Report NEP-RMG-2022-04-18

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:

• Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022. "Vulnerability-CoVaR: Investigating the Crypto-market," Papers 2203.10777, arXiv.org.
• Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022. "Estimating risks of option books using neural-SDE market models," Papers 2202.07148, arXiv.org.
• Wosnitza, Jan Henrik, 2022. "Calibration alternatives to logistic regression and their potential for transferring the dispersion of discriminatory power into uncertainties of probabilities of default," Discussion Papers 04/2022, Deutsche Bundesbank.
• Frido Rolloos, 2022. "The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility," Papers 2202.07542, arXiv.org.
• Ziteng Cheng & Sebastian Jaimungal, 2022. "Risk-Averse Markov Decision Processes through a Distributional Lens," Papers 2203.09612, arXiv.org, revised Apr 2024.
• John Cotter & Enrique Salvador, 2022. "The non-linear trade-off between return and risk and its determinants," Working Papers 202203, Geary Institute, University College Dublin.
• Alhonita Yatie, 2022. "Crypto-assets better safe-havens than Gold during Covid-19: The case of European indices," Working Papers hal-03579957, HAL.
• Krüger, Ulrich & Roling, Christoph & Silbermann, Leonid & Wong, Lui Hsian, 2022. "Banks' strategic interaction, adverse price dynamics and systemic liquidity risk," Discussion Papers 06/2022, Deutsche Bundesbank.
• Bingyan Han, 2022. "Distributionally robust risk evaluation with a causality constraint and structural information," Papers 2203.10571, arXiv.org, revised Aug 2024.
• Fuzhou Gong & Ting Wang, 2022. "The Variable Volatility Elasticity Model from Commodity Markets," Papers 2203.09177, arXiv.org.
• Ryan, Ellen, 2022. "Are fund managers rewarded for taking cyclical risks?," Working Paper Series 2652, European Central Bank.
• Tomás Caravello & Turalay Kenc & Martín Sola, 2021. "Risk Aversion and Changes in Regime," Department of Economics Working Papers 2021_08, Universidad Torcuato Di Tella.
• Dupret, Jean-Loup & Hainaut, Donatien, 2022. "A subdiffusive stochastic volatility jump model," LIDAM Discussion Papers ISBA 2022001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Paul Gassiat, 2022. "Weak error rates of numerical schemes for rough volatility," Papers 2203.09298, arXiv.org, revised Feb 2023.
• José Alves & João Quental Gonçalves, 2022. "How Money relates to value? An empirical examination on Gold, Silver and Bitcoin," Working Papers REM 2022/0222, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Bu, R. & Li, D. & Linton, O. & Wang, H., 2022. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Cambridge Working Papers in Economics 2218, Faculty of Economics, University of Cambridge.
• Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022. "Dynamic Autoregressive Liquidity (DArLiQ)," LIDAM Discussion Papers ISBA 2022009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).