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Report NEP-RMG-2024-02-26
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:
- Bernd Engelmann, 2024, "Spurious Default Probability Projections in Credit Risk Stress Testing Models," Papers, arXiv.org, number 2401.08892, Jan.
- Giulia Di Nunno & Emanuela Rosazza Gianin, 2024, "Cash non-additive risk measures: horizon risk and generalized entropy," Papers, arXiv.org, number 2401.14443, Jan, revised Jun 2024.
- Alona Shmygel & Steven Ongena, 2024, "Cyclical systemic risk and banks’ vulnerability," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-09, Jan.
- Henry Penikas, 2023, "Default correlation impact on the loan portfolio credit risk measurement for the "green" finance as an example," Bank of Russia Working Paper Series, Bank of Russia, number wps121, Dec.
- Miguel A. Duran, 2024, "The Risk-Return Relation in the Corporate Loan Market," Papers, arXiv.org, number 2401.12315, Jan.
- O. Didkovskyi & N. Jean & G. Le Pera & C. Nordio, 2024, "Cross-Domain Behavioral Credit Modeling: transferability from private to central data," Papers, arXiv.org, number 2401.09778, Jan.
- Takaaki Koike & Cathy W. S. Chen & Edward M. H. Lin, 2024, "Forecasting and Backtesting Gradient Allocations of Expected Shortfall," Papers, arXiv.org, number 2401.11701, Jan, revised Jun 2024.
- Item repec:rim:rimwps:24-01 is not listed on IDEAS anymore
- Bonga-Bonga, Lumengo & Montshioa, Keitumetse, 2024, "Navigating extreme market fluctuations: asset allocation strategies in developed vs. emerging economies," MPRA Paper, University Library of Munich, Germany, number 119910, Jan.
- Jozef Barunik & Lukas Vacha, 2024, "Predicting the volatility of major energy commodity prices: the dynamic persistence model," Papers, arXiv.org, number 2402.01354, Feb, revised Jul 2024.
- Lars Ericson & Xuejun Zhu & Xusi Han & Rao Fu & Shuang Li & Steve Guo & Ping Hu, 2024, "Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review," Papers, arXiv.org, number 2401.10370, Jan.
- Grant Rosenberger & Peter Zimmerman, 2024, "Interest Rate Risk at US Credit Unions," Working Papers, Federal Reserve Bank of Cleveland, number 24-03, Feb, DOI: 10.26509/frbc-wp-202403.
- Cisil Sarisoy, 2023, "Elevated Option-Implied Interest Rate Volatility and Downside Risks to Economic Activity," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2023-12-22, Dec, DOI: 10.17016/2380-7172.3404.
- Mr. Selim A Elekdag & Drilona Emrullahu & Sami Ben Naceur, 2024, "Does FinTech Increase Bank Risk Taking?," IMF Working Papers, International Monetary Fund, number 2024/017, Jan.
- Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2024, "Forecasting Growth-at-Risk of the United States: Housing Price versus Housing Sentiment or Attention," Working Papers, University of Pretoria, Department of Economics, number 202401, Jan.
- Lo Duca, Marco & Moccero, Diego & Parlapiano, Fabio, 2024, "The impact of macroeconomic and monetary policy shocks on credit risk in the euro area corporate sector," Working Paper Series, European Central Bank, number 2897, Jan.
- Riaz Ud Din & Salman Ahmed & Saddam Hussain Khan, 2024, "A Novel Decision Ensemble Framework: Customized Attention-BiLSTM and XGBoost for Speculative Stock Price Forecasting," Papers, arXiv.org, number 2401.11621, Jan.
- Djimoudjiel, Djekonbe & T. Rostand, Dany Dombu & MBATINA NODJI, NDILENGAR, 2024, "What lessons does the COVID-19 pandemic teach us about banking liquidity and information share in the CEMAC zone?," MPRA Paper, University Library of Munich, Germany, number 119666, Jan, revised 17 Jan 2024.
- Faccia, Donata & Maruhn, Franziska & Köhler-Ulbrich, Petra, 2024, "What drives banks’ credit standards? An analysis based on a large bank-firm panel," Working Paper Series, European Central Bank, number 2902, Feb.
- Jingyi Cao & Dongchen Li & Virginia R. Young & Bin Zou, 2024, "Optimal Insurance to Maximize Exponential Utility when Premium is Computed by a Convex Functional," Papers, arXiv.org, number 2401.08094, Jan.
- Henri Arno & Klaas Mulier & Joke Baeck & Thomas Demeester, 2024, "From Numbers to Words: Multi-Modal Bankruptcy Prediction Using the ECL Dataset," Papers, arXiv.org, number 2401.12652, Jan.
- Azmi, Nurul Najwanie Fatiehah, 2023, "A Study on KPJ Healthcare Sdn Bhd in Malaysia Performance and Its Determinants," MPRA Paper, University Library of Munich, Germany, number 119810, Dec.
- Jaqueline Terra Moura Marins, 2024, "Predictability of Exchange Rate Density Forecasts for Emerging Economies in the Short Run," Working Papers Series, Central Bank of Brazil, Research Department, number 588, Jan.