Report NEP-RMG-2023-11-06

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:

• Heidorn, Thomas & Pavicic, Tim & Sieber, Antje, 2022. "Corporate FX hedging: An introduction for the corporate treasury," Frankfurt School - Working Paper Series 233, Frankfurt School of Finance and Management.
• Jakub Micha'nk'ow & {L}ukasz Kwiatkowski & Janusz Morajda, 2023. "Combining Deep Learning and GARCH Models for Financial Volatility and Risk Forecasting," Papers 2310.01063, arXiv.org.
• Engle, Robert F. & Emambakhsh, Tina & Manganelli, Simone & Parisi, Laura & Pizzeghello, Riccardo, 2023. "Estimating systemic risk for non-listed euro-area banks," Working Paper Series 2856, European Central Bank.
• Dorinel Bastide & St'ephane Cr'epey & Samuel Drapeau & Mekonnen Tadese, 2023. "Resolving a Clearing Member's Default, A Radner Equilibrium Approach," Papers 2310.02608, arXiv.org, revised Oct 2024.
• A. H. Nzokem, 2023. "Bitcoin versus S&P 500 Index: Return and Risk Analysis," Papers 2310.02436, arXiv.org.
• Roberto Blanco & Elena Fernández & Miguel García-Posada & Sergio Mayordomo, 2023. "An estimation of the default probabilities of Spanish non-financial corporations and their application to evaluate public policies," Occasional Papers 2319, Banco de España.
• Cimadomo, Jacopo & Giuliodori, Massimo & Lengyel, Andras & Mumtaz, Haroon, 2023. "Changing patterns of risk-sharing channels in the United States and the euro area," Working Paper Series 2849, European Central Bank.
• Fabio Maccheroni & Massimo Marinacci & Ruodu Wang & Qinyu Wu, 2023. "Risk Aversion and Insurance Propensity," Papers 2310.09173, arXiv.org, revised Jul 2024.
• Budnik, Katarzyna & Groß, Johannes & Vagliano, Gianluca & Dimitrov, Ivan & Lampe, Max & Panos, Jiri & Velasco, Sofia & Boucherie, Louis & Jančoková, Martina, 2023. "BEAST: A model for the assessment of system-wide risks and macroprudential policies," Working Paper Series 2855, European Central Bank.
• Pang, Raymond Ka-Kay & Veraart, Luitgard A. M., 2023. "Assessing and mitigating fire sales risk under partial information," LSE Research Online Documents on Economics 120171, London School of Economics and Political Science, LSE Library.
• Ron S. Jarmin & John M. Abowd & Robert Ashmead & Ryan Cumings-Menon & Nathan Goldschlag & Michael B. Hawes & Sallie Ann Keller & Daniel Kifer & Philip Leclerc & Jerome P. Reiter & Rolando A. Rodr�guez, 2023. "An In-Depth Examination of Requirements for Disclosure Risk Assessment," Working Papers 23-49, Center for Economic Studies, U.S. Census Bureau.
• Purba Banerjee & Srikanth Iyer & Shashi Jain, 2023. "Multi-period static hedging of European options," Papers 2310.01104, arXiv.org, revised Oct 2023.
• Zexuan Wang & Ismaël Rafaï & Marc Willinger, 2023. "Does age affect the relation between risk and time preferences? Evidence from a representative sample," Post-Print hal-04217414, HAL.
• Sarit Maitra, 2023. "Impact of Economic Uncertainty, Geopolitical Risk, Pandemic, Financial & Macroeconomic Factors on Crude Oil Returns -- An Empirical Investigation," Papers 2310.01123, arXiv.org, revised Oct 2023.