Report NEP-RMG-2022-06-13

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:

• Carole Bernard & Silvana M. Pesenti & Steven Vanduffel, 2022. "Robust Distortion Risk Measures," Papers 2205.08850, arXiv.org, revised Mar 2023.
• Marita Kuhlmann, 2022. "Eine empirische Analyse der Skalierung von Value-at-Risk Schaetzungen," Papers 2205.02123, arXiv.org.
• Alhonita Yatie, 2022. "Failure of Gold, Bitcoin and Ethereum as safe havens during the Ukraine-Russia war," Working Papers hal-03617040, HAL.
• Elie Bouri & Afees A. Salisu & Rangan Gupta, 2022. "Bitcoin Prices and the Realized Volatility of US Sectoral Stock Returns," Working Papers 202224, University of Pretoria, Department of Economics.
• Stefan Nagel & Zhengyang Xu, 2022. "Dynamics of Subjective Risk Premia," CESifo Working Paper Series 9693, CESifo.
• Charles Shaw, 2022. "Portfolio Diversification Revisited," Papers 2204.13398, arXiv.org.
• Danny Brando & Antonis Kotidis & Anna Kovner & Michael Junho Lee & Stacey L. Schreft, 2022. "Implications of Cyber Risk for Financial Stability," FEDS Notes 2022-05-12, Board of Governors of the Federal Reserve System (U.S.).
• Kogler, Michael, 2022. "Taxes, Risk Taking, and Financial Stability," Economics Working Paper Series 2202, University of St. Gallen, School of Economics and Political Science.
• Dim, Chukwuma & Koerner, Kevin & Wolski, Marcin & Zwart, Sanne, 2022. "Hot off the press: News-implied sovereign default risk," EIB Working Papers 2022/06, European Investment Bank (EIB).
• Savvakis C. Savvides, 2022. "Risk Through the Looking-Glass," Development Discussion Papers 2022-06, JDI Executive Programs.
• v{S}tefan Ly'ocsa & Tom'av{s} Pl'ihal, 2022. "Russia's Ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention," Papers 2205.09179, arXiv.org.
• Nikola Fabris & Nina Vujanović, 2022. "What Drives Credit Risk? Empirical Evidence from Southeast Europe," wiiw Working Papers 214, The Vienna Institute for International Economic Studies, wiiw.
• Gulan, Adam & Jokivuolle, Esa & Verona, Fabio, 2022. "Optimal bank capital requirements: What do the macroeconomic models say?," BoF Economics Review 2/2022, Bank of Finland.
• Urom, C. & Ndubuisi, Gideon & Guesmi, K., 2022. "Quantile return and volatility connectedness among Non-Fungible Tokens (NFTs) and (un)conventional asset," MERIT Working Papers 2022-017, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).