Printed from https://ideas.repec.org/n/nep-rmg/2023-08-14.html
Report NEP-RMG-2023-08-14
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:
- Francesco Della Corte & Gian Paolo Clemente & Nino Savelli, 2023, "A cohort-based Partial Internal Model for demographic risk," Papers, arXiv.org, number 2307.03090, Jul.
- David Lee, 2023, "Pricing and Hedging Guaranteed Equity Securities," Working Papers, HAL, number hal-04140384, Jun.
- Anand Deo & Karthyek Murthy, 2023, "Importance Sampling for Minimization of Tail Risks: A Tutorial," Papers, arXiv.org, number 2307.04676, Jul.
- Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023, "Testing for Multi-Asset Systemic Tail Risk," Working Papers, Federal Reserve Bank of St. Louis, number 2023-016, Jul, revised 09 Sep 2025, DOI: 10.20955/wp.2023.016.
- Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2023, "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Papers, arXiv.org, number 2307.01348, Jul.
- Viktor Kuzmenko & Anton Malandii & Stan Uryasev, 2023, "Expectile Quadrangle and Applications," Papers, arXiv.org, number 2306.16351, Jun, revised Jul 2023.
- Pierre Durand & Gaëtan Le Quang & Arnold Vialfont, 2023, "Are Basel III requirements up to the task? Evidence from bankruptcy prediction models," Erudite Working Paper, Erudite, number 2023-04.
- Claude Martini & Arianna Mingone, 2023, "A closed form model-free approximation for the Initial Margin of option portfolios," Papers, arXiv.org, number 2306.16346, Jun.
- Jaydip Sen & Subhasis Dasgupta, 2023, "Portfolio Optimization: A Comparative Study," Papers, arXiv.org, number 2307.05048, Jul.
- Qi Deng & Zhong-guo Zhou, 2023, "Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity," Papers, arXiv.org, number 2306.15807, Jun, revised Feb 2024.
- Bauwens, Luc & Xu, Yongdeng, 2023, "The contribution of realized covariance models to the economic value of volatility timing," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2023/20, Jul.
- Yannick Limmer & Blanka Horvath, 2023, "Robust Hedging GANs," Papers, arXiv.org, number 2307.02310, Jul.
- Grochola, Nicolaus & Gründl, Helmut & Kubitza, Christian, 2023, "Life insurance convexity," Working Paper Series, European Central Bank, number 2829, Jul.
- David Xiao, 2023, "Valuation of Equity Linked Securities with Guaranteed Return," Papers, arXiv.org, number 2306.15026, Jun.
- Mikhail Chernov & Magnus Dahlquist, 2023, "Currency Risk Premiums: A Multi-horizon Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 31418, Jun.
- Christophe Boucher & Wassim Le Lann & Stéphane Matton & Sessi Tokpavi, 2024, "Are ESG ratings informative to forecast idiosyncratic risk?," Working Papers, HAL, number hal-04140193, Jun.
- Lang, Jan Hannes & Menno, Dominik, 2023, "The state-dependent impact of changes in bank capital requirements," Working Paper Series, European Central Bank, number 2828, Jul.
- Saputra, Mohammad Fajar & Pandin, Maria Yovita R & Hastungkara, Hanif Dwi, 2023, "Implementation of Financial Resilience Against Global Recession Threat Issues," OSF Preprints, Center for Open Science, number 3gd8j, Jun, DOI: 10.31219/osf.io/3gd8j.
- Zhuyu Yang & Bruno Barroca & Katia Laffréchine & Alexandre Weppe & Aurélia Bony-Dandrieux & Nicolas Daclin, 2023, "A multi-criteria framework for critical infrastructure systems resilience," Post-Print, HAL, number hal-04135558, Sep, DOI: 10.1016/j.ijcip.2023.100616.