Printed from https://ideas.repec.org/n/nep-rmg/2023-05-22.html
Report NEP-RMG-2023-05-22
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:
- Zhang, Ning & Gong, Yujing & Xue, Xiaohan, 2023, "Less disagreement, better forecasts: adjusted risk measures in the energy futures market," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118451, Oct.
- Ryuichiro Hashimoto & Kakeru Miura & Yasunori Yoshizaki, 2023, "Application of Machine Learning to a Credit Rating Classification Model: Techniques for Improving the Explainability of Machine Learning," Bank of Japan Working Paper Series, Bank of Japan, number 23-E-6, Apr.
- Ahmad W. Bitar & Nathan de Carvalho & Valentin Gatignol, 2023, "Covariance matrix estimation for robust portfolio allocation," Working Papers, HAL, number hal-04046454, Mar.
- Jiwook Kim & Minhyeok Lee, 2023, "Portfolio Optimization using Predictive Auxiliary Classifier Generative Adversarial Networks with Measuring Uncertainty," Papers, arXiv.org, number 2304.11856, Apr.
- Ha Nguyen, 2023, "Particle MCMC in forecasting frailty correlated default models with expert opinion," Papers, arXiv.org, number 2304.11586, Apr, revised Aug 2023.
- António Portugal Duarte & Fátima Sol & Nuno Baetas da Silva & Beatriz Rodrigues Vieira, 2023, "Flip the coin: Heads, tails or cryptocurrencies?," CeBER Working Papers, Centre for Business and Economics Research (CeBER), University of Coimbra, number 2023-02, Mar.
- Lihong McPhail & Philipp Schnabl & Bruce Tuckman, 2023, "Do Banks Hedge Using Interest Rate Swaps?," NBER Working Papers, National Bureau of Economic Research, Inc, number 31166, Apr.
- Furuoka, Fumitaka & Yaya, OlaOluwa S & Ling, Piu Kiew & Al-Faryan, Mamdouh Abdulaziz Saleh & Islam, M. Nazmul, 2023, "Transmission of risks between energy and agricultural commodities: Frequency time-varying VAR, asymmetry and portfolio management," MPRA Paper, University Library of Munich, Germany, number 117003, Feb, revised 04 Dec 2022.
- Kyungsub Lee, 2023, "Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data," Papers, arXiv.org, number 2304.11883, Apr.
- Sallai, Dorottya & Schnyder, Gerhard & Kinderman, Daniel & Nölke, Andreas, 2023, "The antecedents of MNC political risk and uncertainty under right-wing populist governments," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118668, Apr.
- Tommaso Gasparini, 2023, "Imperfect Banking Competition and the Propagation of Uncertainty Shocks," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2023_416, Apr.
- Slava Mikhed & Sahil Raina & Barry Scholnick & Man Zhang, 2022, "Debtor Fraud in Consumer Debt Renegotiation," Working Papers, Federal Reserve Bank of Philadelphia, number 22-35, Oct, DOI: 10.21799/frbp.wp.2022.35.
- Vitaly Meursault & Daniel Moulton & Larry Santucci & Nathan Schor, 2022, "One Threshold Doesn’t Fit All: Tailoring Machine Learning Predictions of Consumer Default for Lower-Income Areas," Working Papers, Federal Reserve Bank of Philadelphia, number 22-39, Nov, DOI: 10.21799/frbp.wp.2022.39.
- Breen, Casey & Seltzer, Nathan, 2023, "The Unpredictability of Individual-Level Longevity," SocArXiv, Center for Open Science, number znsqg, Apr, DOI: 10.31219/osf.io/znsqg.