Printed from https://ideas.repec.org/n/nep-rmg/2023-07-17.html
Report NEP-RMG-2023-07-17
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:
- Grochola, Nicolaus & Schlütter, Sebastian, 2023, "Discretionary decisions in capital requirements under Solvency II," ICIR Working Paper Series, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR), number 50/23.
- Rangan Gupta & Qiang Ji & Christian Pierdzioch & Vasilios Plakandaras, 2023, "Forecasting the Conditional Distribution of Realized Volatility of Oil Price Returns: The Role of Skewness over 1859 to 2023," Working Papers, University of Pretoria, Department of Economics, number 202318, Jun.
- Çevik, Emre & Çevik, Emrah İsmail & Dibooglu, Sel & Cergibozan, Raif & Bugan, Mehmet Fatih & Destek, Mehmet Akif, 2022, "Connectedness and risk spillovers between crude oil and clean energy stock markets," MPRA Paper, University Library of Munich, Germany, number 117558, Sep.
- Li Lian Ong & Min Wei & Christian Schmieder, 2023, "Insights into credit loss rates: a global database," BIS Working Papers, Bank for International Settlements, number 1101, May.
- Zhenglong Li & Hejun Huang & Vincent Tam, 2023, "Combining Reinforcement Learning and Barrier Functions for Adaptive Risk Management in Portfolio Optimization," Papers, arXiv.org, number 2306.07013, Jun.
- Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023, "Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles," TSE Working Papers, Toulouse School of Economics (TSE), number 23-1444, Jun, revised Nov 2023.
- Item repec:ags:aaea22:335706 is not listed on IDEAS anymore
- Anisha Ghosh & Alexandros Theloudis, 2023, "Consumption Partial Insurance in the Presence of Tail Income Risk," Papers, arXiv.org, number 2306.13208, Jun, revised Nov 2025.
- Runyu Dai & Yasumasa Matsuda, 2023, "Estimation of Large Volatility Matrices with Low-Rank Signal Plus Sparse Noise Structures," DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University, number 135, Jun.
- Giacomo De Giorgi & Costanza Naguib, 2023, "Life after (Soft) Default," Papers, arXiv.org, number 2306.00574, Jun, revised Apr 2024.
- Liu, Lu, 2023, "The demand for long-term mortgage contracts and the role of collateral," ESRB Working Paper Series, European Systemic Risk Board, number 142, Jul.
- Hanson, Samuel & Malkhozov, Aytek & Venter, Gyuri, 2022, "Demand-supply imbalance risk and long-term swap spreads," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118868, Apr.
- Item repec:ags:aaea22:335771 is not listed on IDEAS anymore
- Shuo Han & Yinan Chen & Jiacheng Liu, 2023, "Optimizing Investment Strategies with Lazy Factor and Probability Weighting: A Price Portfolio Forecasting and Mean-Variance Model with Transaction Costs Approach," Papers, arXiv.org, number 2306.07928, Jun.
- David Hirshleifer & Dat Mai & Kuntara Pukthuanthong, 2023, "War Discourse and the Cross Section of Expected Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 31348, Jun.
- Masood Tadi & Jiří Witzany, 2023, "Copula-Based Trading of Cointegrated Cryptocurrency Pairs," FFA Working Papers, Prague University of Economics and Business, number 5.005, May, revised 03 May 2023.
- Philippe de Donder & Marie-Louise Leroux & François Salanié, 2023, "Advantageous selection without moral hazard," Post-Print, HAL, number hal-04120555, May, DOI: 10.1007/s11166-023-09412-4.
- Julian Holzermann, 2023, "Optimal Investment with Stochastic Interest Rates and Ambiguity," Papers, arXiv.org, number 2306.13343, Jun, revised Oct 2023.
- Chiara Canta & Øivind A. Nilsen & Simen A. Ulsaker & Øivind Anti Nilsen, 2023, "Competition and Risk Taking in Local Bank Markets: Evidence from the Business Loans Segment," CESifo Working Paper Series, CESifo, number 10448.
- Linda S. Goldberg, 2023, "Global Liquidity: Drivers, Volatility and Toolkits," Staff Reports, Federal Reserve Bank of New York, number 1064, Jun.
- Matt Darst & Mary Zhang, 2023, "Private Firm Repayment Vulnerabilities and Adverse Economic Conditions," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2023-05-16, May, DOI: 10.17016/2380-7172.3254.
- Li Lin & Didier Sornette, 2023, "A Parsimonious Inverse Cox-Ingersoll-Ross Process for Financial Price Modeling," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-41, Feb.
- Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2023, "Modeling and evaluating conditional quantile dynamics in VaR forecasts," Papers, arXiv.org, number 2305.20067, May.
- Zazueta, Jorge & Zazueta-Hernández, Jorge & Heredia, Andrea Chavez, 2023, "Support Vector Machines and Bankruptcy Prediction," SocArXiv, Center for Open Science, number 7z24k, Jun, DOI: 10.31219/osf.io/7z24k.