Report NEP-RMG-2022-03-07

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:

• Koichi Miyamoto, 2022. "Quantum algorithm for calculating risk contributions in a credit portfolio," Papers 2201.11394, arXiv.org.
• Jan Rosenzweig, 2022. "Fat Tails and Optimal Liability Driven Portfolios," Papers 2201.10846, arXiv.org, revised Apr 2023.
• Eric C. K. Cheung & Oscar Peralta & Jae-Kyung Woo, 2021. "Multivariate matrix-exponential affine mixtures and their applications in risk theory," Papers 2201.11122, arXiv.org.
• Juan Ignacio Pe~na & Rosa Rodriguez & Silvia Mayoral, 2022. "Tail Risk of Electricity Futures," Papers 2202.01732, arXiv.org.
• Matthew F. Tomlinson & David Greenwood & Marcin Mucha-Kruczynski, 2022. "2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log-returns: out-of-sample comparison of conditional EVT models," Papers 2202.01043, arXiv.org, revised Oct 2022.
• Marcin Pitera & Thorsten Schmidt, 2022. "Estimating and backtesting risk under heavy tails," Papers 2201.10454, arXiv.org, revised Jan 2022.
• Shi Bo & Minheng Xiao, 2022. "Data-Driven Risk Measurement by SV-GARCH-EVT Model," Papers 2201.09434, arXiv.org, revised Jul 2024.
• Wan-Chien Chiu & Juan Ignacio Pe~na & Chih-Wei Wang, 2022. "Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects," Papers 2202.02276, arXiv.org.
• Martin Guth, 2022. "Predicting Default Probabilities for Stress Tests: A Comparison of Models," Papers 2202.03110, arXiv.org.
• Hwai-Chung Ho, 2022. "Forecasting the distribution of long-horizon returns with time-varying volatility," Papers 2201.07457, arXiv.org.
• Schwaab, Bernd & Zhang, Xin & Lucas, André & D’Innocenzo, Enzo, 2020. "Modeling extreme events:time-varying extreme tail shape," Working Paper Series 399, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2023.
• Meutia, Annissa, 2022. "Risk Management," OSF Preprints 3zgsw, Center for Open Science.
• Abdoulaye Sy & Catherine Araujo-Bonjean & Marie-Eliette Dury & Nourddine Azzaoui & Arnaud Guillin, 2021. "An Extreme Value Mixture model to assess drought hazard in West Africa," CERDI Working papers hal-03297023, HAL.
• Wolf, Elias, 2022. "Estimating growth at risk with skewed stochastic volatility models," Discussion Papers 2022/2, Free University Berlin, School of Business & Economics.
• Jori Hoencamp & Shashi Jain & Drona Kandhai, 2022. "A semi-static replication approach to efficient hedging and pricing of callable IR derivatives," Papers 2202.01027, arXiv.org.
• Jaydip Sen & Sidra Mehtab & Abhishek Dutta & Saikat Mondal, 2022. "Hierarchical Risk Parity and Minimum Variance Portfolio Design on NIFTY 50 Stocks," Papers 2202.02728, arXiv.org.
• Muhammad Abubakr Naeem & Sitara Karim & Tooraj Jamasb & Rabindra Nepal, 2022. "Risk transmission between green markets and commodities," CAMA Working Papers 2022-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Karel Janda & Ladislav Kristoufek & Binyi Zhang, 2022. "Return and volatility spillovers between Chinese and US clean energy related stocks," CAMA Working Papers 2022-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Zhiqin Zou & Arash Farnoosh & Tom Mcnamara, 2021. "Risk analysis in the management of a green supply chain," Post-Print hal-03181313, HAL.
• Seungki Min & Ciamac C. Moallemi & Costis Maglaras, 2022. "Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective," Papers 2201.11962, arXiv.org.
• Jaydip Sen & Saikat Mondal & Sidra Mehtab, 2022. "Portfolio Optimization on NIFTY Thematic Sector Stocks Using an LSTM Model," Papers 2202.02723, arXiv.org.
• Anindya Goswami & Kedar Nath Mukherjee & Irvine Homi Patalwala & Sanjay N. S, 2022. "Regime recovery using implied volatility in Markov modulated market model," Papers 2201.10304, arXiv.org, revised Mar 2022.
• Panggabean, Angelita Nauli, 2022. "Risk Management Pada Industri Otomotif," OSF Preprints eqwa8, Center for Open Science.
• Isuru Ratnayake & V. A. Samaranayake, 2022. "Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model," Papers 2202.03351, arXiv.org, revised Mar 2022.
• Carmina Fjellstrom, 2022. "Long Short-Term Memory Neural Network for Financial Time Series," Papers 2201.08218, arXiv.org.
