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. 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:

• Bernd Engelmann, 2024. "Spurious Default Probability Projections in Credit Risk Stress Testing Models," Papers 2401.08892, arXiv.org.
• Giulia Di Nunno & Emanuela Rosazza Gianin, 2024. "Cash non-additive risk measures: horizon risk and generalized entropy," Papers 2401.14443, arXiv.org, revised Jun 2024.
• Alona Shmygel & Steven Ongena, 2024. "Cyclical systemic risk and banks’ vulnerability," Swiss Finance Institute Research Paper Series 24-09, Swiss Finance Institute.
• 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 wps121, Bank of Russia.
• Miguel A. Duran, 2024. "The Risk-Return Relation in the Corporate Loan Market," Papers 2401.12315, arXiv.org.
• O. Didkovskyi & N. Jean & G. Le Pera & C. Nordio, 2024. "Cross-Domain Behavioral Credit Modeling: transferability from private to central data," Papers 2401.09778, arXiv.org.
• Takaaki Koike & Cathy W. S. Chen & Edward M. H. Lin, 2024. "Forecasting and Backtesting Gradient Allocations of Expected Shortfall," Papers 2401.11701, arXiv.org, revised Jun 2024.
• Georgios Bampinas & Theodore Panagiotidis, 2024. "How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?," Working Paper series 24-01, Rimini Centre for Economic Analysis.
• Bonga-Bonga, Lumengo & Montshioa, Keitumetse, 2024. "Navigating extreme market fluctuations: asset allocation strategies in developed vs. emerging economies," MPRA Paper 119910, University Library of Munich, Germany.
• Jozef Barunik & Lukas Vacha, 2024. "Predicting the volatility of major energy commodity prices: the dynamic persistence model," Papers 2402.01354, arXiv.org, 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 2401.10370, arXiv.org.
• Grant Rosenberger & Peter Zimmerman, 2024. "Interest Rate Risk at US Credit Unions," Working Papers 24-03, Federal Reserve Bank of Cleveland.
• Cisil Sarisoy, 2023. "Elevated Option-Implied Interest Rate Volatility and Downside Risks to Economic Activity," FEDS Notes 2023-12-22, Board of Governors of the Federal Reserve System (U.S.).
• Mr. Selim A Elekdag & Drilona Emrullahu & Sami Ben Naceur, 2024. "Does FinTech Increase Bank Risk Taking?," IMF Working Papers 2024/017, International Monetary Fund.
• Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2024. "Forecasting Growth-at-Risk of the United States: Housing Price versus Housing Sentiment or Attention," Working Papers 202401, University of Pretoria, Department of Economics.
• 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 2897, European Central Bank.
• 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 2401.11621, arXiv.org.
• 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 119666, University Library of Munich, Germany, 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 2902, European Central Bank.
• 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 2401.08094, arXiv.org.
• Henri Arno & Klaas Mulier & Joke Baeck & Thomas Demeester, 2024. "From Numbers to Words: Multi-Modal Bankruptcy Prediction Using the ECL Dataset," Papers 2401.12652, arXiv.org.
• Azmi, Nurul Najwanie Fatiehah, 2023. "A Study on KPJ Healthcare Sdn Bhd in Malaysia Performance and Its Determinants," MPRA Paper 119810, University Library of Munich, Germany.
• Jaqueline Terra Moura Marins, 2024. "Predictability of Exchange Rate Density Forecasts for Emerging Economies in the Short Run," Working Papers Series 588, Central Bank of Brazil, Research Department.