Report NEP-RMG-2023-07-17

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:

• Grochola, Nicolaus & Schlütter, Sebastian, 2023. "Discretionary decisions in capital requirements under Solvency II," ICIR Working Paper Series 50/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
• Rangan Gupta & Qiang Ji & Christian Pierdzioch & Vasilios Plakandaras, 2023. "Forecasting the Conditional Distribution of Realized Volatility of Oil Price Returns: The Role of Skewness over 1859 to 2023," Working Papers 202318, University of Pretoria, Department of Economics.
• Çevik, Emre & Çevik, Emrah İsmail & Dibooglu, Sel & Cergibozan, Raif & Bugan, Mehmet Fatih & Destek, Mehmet Akif, 2022. "Connectedness and risk spillovers between crude oil and clean energy stock markets," MPRA Paper 117558, University Library of Munich, Germany.
• Li Lian Ong & Min Wei & Christian Schmieder, 2023. "Insights into credit loss rates: a global database," BIS Working Papers 1101, Bank for International Settlements.
• Zhenglong Li & Hejun Huang & Vincent Tam, 2023. "Combining Reinforcement Learning and Barrier Functions for Adaptive Risk Management in Portfolio Optimization," Papers 2306.07013, arXiv.org.
• Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023. "Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles," TSE Working Papers 23-1444, Toulouse School of Economics (TSE), revised Nov 2023.
• Item repec:ags:aaea22:335706 is not listed on IDEAS anymore

• Anisha Ghosh & Alexandros Theloudis, 2023. "Consumption Partial Insurance in the Presence of Tail Income Risk," Papers 2306.13208, arXiv.org, revised Jul 2024.
• Runyu Dai & Yasumasa Matsuda, 2023. "Estimation of Large Volatility Matrices with Low-Rank Signal Plus Sparse Noise Structures," DSSR Discussion Papers 135, Graduate School of Economics and Management, Tohoku University.
• Giacomo De Giorgi & Costanza Naguib, 2023. "Life after (Soft) Default," Papers 2306.00574, arXiv.org, revised Apr 2024.
• Liu, Lu, 2023. "The demand for long-term mortgage contracts and the role of collateral," ESRB Working Paper Series 142, European Systemic Risk Board.
• Hanson, Samuel & Malkhozov, Aytek & Venter, Gyuri, 2022. "Demand-supply imbalance risk and long-term swap spreads," LSE Research Online Documents on Economics 118868, London School of Economics and Political Science, LSE Library.
• Item repec:ags:aaea22:335771 is not listed on IDEAS anymore

• Shuo Han & Yinan Chen & Jiacheng Liu, 2023. "Optimizing Investment Strategies with Lazy Factor and Probability Weighting: A Price Portfolio Forecasting and Mean-Variance Model with Transaction Costs Approach," Papers 2306.07928, arXiv.org.
• David Hirshleifer & Dat Mai & Kuntara Pukthuanthong, 2023. "War Discourse and the Cross Section of Expected Stock Returns," NBER Working Papers 31348, National Bureau of Economic Research, Inc.
• Masood Tadi & Jiří Witzany, 2023. "Copula-Based Trading of Cointegrated Cryptocurrency Pairs," FFA Working Papers 5.005, Prague University of Economics and Business, revised 03 May 2023.
• Philippe de Donder & Marie-Louise Leroux & François Salanié, 2023. "Advantageous selection without moral hazard," Post-Print hal-04120555, HAL.
• Julian Holzermann, 2023. "Optimal Investment with Stochastic Interest Rates and Ambiguity," Papers 2306.13343, arXiv.org, revised Oct 2023.
• Chiara Canta & Øivind A. Nilsen & Simen A. Ulsaker & Øivind Anti Nilsen, 2023. "Competition and Risk Taking in Local Bank Markets: Evidence from the Business Loans Segment," CESifo Working Paper Series 10448, CESifo.
• Linda S. Goldberg, 2023. "Global Liquidity: Drivers, Volatility and Toolkits," Staff Reports 1064, Federal Reserve Bank of New York.
• Matt Darst & Mary Zhang, 2023. "Private Firm Repayment Vulnerabilities and Adverse Economic Conditions," FEDS Notes 2023-05-16, Board of Governors of the Federal Reserve System (U.S.).
• Li Lin & Didier Sornette, 2023. "A Parsimonious Inverse Cox-Ingersoll-Ross Process for Financial Price Modeling," Swiss Finance Institute Research Paper Series 23-41, Swiss Finance Institute.
• Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2023. "Modeling and evaluating conditional quantile dynamics in VaR forecasts," Papers 2305.20067, arXiv.org.
• Zazueta, Jorge & Zazueta-Hernández, Jorge & Heredia, Andrea Chavez, 2023. "Support Vector Machines and Bankruptcy Prediction," SocArXiv 7z24k, Center for Open Science.