Report NEP-RMG-2022-02-21

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:

• Juselius, Mikael & Tarashev, Nikola, 2022. "When uncertainty decouples expected and unexpected losses," Research Discussion Papers 4/2022, Bank of Finland.
• Jinping Zhang & Keming Zhang, 2022. "Portfolio selection models based on interval-valued conditional value at risk (ICVaR) and empirical analysis," Papers 2201.02987, arXiv.org, revised Jul 2022.
• Denuit, Michel & Dhaene, Jan & Robert, Christian Y., 2021. "Risk-sharing rules and their properties, with applications to peer-to-peer insurance," LIDAM Discussion Papers ISBA 2021037, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Martin Indergand & Eric Jondeau & Andreas Fuster, 2022. "Measuring and Stress-Testing Market-Implied Bank Capital," Swiss Finance Institute Research Paper Series 22-11, Swiss Finance Institute.
• Beatriz de la Flor & Javier Ojea-Ferreiro & Eva Ferreira, 2022. "The Hedging Cost of Forgetting the Exchange Rate," Documentos de Trabajo del ICAE 2022-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Neamtu, Ioana & Vo, Quynh-Anh, 2021. "Capital allocation, the leverage ratio requirement," Bank of England working papers 956, Bank of England.
• Mark Kiermayer & Christian Wei{ss}, 2022. "Neural calibration of hidden inhomogeneous Markov chains -- Information decompression in life insurance," Papers 2201.02397, arXiv.org.
• Anusha Chari & Karlye Dilts Stedman & Kristin J. Forbes, 2021. "Spillovers at the Extremes: The Macroprudential Stance and Vulnerability to the Global Financial Cycle," Research Working Paper RWP 21-16, Federal Reserve Bank of Kansas City.
• Jaydip Sen & Ashwin Kumar R S & Geetha Joseph & Kaushik Muthukrishnan & Koushik Tulasi & Praveen Varukolu, 2022. "Precise Stock Price Prediction for Robust Portfolio Design from Selected Sectors of the Indian Stock Market," Papers 2201.05570, arXiv.org.
• Marcin Pitera & {L}ukasz Stettner, 2022. "Discrete-time risk sensitive portfolio optimization with proportional transaction costs," Papers 2201.02828, arXiv.org.
• Masaaki Fukasawa, 2022. "On asymptotically arbitrage-free approximations of the implied volatility," Papers 2201.02752, arXiv.org, revised Jan 2022.
• Federico Apicella & Raffaele Gallo & Giovanni Guazzarotti, 2022. "Insurers' investments before and after the Covid-19 outbreak," Temi di discussione (Economic working papers) 1363, Bank of Italy, Economic Research and International Relations Area.
• Wenjia Wang & Yanyuan Wang & Xiaowei Zhang, 2022. "Smooth Nested Simulation: Bridging Cubic and Square Root Convergence Rates in High Dimensions," Papers 2201.02958, arXiv.org, revised Oct 2023.
• Denuit, Michel & Hieber, Peter & Robert, Christian Y., 2021. "Mortality credits within large survivor funds," LIDAM Discussion Papers ISBA 2021038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Melchisedek Joslem Ngambou Djatche, 2021. "The Most Expected Things Often Come as a Surprise: Analysis of the Impact of Monetary Surprises on the Bank's Risk and Activity," GREDEG Working Papers 2021-45, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
• Csaba Burger, 2022. "Defaulting Alone: The Geography of Sme Owner Numbers and Credit Risk in Hungary," MNB Occasional Papers 2022/144, Magyar Nemzeti Bank (Central Bank of Hungary).
• Ludolph, Melina, 2024. "CoCo Bonds, Bank Stability, and Earnings Opacity," IWH Discussion Papers 1/2022, Halle Institute for Economic Research (IWH), revised 2024.
• Nathan Kallus, 2022. "Treatment Effect Risk: Bounds and Inference," Papers 2201.05893, arXiv.org, revised Jul 2022.