Report NEP-RMG-2022-03-28

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:

• Giuseppe Genovese & Ashkan Nikeghbali & Nicola Serra & Gabriele Visentin, 2022. "Universal approximation of credit portfolio losses using Restricted Boltzmann Machines," Papers 2202.11060, arXiv.org, revised Apr 2023.
• Benjamin Bruder & Nazar Kostyuchyk & Thierry Roncalli, 2022. "Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia," Papers 2202.10721, arXiv.org.
• Elisa Luciano & Jean Charles Rochet, 2021. "Risk Appetite Fluctuations in the Insurance Industry," Carlo Alberto Notebooks 666 JEL Classification: G, Collegio Carlo Alberto.
• Yusuke Uchiyama & Kei Nakagawa, 2022. "Schr\"{o}dinger Risk Diversification Portfolio," Papers 2202.09939, arXiv.org.
• John Stachurski, 2022. "Systemic Risk in Financial Systems: Properties of Equilibria," Papers 2202.11183, arXiv.org.
• Supriya Kapoor & Adnan Velic, 2022. "QE: Implications for Bank Risk-Taking, Profitability, and Systemic Risk," Trinity Economics Papers tep0122, Trinity College Dublin, Department of Economics.
• Victoria Dobrynskaya & Mikhail Dubrovskiy, 2022. "Cryptocurrencies Meet Equities: Risk Factors And Asset Pricing Relationships," HSE Working papers WP BRP 86/FE/2022, National Research University Higher School of Economics.
• Pavel V. Shevchenko & Jiwook Jang & Matteo Malavasi & Gareth W. Peters & Georgy Sofronov & Stefan Truck, 2022. "The Nature of Losses from Cyber-Related Events: Risk Categories and Business Sectors," Papers 2202.10189, arXiv.org, revised Mar 2022.
• Alhonita Yatie, 2022. "Crypto-assets better safe-havens than Gold during Covid-19: The case of European indices," Papers 2202.10760, arXiv.org.
• Джусангалиева Камилла // Jussangaliyeva Kamilla & Миллер Алия // Miller Aliya & Хакимжанов Сабит // Khakimzhanov Sabit, 2022. "Пруденциальные требования по ликвидности и риск-ориентированный подход // Prudential liquidity requirements and a risk-based approach," Working Papers #2022-3, National Bank of Kazakhstan.
• Thanasis Stengos & Theodore Panagiotidis & Georgios Papapanagiotou, 2022. "On the volatility of cryptocurrencies," Working Papers 2202, University of Guelph, Department of Economics and Finance.
• Xu, Yongdeng, 2022. "The Exponential HEAVY Model: An Improved Approach to Volatility Modeling and Forecasting," Cardiff Economics Working Papers E2022/5, Cardiff University, Cardiff Business School, Economics Section.
• George-Marian Aevoae & Alin Marius Andries & Steven Ongena & Nicu Sprincean, 2022. "ESG and Systemic Risk," Swiss Finance Institute Research Paper Series 22-25, Swiss Finance Institute.
• Florian Bourgey & Stefano De Marco & Emmanuel Gobet, 2022. "Weak approximations and VIX option price expansions in forward variance curve models," Papers 2202.10413, arXiv.org, revised May 2022.
• Verena Monschang & Bernd Wilfling, 2022. "A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction," CQE Working Papers 9722, Center for Quantitative Economics (CQE), University of Muenster.
• German Rodikov & Nino Antulov-Fantulin, 2022. "Can LSTM outperform volatility-econometric models?," Papers 2202.11581, arXiv.org.
• Christoph Carnehl & Johannes Schneider, 2022. "On Risk and Time Pressure: When to Think and When to Do," CRC TR 224 Discussion Paper Series crctr224_2022_342, University of Bonn and University of Mannheim, Germany.
• Dorinel Bastide & Stéphane Crépey & Samuel Drapeau & Mekonnen Tadese, 2022. "Derivatives Risks as Costs in a One-Period Network Model," Working Papers hal-03554577, HAL.
• David Dillenberger & Daniel Gottlieb & Pietro Ortoleva, 2020. "Stochastic Impatience and the Separation of Time and Risk Preferences," Working Papers 2020-54, Princeton University. Economics Department..
• Toshiko Matsui & Ali Al-Ali & William J. Knottenbelt, 2022. "On the Dynamics of Solid, Liquid and Digital Gold Futures," Papers 2202.09845, arXiv.org.
• Lin Qi, 2022. "Investor sentiment, volatility and cross-market illiquidity dynamics: A threshold vector autoregression approach," CAMA Working Papers 2022-24, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Gérard Mondello, 2021. "Lenders' liability and ultra-hazardous activities," Post-Print halshs-03502693, HAL.
• Avezum, Lucas, 2022. "Essays on bank regulation and supervision," Other publications TiSEM ecf0bc59-8366-46c4-bdfa-8, Tilburg University, School of Economics and Management.
• Taiga Saito & Akihiko Takahashi, 2022. "Portfolio optimization with choice of a probability measure (forthcoming in proceedings of IEEE CIFEr 2022)," CARF F-Series CARF-F-534, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Zexuan Yin & Paolo Barucca, 2022. "Neural Generalised AutoRegressive Conditional Heteroskedasticity," Papers 2202.11285, arXiv.org.
• Imane El Ouadghiri & Mathieu Gomes & Jonathan Peillex & Guillaume Pijourlet, 2022. "Investor Attention to the Fossil Fuel Divestment Movement and Stock Returns," Post-Print hal-03549713, HAL.