Report NEP-RMG-2022-09-19

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:

• Lee, David, 2022. "Pricing Cancellation Product," MPRA Paper 114147, University Library of Munich, Germany.
• Avik Das & Devanjali Nandi Das, 2022. "Understanding Volatility Spillover Relationship Among G7 Nations And India During Covid-19," Papers 2208.09148, arXiv.org.
• Emanuel Sommer & Karoline Bax & Claudia Czado, 2022. "Vine Copula based portfolio level conditional risk measure forecasting," Papers 2208.09156, arXiv.org, revised Feb 2023.
• Lyons, Paul & Rice, Jonathan, 2022. "Risk Weights on Irish Mortgages," Financial Stability Notes 1/FS/22, Central Bank of Ireland.
• Amine Ouazad, 2022. "Do Investors Hedge Against Green Swans? Option-Implied Risk Aversion to Wildfires," Papers 2208.06930, arXiv.org.
• Nicklas Werge, 2021. "Predicting Risk-adjusted Returns using an Asset Independent Regime-switching Model," Post-Print hal-03313129, HAL.
• Boyi Jin, 2022. "An intelligent algorithmic trading based on a risk-return reinforcement learning algorithm," Papers 2208.10707, arXiv.org, revised Aug 2022.
• Braga, Maria Debora & Nava, Consuelo R. & Zoia, Maria Grazia, 2022. "Kurtosis-Based Risk Parity: Methodology and Portfolio Effects," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202208, University of Turin.
• Battulga Gankhuu, 2022. "Merton's Default Risk Model for Private Company," Papers 2208.01974, arXiv.org.
• Gapeev, Pavel V. & Jeanblanc, Monique, 2021. "First-to-default and second-to-default options in models with various information flows," LSE Research Online Documents on Economics 110750, London School of Economics and Political Science, LSE Library.
• Yuyu Chen & Paul Embrechts & Ruodu Wang, 2022. "An unexpected stochastic dominance: Pareto distributions, dependence, and diversification," Papers 2208.08471, arXiv.org, revised Mar 2024.
• Karl Friedrich Siburg & Christopher Strothmann & Gregor Wei{ss}, 2022. "Comparing and quantifying tail dependence," Papers 2208.10319, arXiv.org.
• Hamed Taherdoost, 2021. "A Review on Risk Management in Information Systems: Risk Policy, Control and Fraud Detection," Post-Print hal-03741848, HAL.
• Giacomo De Giorgi & Costanza Naguib, 2022. "Life after Default: Credit Hardship and its Effects," Diskussionsschriften dp2206, Universitaet Bern, Departement Volkswirtschaft.
• Marie Michaelides & Mathieu Pigeon & H'el`ene Cossette, 2022. "Individual Claims Reserving using Activation Patterns," Papers 2208.08430, arXiv.org, revised Aug 2023.
• Maulana Harris Muhajir, 2022. "Macrofinancial determinants of default probability using copula: A case study of Indonesian banks," 2022 Stata Conference 10, Stata Users Group.
• Refk Selmi, 2022. "A war in a pandemic-The recent spike in economic uncertainty and the hedging abilities of Bitcoin," Post-Print hal-03737131, HAL.
• Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2022. "Beta-Sorted Portfolios," Papers 2208.10974, arXiv.org, revised Jul 2023.
• Jean-Marc Le Caillec, 2022. "Hypothesis Testing Fusion for Nonlinearity Detection in Hedge Fund Price Returns," Post-Print hal-03739132, HAL.
• Carlos Alberto Piscarreta Pinto Ferreira, 2022. "Revisiting The Determinants Of Sovereign Bond Yield Volatility," Working Papers REM 2022/0241, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Angelopoulos, Anastasios N. & Bates, Stephen & Candes, Emmanuel J. & Jordan, Michael I. & Lei, Lihua, 2022. "Learn Then Test: Calibrating Predictive Algorithms to Achieve Risk Control," Research Papers 4030, Stanford University, Graduate School of Business.