Report NEP-RMG-2022-01-31

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:

• Christis Katsouris, 2021. "Optimal Portfolio Choice and Stock Centrality for Tail Risk Events," Papers 2112.12031, arXiv.org.
• Ozdemir, Huseyin & Ozdemir, Zeynel Abidin, 2021. "A Survey of Hedge and Safe Havens Assets against G-7 Stock Markets before and during the COVID-19 Pandemic," IZA Discussion Papers 14888, Institute of Labor Economics (IZA).
• Lloyd, S. & Manuel, E. & Panchev, K., 2021. "Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk," Janeway Institute Working Papers 2102, Faculty of Economics, University of Cambridge.
• Marcos Escobar-Anel & Matt Davison & Yichen Zhu, 2022. "Derivatives-based portfolio decisions. An expected utility insight," Papers 2201.03717, arXiv.org.
• Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Hardle, 2021. "Hedging Cryptocurrency Options," Papers 2112.06807, arXiv.org, revised Dec 2022.
• Ludger Overbeck & Florian Schindler, 2021. "Scalar systemic risk measures and Aumann-Shapley allocations," Papers 2112.06534, arXiv.org, revised Jul 2022.
• Liao Wang & Jin Yao & Xiaowei Zhang, 2022. "How Does Risk Hedging Impact Operations? Insights from a Price-Setting Newsvendor Model," Papers 2201.01026, arXiv.org, revised Jun 2023.
• Nicola Comincioli & Paolo Panteghini & Sergio Vergalli, 2021. "A Welfare Analysis on Start-Up Decisions under Default Risk," CESifo Working Paper Series 9478, CESifo.
• Sushant Acharya & Keshav Dogra & Sanjay Singh, 2022. "The Financial Origins of Non-fundamental Risk," Staff Working Papers 22-4, Bank of Canada.
• Shuzhen Yang, 2021. "Compensatory model for quantile estimation and application to VaR," Papers 2112.07278, arXiv.org.
• Denny Irawan & Tatsuyoshi Okimoto, 2021. "Conditional capital surplus and shortfall across renewable and non-renewable resource firms," CAMA Working Papers 2021-74, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Jackson P. Lautier & Vladimir Pozdnyakov & Jun Yan, 2022. "Pricing Time-to-Event Contingent Cash Flows: A Discrete-Time Survival Analysis Approach," Papers 2201.04981, arXiv.org, revised Jan 2023.
• Mestiri, Sami, 2021. "Modelling the volatility of Bitcoin returns using Nonparametric GARCH models," MPRA Paper 111116, University Library of Munich, Germany.
• Jan Muckenhaupt & Martin Hoesli & Bing Zhu, 2022. "Tenant Industry Sector and European Listed Real Estate Performance," Swiss Finance Institute Research Paper Series 22-08, Swiss Finance Institute.
• Marcus C. Christiansen, 2021. "On the decomposition of an insurer's profits and losses," Papers 2112.11265, arXiv.org.
• Samuel Rufat & Odile Plattard & Alexander Fekete & Ludivine Gilli & Paul Hudson & Victor Santoni, 2021. "Conclusions of the Second European Conference on Risk Perception, Behaviour, Management and Response - ENCORE 2021," Post-Print hal-03465539, HAL.
• Jorgen Vitting Andersen & Roy Cerqueti & Jessica Riccioni, 2021. "Rational expectations as a tool for predicting failure of weighted k-out-of-n reliability systems," Papers 2112.10672, arXiv.org.
• Songyan Hou & Thomas Krabichler & Marcus Wunsch, 2021. "Deep Partial Hedging," Papers 2112.07335, arXiv.org.
• David Anderson & Urban Ulrych, 2022. "Accelerated American Option Pricing with Deep Neural Networks," Swiss Finance Institute Research Paper Series 22-03, Swiss Finance Institute.
• Battulga Gankhuu, 2021. "Rainbow Options under Bayesian MS-VAR Process," Papers 2112.10447, arXiv.org, revised May 2023.