Report NEP-RMG-2022-05-02

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:

• Naimoli, Antonio, 2022. "The information content of sentiment indices for forecasting Value at Risk and Expected Shortfall in equity markets," MPRA Paper 112588, University Library of Munich, Germany.
• Rama Cont & Mihai Cucuringu & Renyuan Xu & Chao Zhang, 2022. "Tail-GAN: Learning to Simulate Tail Risk Scenarios," Papers 2203.01664, arXiv.org, revised Mar 2023.
• Godwin, Alexander, 2022. "Hedge fund alpha and beta corrected for stale pricing," MPRA Paper 112509, University Library of Munich, Germany.
• Puneet Pasricha & Dharmaraja Selvamuthu & Selvaraju Natarajan, 2022. "A contagion process with self-exciting jumps in credit risk applications," Papers 2202.12946, arXiv.org.
• Baishuai Zuo & Chuancun Yin, 2022. "Multivariate doubly truncated moments for generalized skew-elliptical distributions with application to multivariate tail conditional risk measures," Papers 2203.00839, arXiv.org.
• Lotfi Boudabsa & Damir Filipović, 2022. "Ensemble learning for portfolio valuation and risk management," Swiss Finance Institute Research Paper Series 22-30, Swiss Finance Institute.
• Tobias Fissler & Silvana M. Pesenti, 2022. "Sensitivity Measures Based on Scoring Functions," Papers 2203.00460, arXiv.org, revised Jul 2022.
• {O}yvind Grotmol & Martin Jullum & Kjersti Aas & Michael Scheuerer, 2022. "Performance evaluation of volatility estimation methods for Exabel," Papers 2203.12402, arXiv.org.
• Silvia Sarpietro & Yuya Sasaki & Yulong Wang, 2022. "Non-Existent Moments of Earnings Growth," Papers 2203.08014, arXiv.org, revised Feb 2024.
• Baishuai Zuo & Chuancun Yin, 2022. "Doubly truncated moment risk measures for elliptical distributions," Papers 2203.01091, arXiv.org.
• Maria Teresa Medeiros Garcia & Ana Jin Ye, 2022. "Risk-taking by banks: Evidence from European Union countries," Working Papers REM 2022/0225, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Yuanying Guan & Zhanyi Jiao & Ruodu Wang, 2022. "A reverse ES (CVaR) optimization formula," Papers 2203.02599, arXiv.org, revised May 2023.
• Alim, Wajid & Ali, Amjad & Metla, Mahwish Rauf, 2021. "The Effect of Liquidity Risk Management on Financial Performance of Commercial Banks in Pakistan," MPRA Paper 112482, University Library of Munich, Germany.
• Jonas Crevecoeur & Katrien Antonio & Stijn Desmedt & Alexandre Masquelein, 2022. "Bridging the gap between pricing and reserving with an occurrence and development model for non-life insurance claims," Papers 2203.07145, arXiv.org, revised Feb 2023.
• Benjamin Avanzi & Ping Chen & Lars Frederik Brandt Henriksen & Bernard Wong, 2022. "On the surplus management of funds with assets and liabilities in presence of solvency requirements," Papers 2203.05139, arXiv.org, revised Aug 2022.
• Yevhen Havrylenko & Maria Hinken & Rudi Zagst, 2022. "Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer," Papers 2203.04053, arXiv.org, revised Oct 2023.
• Benjamin Avanzi & Mark Lavender & Greg Taylor & Bernard Wong, 2022. "Detection and treatment of outliers for multivariate robust loss reserving," Papers 2203.03874, arXiv.org, revised Jun 2023.
• Heard, Claire Louise & Rakow, Tim, 2022. "Examining insensitivity to probability in evidence‐based communication of relative risks: the role of affect and communication format," LSE Research Online Documents on Economics 113810, London School of Economics and Political Science, LSE Library.
• Cecilia Parlatore & Thomas Philippon, 2022. "Designing Stress Scenarios," NBER Working Papers 29901, National Bureau of Economic Research, Inc.
• Jun Lu & Shao Yi, 2022. "Reducing overestimating and underestimating volatility via the augmented blending-ARCH model," Papers 2203.12456, arXiv.org.
• Florian Eckert & Heiner Mikosch, 2021. "Firm Bankruptcies and Start-Up Activity in Switzerland During the Corona Crisis," KOF Working papers 21-499, KOF Swiss Economic Institute, ETH Zurich.
• Christian Bayer & Masaaki Fukasawa & Shonosuke Nakahara, 2022. "On the weak convergence rate in the discretization of rough volatility models," Papers 2203.02943, arXiv.org.
• Miguel A. Ruiz-Ortiz & Jos'e Carlos G'omez-Larra~naga & Jes'us Rodr'iguez-Viorato, 2022. "A persistent-homology-based turbulence index & some applications of TDA on financial markets," Papers 2203.05603, arXiv.org, revised Jul 2023.
• Raad Khraishi & Ramin Okhrati, 2022. "Offline Deep Reinforcement Learning for Dynamic Pricing of Consumer Credit," Papers 2203.03003, arXiv.org.