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Report NEP-RMG-2023-12-04
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:
- Weihuan Huang, 2023, "Estimating Systemic Risk within Financial Networks: A Two-Step Nonparametric Method," Papers, arXiv.org, number 2310.18658, Oct.
- Kang Gao & Stephen Weston & Perukrishnen Vytelingum & Namid R. Stillman & Wayne Luk & Ce Guo, 2023, "Deeper Hedging: A New Agent-based Model for Effective Deep Hedging," Papers, arXiv.org, number 2310.18755, Oct.
- Peter Albrecht & Evžen Kočenda, 2023, "Volatility Connectedness on the Central European Forex Markets," CESifo Working Paper Series, CESifo, number 10728.
- Aya Nasreddine & Yasmine Essafi Zouari, 2023, "Real Estate Tokens - Return-Risk Analysis of the First Years," ERES, European Real Estate Society (ERES), number eres2023_261, Jan.
- Ian Dew-Becker & Stefano Giglio, 2023, "Risk Preferences Implied by Synthetic Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 31833, Nov.
- Haoyang Cao & Haotian Gu & Xin Guo & Mathieu Rosenbaum, 2023, "Risk of Transfer Learning and its Applications in Finance," Papers, arXiv.org, number 2311.03283, Nov.
- Ben Höhn & Sven Bienert, 2023, "Assessing climate risk quantification tools - Mere fullfillment of duty or actually benefical," ERES, European Real Estate Society (ERES), number eres2023_188, Jan.
- Guan, Bo & Mazouz, Khelifa & Xu, Yongdeng, 2023, "Asymmetric volatility spillover between crude oil and other asset markets," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2023/27, Nov.
- Stephen Lee, 2023, "Correlation and Partial Correlation REIT Portfolios," ERES, European Real Estate Society (ERES), number eres2023_156, Jan.
- Lloyd, Simon & Fernández-Gallardo, Álvaro & Manuel, Ed, 2023, "The transmission of macroprudential policy in the tails: evidence from a narrative approach," ESRB Working Paper Series, European Systemic Risk Board, number 145, Nov.
- Stark, Oded, 2023, "Can Altruism Lead to a Willingness to Take Risks?," IZA Discussion Papers, Institute of Labor Economics (IZA), number 16573, Nov.
- Wei-Xing Zhou & Yun-Shi Dai & Kiet Tuan Duong & Peng-Fei Dai, 2023, "The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots," Papers, arXiv.org, number 2310.16850, Oct.
- Takao Asano & Yusuke Osaki, 2023, "Cross Risk Apportionment and Non-financial Correlated Background Uncertainty," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1098, Nov.
- Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023, "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Working Papers, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, number 23-04, Nov, revised Nov 2023.
- Hendrik Jenett, 2023, "Composition of Real Estate Values: Analyzing Time-Varying Credit and Market Data Using Neural Networks," ERES, European Real Estate Society (ERES), number eres2023_183, Jan.
- Julia Braun, 2023, "The Effect of the Countercyclical Capital Buffer on the Stability of the Housing Market," ERES, European Real Estate Society (ERES), number eres2023_18, Jan.
- Bednarek, Peter & Briukhova, Olga & Ongena, Steven & von Westernhagen, Natalja, 2023, "Effects of bank capital requirements on lending by banks and non-bank financial institutions," Discussion Papers, Deutsche Bundesbank, number 26/2023.
- Yun-Shi Dai & Ngoc Quang Anh Huynh & Qing-Huan Zheng & Wei-Xing Zhou, 2023, "Correlation structure analysis of the global agricultural futures market," Papers, arXiv.org, number 2310.16849, Oct.
- Oytun Hac{c}ar{i}z & Torsten Kleinow & Angus S. Macdonald, 2023, "On Technical Bases and Surplus in Life Insurance," Papers, arXiv.org, number 2310.16927, Oct.
- Wilhelm Breuer & Jonas Englert, 2023, "Diversification Benefits of Real Estate Private Debt in Real Estate Portfolios of Institutional Investors," ERES, European Real Estate Society (ERES), number eres2023_234, Jan.
- Brandon Goldstein & Julapa Jagtiani & Catharine Lemieux, 2023, "Did Fintech Loans Default More During the COVID-19 Pandemic? Were Fintech Firms “Cream-Skimming” the Best Borrowers?," Working Papers, Federal Reserve Bank of Philadelphia, number 23-26, Nov, DOI: 10.21799/frbp.wp.2023.26.
- Nandkumar Nayar & McKay Price & Ke Shen, 2023, "Strategic Default, Foreclosure Delay and Post-Default Wealth Accumulation," ERES, European Real Estate Society (ERES), number eres2023_23, Jan.