Report NEP-RMG-2022-08-22

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 Storti & Chao Wang, 2022. "A semi-parametric marginalized dynamic conditional correlation framework," Papers 2207.04595, arXiv.org, revised Jul 2024.
• Rodrigo Alfaro & Alejandra Inzunza, 2022. "Modeling S&P500 returns with GARCH models," Working Papers Central Bank of Chile 955, Central Bank of Chile.
• Eric Djeutcha & Jules Sadefo Kamdem, 2022. "Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model," Post-Print hal-03675886, HAL.
• Mohamed Belkhir & Sami Ben Naceur & Bertrand Candelon & Jean-Charles Wijnandts, 2022. "Macroprudential Regulation and Sector-Specific Default Risk," IMF Working Papers 2022/141, International Monetary Fund.
• J. Cerda-Hernandez & A. Sikov & A. Ramos, 2022. "An optimal investment strategy aimed at maximizing the expected utility across all intermediate capital levels," Papers 2207.02947, arXiv.org, revised Jun 2024.
• Enrico Dall'Acqua & Riccardo Longoni & Andrea Pallavicini, 2022. "Rough-Heston Local-Volatility Model," Papers 2206.09220, arXiv.org.
• Hans Buehler & Phillip Murray & Ben Wood, 2022. "Deep Bellman Hedging," Papers 2207.00932, arXiv.org, revised Jun 2024.
• Martin Iseringhausen & Ivan Petrella & Konstantinos Theodoridis, 2022. "Aggregate skewness and the business cycle," Working Papers 53, European Stability Mechanism.
• Pascal Flurin Meier & Raphael Flepp & David Oesch, 2024. "May Bad Luck Be Without You: The Effect of CEO Luck on Strategic Risk-taking," Working Papers 393, University of Zurich, Department of Business Administration (IBW).
• Savvas Antoniou & Ioanna Evangelou & Theodosis Kallenos & Nektarios A. Michail, 2022. "Estimating the Mortgage Default Probability in Cyprus: Evidence using micro data," Working Papers 2022-1, Central Bank of Cyprus.
• Mathias Lindholm & Ronald Richman & Andreas Tsanakas & Mario V. Wuthrich, 2022. "A multi-task network approach for calculating discrimination-free insurance prices," Papers 2207.02799, arXiv.org.
• Menna Hassan & Nourhan Sakr & Arthur Charpentier, 2022. "Government Intervention in Catastrophe Insurance Markets: A Reinforcement Learning Approach," Papers 2207.01010, arXiv.org.