Report NEP-RMG-2022-01-17

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:

• Matic, Jovanka Lili & Packham, Natalie & Härdle, Wolfgang Karl, 2021. "Hedging Cryptocurrency Options," MPRA Paper 110985, University Library of Munich, Germany.
• Wang, Ruting & Althof, Michael & Härdle, Wolfgang, 2021. "A financial risk meter for China," IRTG 1792 Discussion Papers 2021-022, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Viet-Anh Nguyen & Soroosh Shafieezadeh Abadeh & Damir Filipović & Daniel Kuhn, 2021. "Mean-Covariance Robust Risk Measurement," Swiss Finance Institute Research Paper Series 21-93, Swiss Finance Institute.
• Jorge E. Galán, 2021. "CREWS: a CAMELS-based early warning system of systemic risk in the banking sector," Occasional Papers 2132, Banco de España.
• Bátiz-Zuk Enrique & Lara Sánchez José Luis, 2021. "Revisiting the link between systemic risk and competition based on network theory and interbank exposures," Working Papers 2021-26, Banco de México.
• Sebastiano Michele Zema & Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2021. "Mesoscopic Structure of the Stock Market and Portfolio Optimization," Papers 2112.06544, arXiv.org.
• Raphael Burkhardt & Urban Ulrych, 2022. "Sparse and Stable International Portfolio Optimization and Currency Risk Management," Swiss Finance Institute Research Paper Series 22-07, Swiss Finance Institute.
• Christian Meyer, 2021. "Estimation of inter-sector asset correlations," Papers 2111.15204, arXiv.org.
• Holly Brannelly & Andrea Macrina & Gareth W. Peters, 2021. "Stochastic measure distortions induced by quantile processes for risk quantification and valuation," Papers 2201.02045, arXiv.org.
• Laine, Tatu & Korpinen, Kasperi, 2021. "Measuring counterparty risk in FMIs," BoF Economics Review 9/2021, Bank of Finland.
• Christian Meyer, 2021. "Model Risk in Credit Portfolio Models," Papers 2111.14631, arXiv.org.
• Martin Hoesli & Louis Johner, 2021. "Portfolio Diversification across U.S. Gateway and Non-Gateway Real Estate Markets," Swiss Finance Institute Research Paper Series 21-89, Swiss Finance Institute.
• Pan, Jingwei, 2021. "Volatility and Dependence Models with Applications to U.S. Equity Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 129944, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
• Babacar Seck & Robert J. Elliott, 2021. "Regime Switching Entropic Risk Measures on Crude Oil Pricing," Papers 2112.13041, arXiv.org.
• Laura Auria & Markus Bingmer & Carlos Mateo Caicedo Graciano & Clémence Charavel & Sergio Gavilá & Alessandra Iannamorelli & Aviram Levy & Alfredo Maldonado & Florian Resch & Anna Maria Rossi & Stepha, 2021. "Overview of central banks’ in-house credit assessment systems in the euro area," Occasional Papers 2131, Banco de España.
• Anthony Coache & Sebastian Jaimungal, 2021. "Reinforcement Learning with Dynamic Convex Risk Measures," Papers 2112.13414, arXiv.org, revised Nov 2022.
• Thomas F Epper & Helga Fehr-Duda, 2021. "RISK IN TIME: The Intertwined Nature of Risk Taking and Time Discounting," Working Papers hal-03473431, HAL.
• Wei Cao & Yun He & Wenjun Wang & Weidong Zhu & Yves Demazeau, 2021. "Ensemble methods for credit scoring of Chinese peer-to-peer loans," Post-Print hal-03434348, HAL.
• Christoph Heinzel & Richard Peter, 2021. "Precautionary motives with multiple instruments [Motifs de précaution en cas de multiples instruments]," Working Papers hal-03484875, HAL.
• Yannick Malevergne & Didier Sornette & Ran Wei, 2021. "A model of financial bubbles and drawdowns with non-local behavioral self-referencing," Swiss Finance Institute Research Paper Series 21-96, Swiss Finance Institute.
• Pagano, Marco & Wagner, Christian & Zechner, Josef, 2021. "Disaster resilience and asset prices," CFS Working Paper Series 673, Center for Financial Studies (CFS).
• Le, Tuan Anh & Dao, Thi Thanh Binh, 2021. "Portfolio optimization under mean-CVaR simulation with copulas on the Vietnamese stock exchange," MPRA Paper 111105, University Library of Munich, Germany.
• Damir Filipović & Amir Khalilzadeh, 2021. "Machine Learning for Predicting Stock Return Volatility," Swiss Finance Institute Research Paper Series 21-95, Swiss Finance Institute.
• Anna Aksamit & Ivan Guo & Shidan Liu & Zhou Zhou, 2021. "Superhedging duality for multi-action options under model uncertainty with information delay," Papers 2111.14502, arXiv.org, revised Nov 2023.
• Conefrey, Thomas & Hickey, Rónán & Walsh, Graeme, 2021. "An Analysis of Medium-Term Risks to the Public Finances," Economic Letters 6/EL/21, Central Bank of Ireland.
• Altavilla, Carlo & Ellul, Andrew & Pagano, Marco & Polo, Andrea & Vlassopoulos, Thomas, 2021. "Loan guarantees, bank lending and credit risk reallocation," CFS Working Paper Series 672, Center for Financial Studies (CFS).
• Qinkai Chen & Christian-Yann Robert, 2021. "Multivariate Realized Volatility Forecasting with Graph Neural Network," Papers 2112.09015, arXiv.org, revised Dec 2021.