christopher P. Chambers & Georgios Gerasimou, 2023. "Non-diversified portfolios with subjective expected utility," Papers 2304.08059, arXiv.org, 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 2304.05794, arXiv.org.
• Tom, Daniel M. Ph.D., 2023. "Optimizing Risk Strategies in Multiple Dimensions," OSF Preprints 4e58b, Center for Open Science.
• 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 2305, University of Exeter, Department of Economics.
• Ha Nguyen, 2023. "Credit Risk and Financial Performance of Commercial Banks: Evidence from Vietnam," Papers 2304.08217, arXiv.org, revised Apr 2023.
• Maddalena Ghio & Linda Rousova & Dilyara Salakhova & Mr. German Villegas Bauer, 2023. "Derivative Margin Calls: A New Driver of MMF Flows," IMF Working Papers 2023/061, International Monetary Fund.
• Md Shah Naoaj, 2023. "Exploring the Determinants of Capital Adequacy in Commercial Banks: A Study of Bangladesh's Banking Sector," Papers 2304.05935, arXiv.org.
• Artem Lensky & Mingyu Hao, 2023. "Learning to Predict Short-Term Volatility with Order Flow Image Representation," Papers 2304.02472, arXiv.org, revised Mar 2024.
• Ofelia Bonesini & Antoine Jacquier & Alexandre Pannier, 2023. "Rough volatility, path-dependent PDEs and weak rates of convergence," Papers 2304.03042, arXiv.org.
• Tomas E. Caravello & John Driffill & Turalay Kenc & Martin Sola, 2023. "Risk Aversion and Changes in Regime," Working Papers 237, Red Nacional de Investigadores en Economía (RedNIE).
• Silvia Rossetto & Nassima Selmane & Raffaele Stagliano, 2022. "Ownership concentration and firm risk: the moderating role of mid-sized blockholders," Post-Print hal-04067634, HAL.
• Kaihua Qin & Jens Ernstberger & Liyi Zhou & Philipp Jovanovic & Arthur Gervais, 2023. "Mitigating Decentralized Finance Liquidations with Reversible Call Options," Papers 2303.15162, arXiv.org, 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) 758, Bank of Italy, Economic Research and International Relations Area.