Report NEP-RMG-2023-12-18

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Shu Ling Chiang & Ming Shann Tsai, 2023, "A Valuation Model of Mortgage Insurance Premiums Considering the Target Prescribed Capital Requirement for Systematic Risk," ERES, European Real Estate Society (ERES), number eres2023_165, Jan.
• Nuscheler, Robert & Vaclahovsky, Simon, 2023, "Optimal Risk Adjustment: The Trade-off between Risk Selection and Upcoding," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage", Verein für Socialpolitik / German Economic Association, number 277663.
• Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2023, "Expecting the unexpected: Stressed scenarios for economic growth," Working Papers, University of California at Riverside, Department of Economics, number 202314, Nov.
• Kostic, Natalija & Muthsam, Viktoria & Laux, Christian, 2023, "Accounting Changes and Enforcement of Bank Capital Requirements in a Crisis," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage", Verein für Socialpolitik / German Economic Association, number 277694.
• Roberto Daluiso, 2023, "Fast and Stable Credit Gamma of CVA," Papers, arXiv.org, number 2311.11672, Nov.
• Michele Azzone & Maria Chiara Pocelli & Davide Stocco, 2023, "Hedging carbon risk with a network approach," Papers, arXiv.org, number 2311.12450, Nov, revised Mar 2024.
• Viral V. Acharya & Toomas Laarits, 2023, "When do Treasuries Earn the Convenience Yield? — A Hedging Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 31863, Nov.
• Christis Katsouris, 2023, "Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models," Papers, arXiv.org, number 2311.08218, Nov, revised Apr 2024.
• Grochola, Nicolaus, 2023, "The influence of negative interest rates on life insurance companies," ICIR Working Paper Series, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR), number 53/23.
• Alexandros Skouralis & Nicole Lux & Mark Andrew, 2023, "Does flood risk affect property prices?," ERES, European Real Estate Society (ERES), number eres2023_79, Jan.
• Maximilian Blesch & Philipp Eisenhauer, 2023, "Robust Decision-Making under Risk and Ambiguity," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 463, Nov.
• Michael S. Barr, 2023, "The Importance of Effective Liquidity Risk Management: A speech at the ECB Forum on Banking Supervision, Frankfurt, Germany., December 1, 2023," Speech, Board of Governors of the Federal Reserve System (U.S.), number 97405, Dec.
• Emile A. Marin & Sanjay R. Singh, 2023, "Low Risk Sharing with Many Assets," Working Papers, University of California, Davis, Department of Economics, number 361, Dec.
• Sascha Desmettre & Sebastian Merkel & Annalena Mickel & Alexander Steinicke, 2023, "Worst-Case Optimal Investment in Incomplete Markets," Papers, arXiv.org, number 2311.10021, Nov, revised Dec 2024.
• Marcello D'Amato & Christian Di Pietro & Marco M. Sorge, 2023, "Left and Right: A Tale of Two Tails of the Wealth Distribution," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 691, Nov.
• Francesco Ruscitti & Ram Sewak Dubey & Giorgio Laguzzi, 2023, "Decision-making under risk: when is utility maximization equivalent to risk minimization?," Papers, arXiv.org, number 2311.07269, Nov.
• Alexej Brauer, 2023, "Enhancing Actuarial Non-Life Pricing Models via Transformers," Papers, arXiv.org, number 2311.07597, Nov, revised Jun 2024.
• Mohammad Hosein HoushmandRad & Mohammadreza Fetanatfardhaghighi, 2023, "Advanced Strategic Management (Strategy, Risk and Improve quality)," Post-Print, HAL, number hal-04254927, Sep.
• Nick James & Max Menzies, 2023, "Portfolio diversification with varying investor abilities," Papers, arXiv.org, number 2311.06519, Nov, revised Dec 2023.
• Leonard Mushunje & Maxwell Mashasha & Edina Chandiwana, 2023, "Short-term Volatility Estimation for High Frequency Trades using Gaussian processes (GPs)," Papers, arXiv.org, number 2311.10935, Nov.
• Rawin Assabumrungrat & Kentaro Minami & Masanori Hirano, 2023, "Error Analysis of Option Pricing via Deep PDE Solvers: Empirical Study," Papers, arXiv.org, number 2311.07231, Nov.
• Jirong Zhuang & Deng Ding & Weiguo Lu & Xuan Wu & Gangnan Yuan, 2023, "A Gaussian Process Based Method with Deep Kernel Learning for Pricing High-dimensional American Options," Papers, arXiv.org, number 2311.07211, Nov, revised Apr 2024.