• Afees A. Salisu & Rangan Gupta & Elie Bouri, 2022. "Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach," Working Papers 202211, University of Pretoria, Department of Economics.
• Kasde, Fiona Ramadhita, 2022. "Risk Management pada Industri Real Estate," OSF Preprints h4db5, Center for Open Science.
• maulana, ahmad, 2022. "Risk Management E-Commerce," OSF Preprints b5agj, Center for Open Science.
• Krzysztof Rusek & Piotr Bory{l}o & Piotr Jaglarz & Fabien Geyer & Albert Cabellos & Piotr Cho{l}da, 2022. "RiskNet: Neural Risk Assessment in Networks of Unreliable Resources," Papers 2201.12263, arXiv.org, revised Jun 2023.
• Pratama, Muhammad Andika Rizki, 2022. "GSLC TUT 6 - Risk Management pada Industri Otomotif," OSF Preprints b2eua, Center for Open Science.
• Prendergast, Michael, 2022. "Econometric Models for Computing Safe Withdrawal Rates," OSF Preprints jd2xg, Center for Open Science.
• Yichen Feng & Jean-Pierre Fouque & Ruimeng Hu & Tomoyuki Ichiba, 2022. "Systemic Risk Models for Disjoint and Overlapping Groups with Equilibrium Strategies," Papers 2202.00662, arXiv.org.
• Carla Zoe Cremer & Luke Kemp, 2021. "Democratising Risk: In Search of a Methodology to Study Existential Risk," Papers 2201.11214, arXiv.org.
• Khalid El-Awady, 2021. "Applicability of Large Corporate Credit Models to Small Business Risk Assessment," Papers 2201.08276, arXiv.org.
• William Schueller & Christian Diem & Melanie Hinterplattner & Johannes Stangl & Beate Conrady & Markus Gerschberger & Stefan Thurner, 2022. "Propagation of disruptions in supply networks of essential goods: A population-centered perspective of systemic risk," Papers 2201.13325, arXiv.org.
• Julio Guerrero & Giuseppe Orlando, 2022. "Stochastic Local Volatility models and the Wei-Norman factorization method," Papers 2201.11241, arXiv.org.
• Igor Nesiolovskiy, 2021. "Stock exchange shares ranking and binary-ternary compressive coding," Papers 2201.11507, arXiv.org.
• Nurul Izzaty Hasanah Azhar & Norziana Lokman & Md. Mahmudul Alam & Jamaliah Said, 2021. "Factors determining Z-score and corporate failure in Malaysian companies," Post-Print hal-03520192, HAL.
• Giuseppe Brandi & T. Di Matteo, 2022. "Multiscaling and rough volatility: an empirical investigation," Papers 2201.10466, arXiv.org.
• Nikolas Michael & Mihai Cucuringu & Sam Howison, 2022. "Option Volume Imbalance as a predictor for equity market returns," Papers 2201.09319, arXiv.org.
• Peng Wu & Jean-Franc{c}ois Muzy & Emmanuel Bacry, 2022. "From Rough to Multifractal volatility: the log S-fBM model," Papers 2201.09516, arXiv.org, revised Jul 2022.
• Ihsan Chaoubi & Camille Besse & H'el`ene Cossette & Marie-Pier C^ot'e, 2022. "Micro-level Reserving for General Insurance Claims using a Long Short-Term Memory Network," Papers 2201.13267, arXiv.org.
• Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman van Dijk, 2022. "A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods," Tinbergen Institute Discussion Papers 22-013/III, Tinbergen Institute.
• Anton J. Heckens & Thomas Guhr, 2022. "New Collectivity Measures for Financial Covariances and Correlations," Papers 2202.00297, arXiv.org, revised Aug 2022.
• Yawovi Mawussé Isaac Amedanou, 2022. "Financing the economy in debt times: the crucial role of public-private partnerships," Working Papers hal-03545244, HAL.
• Zhe Wang & Nicolas Privault & Claude Guet, 2021. "Deep self-consistent learning of local volatility," Papers 2201.07880, arXiv.org, revised Nov 2023.
• Shuo Sun & Wanqi Xue & Rundong Wang & Xu He & Junlei Zhu & Jian Li & Bo An, 2021. "DeepScalper: A Risk-Aware Reinforcement Learning Framework to Capture Fleeting Intraday Trading Opportunities," Papers 2201.09058, arXiv.org, revised Aug 2022.
• Meng-Chen Hsieh & Clifford Hurvich & Philippe Soulier, 2022. "Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes," Papers 2202.00793, arXiv.org.
• Raphael Auer & Bruce Muneaki Iwadate & Andreas Schrimpf & Alexander F. Wagner, 2022. "Global production linkages and stock market co-movement," BIS Working Papers 1003, Bank for International Settlements.