Printed from https://ideas.repec.org/n/nep-rmg/2023-05-29.html
Report NEP-RMG-2023-05-29
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, Banco de Portugal, Economics and Research Department, number w202303.
- Zlata Tabachov'a & Christian Diem & Andr'as Borsos & Csaba Burger & Stefan Thurner, 2023, "Estimating the impact of supply chain network contagion on financial stability," Papers, arXiv.org, number 2305.04865, May.
- Yannick Hoga, 2023, "The Estimation Risk in Extreme Systemic Risk Forecasts," Papers, arXiv.org, number 2304.10349, Apr.
- Paulo M.M. Rodrigues & João Nicolau, 2023, "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Working Papers, Banco de Portugal, Economics and Research Department, number w202306.
- Ashish Dhiman, 2023, "UQ for Credit Risk Management: A deep evidence regression approach," Papers, arXiv.org, number 2305.04967, May, revised May 2023.
- Gergely Ganics & María Rodríguez-Moreno, 2022, "A house price-at-risk model to monitor the downside risk for the spanish housing market," Working Papers, Banco de España, number 2244, Dec, DOI: https://doi.org/10.53479/29472.
- Carmen Broto & Luis Fernández Lafuerza & Mariya Melnychuk, 2022, "Do buffer requirements for european systemically important banks make them less systemic?," Working Papers, Banco de España, number 2243, Dec, DOI: https://doi.org/10.53479/24876.
- Ali Shirazi & Fereshteh Sadeghi Naieni Fard, 2023, "Financial Hedging and Risk Compression, A journey from linear regression to neural network," Papers, arXiv.org, number 2305.04801, Apr.
- Mohamed Omari & Mohamed Benhrimida, 2023, "Risk management in the health sector: Case of a medical analysis laboratory in Morocco
[Management des risques dans le secteur de la santé : Cas d'un laboratoire d'analyses médicales au Maroc Risk ," Post-Print, HAL, number hal-04065378, Apr, DOI: 10.5281/zenodo.7810865. - Jason Brown & Nida Çakır Melek & Johannes Matschke & Sai Sattiraju, 2023, "The Missing Tail Risk in Option Prices," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 23-02, Mar, DOI: 10.18651/RWP2023-02.
- Bampinas, Georgios & Panagiotidis, Theodore, 2023, "How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?," MPRA Paper, University Library of Munich, Germany, number 117094, Jan.
- José E. Gutiérrez & Luis Fernández Lafuerza, 2022, "Credit Line Runs and Bank Risk Management: Evidence from the Disclosure of Stress Test Results," Working Papers, Banco de España, number 2245, Dec, DOI: https://doi.org/10.53479/25006.
- Jie Dong, 2023, "Study on the Identification of Financial Risk Path Under the Digital Transformation of Enterprise Based on DEMATEL-ISM-MICMAC," Papers, arXiv.org, number 2305.04216, May.
- Andrew Na & Meixin Zhang & Justin Wan, 2023, "Computing Volatility Surfaces using Generative Adversarial Networks with Minimal Arbitrage Violations," Papers, arXiv.org, number 2304.13128, Apr, revised Dec 2023.
- Fang Cai & Grace Chuan & Kevin Henry & Chaehee Shin & Tugkan Tuzun, 2023, "New Insights from N-CEN: Liquidity Management at Open-End Funds and Primary Market Concentration of ETFs," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2023-01-11, Jan, DOI: 10.17016/2380-7172.3226.
- Luis Fernando Melo-Velandia & José Vicente Romero & Mahicol Stiben Ramírez-González, 2023, "The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach," Borradores de Economia, Banco de la Republica de Colombia, number 1231, May, DOI: 10.32468/be.1231.
- Viral V. Acharya & Richard Berner & Robert Engle & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao, 2023, "Climate Stress Testing," Staff Reports, Federal Reserve Bank of New York, number 1059, Apr.
- Carsten H. Chong & Viktor Todorov, 2023, "Volatility of Volatility and Leverage Effect from Options," Papers, arXiv.org, number 2305.04137, May, revised Jan 2024.
- Duncan Ermini Leaf, 2023, "Risk management in the use of published statistical results for policy decisions," Papers, arXiv.org, number 2305.03205, May, revised Aug 2024.
- Christian Bongiorno & Marco Berritta, 2023, "Optimal Covariance Cleaning for Heavy-Tailed Distributions: Insights from Information Theory," Papers, arXiv.org, number 2304.14098, Apr, revised Apr 2023.
- Ranoua Bouchouicha & Jilong Wu & Ferdinand M. Vieider, 2023, "Choice lists and standard patterns of risk-taking," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 23/1068, May.
- Lorenzo Bastianello & Alain Chateauneuf & Bernard Cornet, 2023, "Gain-Loss Hedging and Cumulative Prospect Theory," Papers, arXiv.org, number 2304.14843, Apr.
- Liao, Yanjun (Penny) & Mulder, Philip, 2021, "What’s at Stake? Understanding the Role of Home Equity in Flood Insurance Demand," RFF Working Paper Series, Resources for the Future, number 21-25, Aug.
- Antoine Jacquier & Zan Zuric, 2023, "Random neural networks for rough volatility," Papers, arXiv.org, number 2305.01035, May.
- Wolf Wagner & Jing Zeng, 2023, "Too-many-to-fail and the Design of Bailout Regimes," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 230, May.
- Item repec:pra:mprapa:117213 is not listed on IDEAS anymore
- Item repec:hal:wpaper:hal-04071242 is not listed on IDEAS anymore
- Karsten Neuhoff & Fernanda Ballesteros & Mats Kröger & Jörn C. Richstein, 2023, "Contracting Matters: Hedging Producers and Consumers with a Renewable Energy Pool," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 2035.