Printed from https://ideas.repec.org/n/nep-rmg/2023-10-02.html
Report NEP-RMG-2023-10-02
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:
- Elisa Al`os & Eulalia Nualart & Makar Pravosud, 2023, "On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model," Papers, arXiv.org, number 2308.15341, Aug, revised Feb 2025.
- Kiwoong Byun & Baeho Kim & Dong Hwan Oh, 2023, "Systemic Credit Risk Premium: Insights from Credit Derivatives Markets," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2023-055r1, Aug, revised 04 Aug 2025, DOI: 10.17016/FEDS.2023.055r1.
- Kapil Panda, 2023, "Analysis of Optimal Portfolio Management Using Hierarchical Clustering," Papers, arXiv.org, number 2308.11202, Aug.
- Carlos Cañon & Eddie Gerba & Alberto Pambira & Evarist Stoja, 2023, "An Unconventional FX Tail Risk Story," CESifo Working Paper Series, CESifo, number 10629.
- Andreas G. F. Hoepner & Ioannis Oikonomou & Zacharias Sautner & Laura T. Starks & Xiaoyan Zhou, 2023, "ESG Shareholder Engagement and Downside Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-77, Sep.
- Benjamin Joseph & Gregoire Loeper & Jan Obloj, 2023, "Joint Calibration of Local Volatility Models with Stochastic Interest Rates using Semimartingale Optimal Transport," Papers, arXiv.org, number 2308.14473, Aug.
- Chinara Azizova & Bruno Feunou & James Kyeong, 2023, "Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency," Discussion Papers, Bank of Canada, number 2023-19, Sep, DOI: 10.34989/sdp-2023-19.
- Elliot Beck & Damian Kozbur & Michael Wolf, 2023, "Hedging Forecast Combinations With an Application to the Random Forest," Papers, arXiv.org, number 2308.15384, Aug, revised Aug 2023.
- Zunaidah Sulong & Mohammad Abdullah & Emmanuel J. A. Abakah & David Adeabah & Simplice Asongu, 2023, "Russia-Ukraine war and G7 debt markets: Evidence from public sentiment towards economic sanctions during the conflict," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 23/057, Jan.
- Young Sik JEONG & Yaein BAEK, 2023, "Decoding Financial Crises: Analyzing Predictors and Evolution," World Economy Brief, Korea Institute for International Economic Policy, number 23-28, Aug.
- Carlos Madeira, 2023, "The evolution of consumption inequality and riskinsurance in Chile," Working Papers Central Bank of Chile, Central Bank of Chile, number 973, Apr.
- Alejandro Jara & Marco Piña, 2022, "Exchange rate volatility and the effectiveness of FX interventions: the case of Chile," Working Papers Central Bank of Chile, Central Bank of Chile, number 962, Sep.
- Bouwhuis, Dirck & Borm, Peter & Hendrickx, Ruud, 2023, "A Strategic Approach to Bankruptcy Problems Based on the TAL Family of Rules," Other publications TiSEM, Tilburg University, School of Economics and Management, number 250808dd-6109-4708-b175-d.