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Report NEP-RMG-2023-10-16
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:
- Lee, David, 2023, "Default Forecasting and Credit Valuation Adjustment," MPRA Paper, University Library of Munich, Germany, number 118578, Sep.
- Alona Shmygel, 2023, "Measuring the link between cyclical systemic risk and capital adequacy for Ukrainian banking sector," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 17-2023, Sep.
- Ghosh, Anisha & Theloudis, Alexandros, 2023, "Consumption Partial Insurance in the Presence of Tail Income Risk," Discussion Paper, Tilburg University, Center for Economic Research, number 2023-024.
- Kyriakos Georgiou & Athanasios N. Yannacopoulos, 2023, "Probability of Default modelling with L\'evy-driven Ornstein-Uhlenbeck processes and applications in credit risk under the IFRS 9," Papers, arXiv.org, number 2309.12384, Sep.
- Tomasz R. Bielecki & Igor Cialenco & Hao Liu, 2023, "Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions," Papers, arXiv.org, number 2309.02570, Sep, revised Sep 2023.
- Salgado Alfredo & Trujillo Alejandro, 2023, "Growth at Risk and Uncertainty: Evidence from Mexico," Working Papers, Banco de México, number 2023-08, Sep.
- Umang Khetan & Ioana Neamțu & Ishita Sen, 2023, "The market for sharing interest rate risk: quantities behind prices," Bank of England working papers, Bank of England, number 1031, Jul.
- David Xiao, 2023, "Default Process Modeling and Credit Valuation Adjustment," Papers, arXiv.org, number 2309.03311, Sep.
- Yutong Chen & Paul Bilokon & Conan Hales & Laura Kerr, 2023, "Real-time VaR Calculations for Crypto Derivatives in kdb+/q," Papers, arXiv.org, number 2309.06393, Sep.
- González, Fernando & Triandafil, Cristina Morar, 2023, "The European significant risk transfer securitisation market," ESRB Occasional Paper Series, European Systemic Risk Board, number 23, Oct.
- Skjold, Benjamin & Steinkamp, Simon Richard & Hulme, Oliver J & Peters, Ole & Connaughton, Colm, 2023, "Are risk preferences optimal?," OSF Preprints, Center for Open Science, number ew2sx, Sep, DOI: 10.31219/osf.io/ew2sx.
- David Aikman & Daniel Beale & Adam Brinley-Codd & Giovanni Covi & Anne‑Caroline Hüser & Caterina Lepore, 2023, "Macroprudential stress‑test models: a survey," Bank of England working papers, Bank of England, number 1037, Aug.
- Sirio Aramonte & Andreas Schrimpf & Hyun Song Shin, 2023, "Margins, debt capacity, and systemic risk," BIS Working Papers, Bank for International Settlements, number 1121, Sep.
- Greg Adams & Maksym Tupis, 2023, "Tattle-tails: Gauging downside risks using option prices," Staff Analytical Notes, Bank of Canada, number 2023-13, Sep, DOI: 10.34989/san-2023-13.