Printed from https://ideas.repec.org/n/nep-rmg/2023-06-19.html
Report NEP-RMG-2023-06-19
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:
- Baishuai Zuo & Chuancun Yin & Jing Yao, 2023, "Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions," Papers, arXiv.org, number 2305.09097, May.
- Pierre Durand & Gaëtan Le Quang & Arnold Vialfont, 2023, "Are Basel III requirements up to the task? Evidence from bankruptcy prediction models," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 2308.
- Aigner, Philipp, 2023, "Identifying scenarios for the own risk and solvency assessment of insurance companies," ICIR Working Paper Series, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR), number 48/23.
- Makoto Okawara & Akihiko Takahashi, 2023, "Optimal Loan Portfolio under Regulatory and Internal Constraints," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-1214, May.
- Silvana M. Pesenti & Sebastian Jaimungal & Yuri F. Saporito & Rodrigo S. Targino, 2023, "Risk Budgeting Allocation for Dynamic Risk Measures," Papers, arXiv.org, number 2305.11319, May, revised Oct 2024.
- Julien Hambuckers & Marie Kratz & Antoine Usseglio-Carleve, 2023, "Efficient Estimation In Extreme Value Regression Models Of Hedge Fund Tail Risks," Working Papers, HAL, number hal-04090916, Apr.
- Leccadito, Arturo & Staino, Alessandro & Toscano, Pietro, 2022, "A Novel Robust Method for Estimating the Covariance Matrix of Financial Returns with Applications to Risk Management," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2022011, Nov.
- Dejian Tian & Xunlian Wang, 2023, "Dynamic star-shaped risk measures and $g$-expectations," Papers, arXiv.org, number 2305.02481, May.
- Denuit, Michel & Robert, Christian Y., 2023, "Conditional mean risk sharing of independent discrete losses in large pools," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2023010, Mar.
- Duden, Christoph & Offermann, Frank & Mußhoff, Oliver, 2023, "Comparing experiments for modelling farm risk management decisions with a focus on extreme weather losses," DARE Discussion Papers, Georg-August University of Göttingen, Department of Agricultural Economics and Rural Development (DARE), number 2301.
- Aigner, Philipp & Schlütter, Sebastian, 2023, "Enhancing gradient capital allocation with orthogonal convexity scenarios," ICIR Working Paper Series, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR), number 47/23.
- Ulrich Hege & Elaine Hutson & Elaine Laing, 2021, "Mandatory governance reform and corporate risk management," Post-Print, HAL, number hal-03353022, Jun, DOI: 10.1016/j.jcorpfin.2021.101935.
- Christis Katsouris, 2023, "Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models," Papers, arXiv.org, number 2305.11282, May, revised Jul 2023.
- Maxime Markov & Vladimir Markov, 2023, "Portfolio Optimization Rules beyond the Mean-Variance Approach," Papers, arXiv.org, number 2305.08530, May, revised Nov 2023.
- Georges Dionne & Rayane El Hraiki & Mohamed Mnasri, 2023, "Determinants and real effects of joint hedging: An empirical analysis of US oil and gas producers," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 23-3, May.
- Sumanjay Dutta & Shashi Jain, 2023, "Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation," Papers, arXiv.org, number 2305.11298, May.
- René M. Stulz, 2023, "Crisis Risk and Risk Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 31252, May.
- Felix Fie{ss}inger & Mitja Stadje, 2023, "Time-Consistent Asset Allocation for Risk Measures in a L\'evy Market," Papers, arXiv.org, number 2305.09471, May, revised Feb 2026.
- Julio Gálvez, 2022, "Measuring the equity risk premium with dividend discount models," Occasional Papers, Banco de España, number 2207, May.
- Dimitris Korobilis & Maximilian Schroder, 2023, "Monitoring multicountry macroeconomic risk," Papers, arXiv.org, number 2305.09563, May.
- Chase P. Ross & Landon J. Ross, 2022, "Cash-Hedged Stock Returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2022-055, Aug, DOI: 10.17016/FEDS.2022.055.
- Riza Demirer & David Gabauer & Rangan Gupta & Joshua Nielsen, 2023, "Gold-to-Platinum Price Ratio and the Predictability of Bubbles in Financial Markets," Working Papers, University of Pretoria, Department of Economics, number 202317, May.