Report NEP-RMG-2022-10-10

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:

• Xiaochuan Pang & Shushang Zhu & Xueting Cui & Jiali Ma, 2022. "Systemic Risk of Optioned Portfolios: Controllability and Optimization," Papers 2209.04685, arXiv.org.
• Vladislav ?ehá?ek, 2022. "Implementation of risk management in small construction companies in Czechia," Proceedings of Economics and Finance Conferences 13615609, International Institute of Social and Economic Sciences.
• Georgios I. Papayiannis & Athanasios N. Yannacopoulos, 2022. "Convex Risk Measures for the Aggregation of Multiple Information Sources and Applications in Insurance," Papers 2209.05211, arXiv.org.
• Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.
• Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022. "Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP," Papers 2209.01910, arXiv.org.
• Elie Bouri & Rangan Gupta & Hardik A. Marfatia & Jacobus Nel, 2022. "Do Climate Risks Predict US Housing Returns and Volatility? Evidence from a Quantiles-Based Approach," Working Papers 202240, University of Pretoria, Department of Economics.
• Hammitt, James K., 2022. "Downside Risk Aversion vs Decreasing Absolute Risk Aversion: An Intuitive Exposition," TSE Working Papers 22-1359, Toulouse School of Economics (TSE).
• Jukonis, Audrius, 2022. "Evaluating market risk from leveraged derivative exposures," Working Paper Series 2722, European Central Bank.
• Dirk Broeders & Leo de Haan & Jan Willem van den End, 2022. "How QE changes the nature of sovereign risk," Working Papers 737, DNB.
• Castro, M.F.; & Guccio, C.; & Romeo, D.;, 2022. "An assessment of physicians’ risk attitudes using laboratory and field data," Health, Econometrics and Data Group (HEDG) Working Papers 22/26, HEDG, c/o Department of Economics, University of York.
• Couaillier, Cyril & Reghezza, Alessio & Rodriguez d’Acri, Costanza & Scopelliti, Alessandro, 2022. "How to release capital requirements during a pandemic? Evidence from euro area banks," Working Paper Series 2720, European Central Bank.
• Shen Yap & Hui-Shan Lee & Ping-Xin Liew, 2022. "The integration of life and non-life insurance in financial inclusion index," Proceedings of Economics and Finance Conferences 13015540, International Institute of Social and Economic Sciences.
• Jiong Liu & R. A. Serota, 2022. "Rethinking Generalized Beta Family of Distributions," Papers 2209.05225, arXiv.org.
• Ali Zeytoon-Nejad, 2022. "Measuring Price Risk Aversion through Indirect Utility Functions: A Laboratory Experiment," Papers 2209.02653, arXiv.org.
• Claudia Custodio & Miguel A. Ferreira & Emilia Garcia-Appendini, 2022. "Indirect costs of financial distress," Nova SBE Working Paper Series wp648, Universidade Nova de Lisboa, Nova School of Business and Economics.