Report NEP-RMG-2022-10-03

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:

• Zhiyi Shen, 2022. "Out-of-Model Adjustments of Variable Annuities," Papers 2208.12838, arXiv.org.
• Roger J. A. Laeven & Emanuela Rosazza Gianin, 2022. "Quasi-Logconvex Measures of Risk," Papers 2208.07694, arXiv.org.
• Jozef Barunik & Matej Nevrla, 2022. "Common Idiosyncratic Quantile Risk," Papers 2208.14267, arXiv.org, revised Nov 2024.
• Guangyan Jia & Mengjin Zhao, 2022. "On the Correspondence and the Risk Contribution for Conditional Coherent and Deviation Risk Measures," Papers 2208.13336, arXiv.org, revised Feb 2023.
• Felix Polyakov, 2022. "Biology-inspired geometric representation of probability and applications to completion and options' pricing," Papers 2209.04264, arXiv.org.
• Leonardo de Assis Santos & Leonardo Marques, 2022. "Big data analytics for supply chain risk management: research opportunities at process crossroads," Post-Print hal-03766121, HAL.
• Suen, Richard M. H., 2022. "Precautionary Saving Behaviour under Ambiguity," MPRA Paper 114382, University Library of Munich, Germany.
• Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto, 2022. "The systemic risk of US oil and natural gas companies," JRC Working Papers in Economics and Finance 2022-11, Joint Research Centre, European Commission.
• Marcos Escobar-Anel & Yevhen Havrylenko & Rudi Zagst, 2022. "Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model," Papers 2208.14152, arXiv.org, revised Jul 2024.
• Camilo Eduardo Sánchez-Quinto, 2022. "SRISK: una medida de riesgo sistémico para la banca colombiana 2005-2021," Borradores de Economia 1207, Banco de la Republica de Colombia.
• Anand, Vaibhav, 2022. "The Value of Forecast Improvements: Evidence from Advisory Lead Times and Vehicle Crashes," MPRA Paper 114491, University Library of Munich, Germany.
• Aur'elien Alfonsi & Bernard Lapeyre & J'er^ome Lelong, 2022. "How many inner simulations to compute conditional expectations with least-square Monte Carlo?," Papers 2209.04153, arXiv.org, revised May 2023.
• Alessi, Lucia & Di Girolamo, Francesca Erica & Pagano, Andrea & Petracco Giudici, Marco, 2022. "Accounting for climate transition risk in banks' capital requirements," JRC Working Papers in Economics and Finance 2022-08, Joint Research Centre, European Commission.
• Thomas M. Eisenbach & Gregory Phelan, 2022. "How Can Safe Asset Markets Be Fragile?," Liberty Street Economics 20220908, Federal Reserve Bank of New York.
• Shah, Anand & Bahri, Anu, 2022. "Metanomics: Adaptive market and volatility behaviour in Metaverse," MPRA Paper 114442, University Library of Munich, Germany.
• Jonathan Berrisch & Sven Pappert & Florian Ziel & Antonia Arsova, 2022. "Modeling Volatility and Dependence of European Carbon and Energy Prices," Papers 2208.14311, arXiv.org, revised Feb 2023.
• Emanuel Kohlscheen, 2022. "Quantifying the Role of Interest Rates, the Dollar and Covid in Oil Prices," Papers 2208.14254, arXiv.org, revised Oct 2022.
• Yeorim Kim & Mauro Mastrogiacomo & Stefan Hochguertel & Hans Bloemen, 2022. "Till debt do us part: strategic divorces and a test of moral hazard," Working Papers 749, DNB.
• Kazuya Suzuki & Kana Sasamoto, 2022. "Quantitative Analysis of Haircuts: Evidence from the Japanese Repo and Securities Lending Markets," Bank of Japan Working Paper Series 22-E-13, Bank of Japan.