Printed from https://ideas.repec.org/n/nep-rmg/2023-06-12.html
Report NEP-RMG-2023-06-12
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:
- Sharjil M. Haque, 2023, "Does Private Equity Over-Lever Portfolio Companies?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2023-009, Feb, DOI: 10.17016/FEDS.2023.009.
- Björn Bos & Moritz A. Drupp & Jasper N. Meya & Martin F. Quaas, 2023, "Financial Risk-Taking under Health Risk," CESifo Working Paper Series, CESifo, number 10387.
- Hyeyoon Jung, 2023, "Does Corporate Hedging of Foreign Exchange Risk Affect Real Economic Activity?," Liberty Street Economics, Federal Reserve Bank of New York, number 20230412, Apr.
- Datta, Susanta & Hatekar, Neeraj, 2022, "Range Volatility Spillover across Sectoral Stock Indices during COVID-19 Pandemic: Evidence from Indian Stock Market," MPRA Paper, University Library of Munich, Germany, number 117285, Apr.
- Ke Wan & Alain Kornhauser, 2023, "Market Making and Pricing of Financial Derivatives based on Road Travel Times," Papers, arXiv.org, number 2305.02523, May, revised May 2023.
- Pierre Brugière & Gabriel Turinici, 2023, "Deep learning of Value at Risk through generative neural network models : the case of the Variational Auto Encoder," Post-Print, HAL, number hal-03880381, Apr, DOI: 10.1016/j.mex.2023.102192.
- Puriya Abbassi & Rajkamal Iyer & José-Luis Peydró & Paul E. Soto, 2023, "Stressed Banks? Evidence from the Largest-Ever Supervisory Review," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2023-021, Apr, DOI: 10.17016/FEDS.2023.021.
- Fabien Le Floc'h & Winfried Koller, 2023, "Maximum Implied Variance Slope -- Practical Aspects," Papers, arXiv.org, number 2304.13610, Apr.
- Hyeyoon Jung, 2023, "CRISK: Measuring the Climate Risk Exposure of the Financial System," Liberty Street Economics, Federal Reserve Bank of New York, number 20230420a, Apr.
- Benjamin Joseph & Gregoire Loeper & Jan Obloj, 2023, "Calibration of Local Volatility Models with Stochastic Interest Rates using Optimal Transport," Papers, arXiv.org, number 2305.00200, Apr, revised May 2025.
- Benjamin Dennis, 2023, "Household, Bank, and Insurer Exposure to Miami Hurricanes: a flow-of-risk analysis," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2023-013, Feb, DOI: 10.17016/FEDS.2023.013.
- Andrew Caplin & Victoria Gregory & Eungik Lee & Soren Leth-Petersen & Johan Sæverud, 2023, "Subjective Earnings Risk," Working Papers, Federal Reserve Bank of St. Louis, number 2023-003, Mar, revised 25 Apr 2025, DOI: 10.20955/wp.2023.003.
- Item repec:rim:rimwps:23-06 is not listed on IDEAS anymore
- Hammitt, James K., 2023, "Consistent Valuation of a Reduction in Mortality Risk using Values per Life, Life Year, and Quality-Adjusted Life Year," TSE Working Papers, Toulouse School of Economics (TSE), number 23-1431, May.
- Laura Veldkamp, 2022, "Understanding Uncertainty Shocks and the Role of Black Swans," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2022-083, Dec, DOI: 10.17016/FEDS.2022.083.
- Cuzzola, Angelo & Barbieri, Claudio & Bindseil, Ulrich, 2023, "Stress testing with multi-faceted liquidity: the central bank collateral framework as a financial stability tool," Working Paper Series, European Central Bank, number 2814, May.
- Ke Zhang, 2023, "Construct sparse portfolio with mutual fund's favourite stocks in China A share market," Papers, arXiv.org, number 2305.01642, Apr.
- Dangxing Chen & Weicheng Ye, 2023, "How to address monotonicity for model risk management?," Papers, arXiv.org, number 2305.00799, Apr, revised Sep 2023.
- Angélica Domínguez-Cardoza & Adelina Garamow & Josefin Meyer, 2022, "Global Commodity Markets and Sovereign Risk across 150 Years," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 2020.
- Manthos D Delis & Evangelos V Dioikitopoulos & Steven Ongena, 2023, "Population Diversity and Financial Risk-Taking," Post-Print, HAL, number hal-04083169, Apr.
- Emilia Garcia-Appendini & Stefano Gatti & Giacomo Nocera, 2022, "Does Asset Encumbrance Affect Bank Risk? Evidence from Covered Bonds," Post-Print, HAL, number hal-04057165, Oct, DOI: 10.1016/j.jbankfin.2022.106705.
- Mengge Li & Shuaijie Qian & Chao Zhou, 2023, "Robust Equilibrium Strategy for Mean-Variance Portfolio Selection," Papers, arXiv.org, number 2305.07166, May, revised May 2023.
- Richard Berner & Marco Cipriani & Michael Holscher & Antoine Martin & Patrick E. McCabe, 2023, "Mitigating the Risk of Runs on Uninsured Deposits: the Minimum Balance at Risk," Liberty Street Economics, Federal Reserve Bank of New York, number 20230414, Apr.
- Yuanhua Feng & Thomas Gries & Sebastian Letmathe, 2023, "FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 156, Jun.
- Liyuan Lin & Fangda Liu & Jingzhen Liu abd Luyang Yu, 2023, "The optimal reinsurance strategy with price-competition between two reinsurers," Papers, arXiv.org, number 2305.00509, Apr.
- Yunjong Eo & James Morley, 2023, "Does the Survey of Professional Forecasters Help Predict the Shape of Recessions in Real Time? ," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2023-24, May.
- Stefania D'Amico & Thomas B. King, 2023, "One Asset Does Not Fit All: Inflation Hedging by Index and Horizon," Working Paper Series, Federal Reserve Bank of Chicago, number WP 2023-08, Apr, DOI: 10.21033/wp-2023-08.