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Report NEP-RMG-2023-06-26
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:
- Kai Ren, 2023, "Study on Intelligent Forecasting of Credit Bond Default Risk," Papers, arXiv.org, number 2305.12142, May, revised Jun 2023.
- Peyman Alipour & Ali Foroush Bastani, 2023, "Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market," Papers, arXiv.org, number 2305.12539, May.
- Hainaut, Donatien & Akbaraly, Adnane, 2023, "Risk management with Local Least Squares Monte-Carlo," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2023003, Jan.
- Masanori Hirano & Kentaro Imajo & Kentaro Minami & Takuya Shimada, 2023, "Efficient Learning of Nested Deep Hedging using Multiple Options," Papers, arXiv.org, number 2305.12264, May.
- Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2023, "Backward Hedging for American Options with Transaction Costs," Papers, arXiv.org, number 2305.06805, May, revised Jun 2023.
- Kamil Fortuna & Janusz Szwabi'nski, 2023, "The Unified Framework for Modelling Credit Cycles with Marshall-Walras Price Formation Process And Systemic Risk Assessment," Papers, arXiv.org, number 2305.06337, May.
- Denuit, Michel & Robert, Christian Y., 2023, "Endowment contingency funds for mutual aid and public financing," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2023009, Feb.
- Matteo Benuzzi & Matteo Ploner, 2023, "Skewness-seeking behavior and financial investments," CEEL Working Papers, Cognitive and Experimental Economics Laboratory, Department of Economics, University of Trento, Italia, number 2301.
- Abdulnasser Hatemi-J & Alan Mustafa, 2023, "A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios," Papers, arXiv.org, number 2305.12826, May.
- Mogge, Lukas, 2023, "A District-Level Analysis of the Effect of Risk Exposure on the Demand for Index Insurance in Mongolia," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 1018, DOI: 10.4419/96973184.
- Matthew D. Rablen, 2023, "Loss Aversion, Risk Aversion, and the Shape of the Probability Weighting Function," Working Papers, The University of Sheffield, Department of Economics, number 2023013, Jun.
- Jozef Barunik & Lukas Vacha, 2023, "The Dynamic Persistence of Economic Shocks," Papers, arXiv.org, number 2306.01511, Jun, revised Jun 2025.
- Ricardo Crisóstomo, 2023, "Measuring Transition Risk in Investment Funds," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 8.
- Lavko, Matus & Klein, Tony & Walther, Thomas, 2023, "Reinforcement Learning and Portfolio Allocation: Challenging Traditional Allocation Methods," QBS Working Paper Series, Queen's University Belfast, Queen's Business School, number 2023/01, DOI: 10.2139/ssrn.4346043.
- Alexander Gairat & Vadim Shcherbakov, 2023, "Extreme ATM skew in a local volatility model with discontinuity: joint density approach," Papers, arXiv.org, number 2305.10849, May, revised May 2024.
- Patrick Bolton & Wei Jiang & Anastasia V. Kartasheva, 2023, "The Credit Suisse CoCo Wipeout: Facts, Misperceptions, and Lessons for Financial Regulation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-32, May.
- Denuit, Michel & Dhaene, Jan & Ghossoub, Mario & Robert, Christian Y., 2023, "Comonotonicity and Pareto Optimality, with Application to Collaborative Insurance," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2023005, Jan.
- Valérie Mignon & Jamel Saadaoui, 2023, "How Political Tensions and Geopolitical Risks Impact Oil Prices?," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2023-15.
- Maximilian Ahrens & Deniz Erdemlioglu & Michael McMahon & Christopher J. Neely & Xiye Yang, 2023, "Mind Your Language: Market Responses to Central Bank Speeches," Working Papers, Federal Reserve Bank of St. Louis, number 2023-013, May, revised 28 Sep 2024, DOI: 10.20955/wp.2023.013.
- David Cimon, 2023, "Crowdfunding and Risk," Staff Working Papers, Bank of Canada, number 23-28, May, DOI: 10.34989/swp-2023-28.
- Scott Alan Carson & Scott A. Carson, 2023, "Equity, Commodity, and Distillate Risk for Oil Upstream Producers and Downstream Consumers," CESifo Working Paper Series, CESifo, number 10426.
- Nina Boyarchenko & Richard K. Crump & Leonardo Elias & Ignacio Lopez Gaffney, 2023, "Look Out for Outlook-at-Risk," Liberty Street Economics, Federal Reserve Bank of New York, number 20230517, May.
- Nina Weber, 2023, "Prosocial Risk-Taking: Growing the Pie or Increasing your Slice?," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 399.
- Canta, Chiara & Nilsen, Øivind A. & Ulsaker, Simen A., 2023, "Competition and risk taking in local bank markets: evidence from the business loans segment," Discussion Paper Series in Economics, Norwegian School of Economics, Department of Economics, number 10/2023, May.
- Huansang Xu & Ruyi Liu & Marek Rutkowski, 2023, "Equity Protection Swaps: A New Type of Investment Insurance for Holders of Superannuation Accounts," Papers, arXiv.org, number 2305.09472, Apr, revised Apr 2024.
- Liu, Weilong & Zhang, Yong & Liu, Kailong & Quinn, Barry & Yang, Xingyu & Peng, Qiao, 2023, "Evolutionary multi-objective optimisation for large-scale portfolio selection with both random and uncertain returns," QBS Working Paper Series, Queen's University Belfast, Queen's Business School, number 2023/02, DOI: 10.2139/ssrn.4376779.
- Emmanuelle Auriol & Diego Delissaint & Maleke Fourati & Josepa Miquel-Florensa & Paul Seabright, 2021, "Betting on the Lord: lotteries and religiosity in Haiti," Post-Print, HAL, number hal-03353066, Aug, DOI: 10.1016/j.worlddev.2021.105441.
- Marwa Talbi & Rihab Bedoui & Christian de Peretti & Lotfi Belkacem, 2021, "Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches," Post-Print, HAL, number hal-03671370, Oct, DOI: 10.1016/j.resourpol.2021.102140.
- Ofentse, Goetswamang Phankie, 2022, "Evaluation of the prospects of hedging Botswana's maize prices against the Johannesburg Stock Exchange Commodity Market Derivative," Research Theses, Collaborative Masters Program in Agricultural and Applied Economics, number 334751, Jul, DOI: 10.22004/ag.econ.334751.