Report NEP-RMG-2023-11-13

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were announced in this report:

• Mahmoud Fatouh & Simone Giansante & Steven Ongena, 2023. "Leverage Ratio, Risk-Based Capital Requirements, and Risk-taking in the UK," Swiss Finance Institute Research Paper Series 23-91, Swiss Finance Institute.
• Dhaene, Jan & Robert, Christian Y. & Cheung, Ka Chun & Denuit, Michel, 2023. "An axiomatic theory for comonotonicity-based risk sharing," LIDAM Discussion Papers ISBA 2023028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Motte, Edouard & Hainaut, Donatien, 2023. "Partial hedging in rough volatility models," LIDAM Discussion Papers ISBA 2023026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Apoorva Nitsure & Youssef Mroueh & Mattia Rigotti & Kristjan Greenewald & Brian Belgodere & Mikhail Yurochkin & Jiri Navratil & Igor Melnyk & Jerret Ross, 2023. "Risk Aware Benchmarking of Large Language Models," Papers 2310.07132, arXiv.org, revised Jun 2024.
• Belhouari, Oussama & Deelstra, Griselda & Devolder, Pierre, 2023. "Hybrid life insurance valuation based on a new standard deviation premium principle in a stochastic interest rate framework," LIDAM Discussion Papers ISBA 2023023, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Pop, Izabela Luiza, 2022. "Applying SOBANE Strategy for Risk Management in Museums," MPRA Paper 118637, University Library of Munich, Germany.
• Olkhov, Victor, 2023. "Economic Theory as Successive Approximations of Statistical Moments," MPRA Paper 118722, University Library of Munich, Germany.
• Zoran Stoiljkovic, 2023. "Applying Reinforcement Learning to Option Pricing and Hedging," Papers 2310.04336, arXiv.org.
• Selva Bahar Baziki & María J. Nieto & Rima Turk-Ariss, 2023. "Sovereign portfolio composition and bank risk: the case of European banks," Working Papers 2325, Banco de España.
• Ron S. Jarmin & John M. Abowd & Robert Ashmead & Ryan Cumings-Menon & Nathan Goldschlag & Michael B. Hawes & Sallie Ann Keller & Daniel Kifer & Philip Leclerc & Jerome P. Reiter & Rolando A. Rodr'igue, 2023. "An In-Depth Examination of Requirements for Disclosure Risk Assessment," Papers 2310.09398, arXiv.org.