Report NEP-RMG-2022-06-27

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:

• Daniel Dimitrov & Sweder van Wijnbergen, 2022. "Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the Dutch Financial Sector," Tinbergen Institute Discussion Papers 22-034/VI, Tinbergen Institute.
• Ivan De Lorenzo Buratta, 2022. "Mind the Build-up: Quantifying Tail Risks for Credit Growth in Portugal," Working Papers w202207, Banco de Portugal, Economics and Research Department.
• Ivan De Lorenzo Buratta, 2022. "How Bad Can Financial Crises Be? A GDP Tail Risk Assessment for Portugal," Working Papers w202204, Banco de Portugal, Economics and Research Department.
• Wing Fung Chong & Runhuan Feng & Hins Hu & Linfeng Zhang, 2022. "Cyber Risk Assessment for Capital Management," Papers 2205.08435, arXiv.org, revised Oct 2023.
• Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2022. "Mack-Net model: Blending Mack's model with Recurrent Neural Networks," Papers 2205.07334, arXiv.org.
• Mohammadreza Mahmoudi, 2022. "Evaluating the Impact of Bitcoin on International Asset Allocation using Mean-Variance, Conditional Value-at-Risk (CVaR), and Markov Regime Switching Approaches," Papers 2205.00335, arXiv.org.
• Cyril B'en'ezet & St'ephane Cr'epey, 2022. "Handling model risk with XVAs," Papers 2205.11834, arXiv.org, revised Aug 2024.
• Raifu, Isiaka Akande & Ogbonna, Ahamuefula E, 2021. "Safe-haven Effectiveness of Cryptocurrency: Evidence from Stock Markets of COVID-19 worst-hit African Countries," MPRA Paper 113139, University Library of Munich, Germany.
• Peter Friz & Jim Gatheral, 2022. "Diamonds and forward variance models," Papers 2205.03741, arXiv.org.
• Marc Schmitt, 2022. "Deep Learning vs. Gradient Boosting: Benchmarking state-of-the-art machine learning algorithms for credit scoring," Papers 2205.10535, arXiv.org.
• Claudiu Vinte & Marcel Ausloos, 2022. "The Cross-Sectional Intrinsic Entropy. A Comprehensive Stock Market Volatility Estimator," Papers 2205.00104, arXiv.org.
• Victor Olkhov, 2022. "Market-Based Asset Price Probability," Papers 2205.07256, arXiv.org, revised Feb 2024.
• International Association of Deposit Insurers, 2021. "IADI Core Principles for Effective Islamic Deposit Insurance Systems," IADI Standards 21-07, International Association of Deposit Insurers.
• Simon M. S. Lo & Ralf A. Wilke, 2022. "A single risk approach to the semiparametric copula competing risks model," Papers 2205.06087, arXiv.org.
• A. Max Reppen & H. Mete Soner & Valentin Tissot-Daguette, 2022. "Neural Optimal Stopping Boundary," Papers 2205.04595, arXiv.org, revised May 2023.
• Nakajima, Jouchi, 2022. "Macroeconomic uncertainty matters: A nonlinear effect of financial volatility on real economic activity," Discussion paper series HIAS-E-121, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
• Tian Chen & Ruyi Liu & Zhen Wu, 2022. "Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon," Papers 2205.06434, arXiv.org.
• Keiko Fukumori & Ayumi Arai & Tomoya Matsumoto, 2022. "Risk Management for Smallholder Farmers: An Empirical Study on the Adoption of Weather-Index Crop Insurance in Rural Kenya," Working Papers 230, JICA Research Institute.
• Christopher J. Waller, 2022. "Risk in the Crypto Markets: a speech at the SNB-CIF Conference on Cryptoassets and Financial Innovation, Zürich, Switzerland, June 3, 2022," Speech 94334, Board of Governors of the Federal Reserve System (U.S.).
• Kick, Andreas & Rottmann, Horst, 2022. "The relevance of banks to the European stock market," Weidener Diskussionspapiere 84, University of Applied Sciences Amberg-Weiden (OTH).
• Christian Cox & Akanksha Negi & Digvijay Negi, 2022. "Risk-Sharing Tests with Network Transaction Costs," Monash Econometrics and Business Statistics Working Papers 5/22, Monash University, Department of Econometrics and Business Statistics.
• Minzarari, Dumitru, 2021. "The Russian military escalation around Ukraine's Donbas: Risks and scenarios for a revised EU policy," SWP Comments 27/2021, Stiftung Wissenschaft und Politik (SWP), German Institute for International and Security Affairs.
• Andrew E. Clark & Conchita D'Ambrosio & Anthony Lepinteur, 2021. "Marriage as insurance: job protection and job insecurity in France," CEP Discussion Papers dp1778, Centre for Economic Performance, LSE.
• Rafael Reisenhofer & Xandro Bayer & Nikolaus Hautsch, 2022. "HARNet: A Convolutional Neural Network for Realized Volatility Forecasting," Papers 2205.07719, arXiv.org.