Report NEP-RMG-2022-09-05

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:

• Osadchiy, Maksim, 2022. "One-factor model of liquidity risk," MPRA Paper 113869, University Library of Munich, Germany.
• Cosimo Pancaro & Christoffer Kok & Carola Müller & Steven Ongena, 2022. "The Disciplining Effect of Supervisory Scrutiny in the EU-Wide Stress Test," Swiss Finance Institute Research Paper Series 22-59, Swiss Finance Institute.
• Elisa Al`os & Eulalia Nualart & Makar Pravosud, 2022. "On the implied volatility of Asian options under stochastic volatility models," Papers 2208.01353, arXiv.org, revised Mar 2024.
• Fukker, Gábor & Kaijser, Michiel & Mingarelli, Luca & Sydow, Matthias, 2022. "Contagion from market price impact: a price-at-risk perspective," Working Paper Series 2692, European Central Bank.
• Bougias, Alexandros & Episcopos, Athanasios & Leledakis, George N., 2022. "Valuation of European firms during the Russia-Ukraine war," MPRA Paper 113791, University Library of Munich, Germany.
• Marco Piña & Rodrigo Herrera, 2021. "Risk modeling with option-implied correlations and score-driven dynamics," Working Papers Central Bank of Chile 932, Central Bank of Chile.
• Paul Konietschke & Steven Ongena & Aurea Ponte Marques, 2022. "Stress tests and capital requirement disclosures: do they impact banks' lending and risk-taking decisions?," Swiss Finance Institute Research Paper Series 22-60, Swiss Finance Institute.
• Kyungsub Lee, 2022. "Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures," Papers 2207.05939, arXiv.org, revised Sep 2024.
• Jerry Anunrojwong & Krishnamurthy Iyer & David Lingenbrink, 2022. "Persuading Risk-Conscious Agents: A Geometric Approach," Papers 2208.03758, arXiv.org, revised Jul 2023.
• Alberto Manzano & Emanuele Nastasi & Andrea Pallavicini & Carlos V'azquez, 2022. "Pricing commodity index options," Papers 2208.01289, arXiv.org.
• Einmahl, John & He, Y., 2022. "Extreme Value Inference for General Heterogeneous Data," Other publications TiSEM fd8dd91c-086f-40e6-ac29-3, Tilburg University, School of Economics and Management.