Report NEP-RMG-2022-10-17

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:

• Kan Chen & Tuoyuan Cheng, 2022. "Measuring Tail Risks," Papers 2209.07092, arXiv.org, revised Nov 2022.
• Gabriel Bruneau & Thibaut Duprey & Ruben Hipp, 2022. "Forecasting Banks’ Corporate Loan Losses Under Stress: A New Corporate Default Model," Technical Reports 122, Bank of Canada.
• Del Vecchio, Leonardo & Giglio, Carla & Shaw, Frances & Spanò, Guido & Cappelletti, Giuseppe, 2022. "A sensitivities based CoVaR approach to assets commonality and its application to SSM banks," Working Paper Series 2725, European Central Bank.
• Pablo Garcia Sanchez, 2022. "On climate tail risks," BCL working papers 164, Central Bank of Luxembourg.
• D Barrera & S Cr'epey & E Gobet & Hoang-Dung Nguyen & B Saadeddine, 2022. "Statistical Learning of Value-at-Risk and Expected Shortfall," Papers 2209.06476, arXiv.org, revised Sep 2024.
• Nathan Foley-Fisher & Nathan Heinrich & Stéphane Verani, 2022. "How Do U.S. Life Insurers Manage Liquidity in Times of Stress?," FEDS Notes 2022-08-23, Board of Governors of the Federal Reserve System (U.S.).
• Ian Dew-Becker, 2022. "Tail Risk in Production Networks," NBER Working Papers 30479, National Bureau of Economic Research, Inc.
• Aur'elien Alfonsi & Nerea Vadillo, 2022. "A stochastic volatility model for the valuation of temperature derivatives," Papers 2209.05918, arXiv.org, revised Aug 2023.
• Wenliang Hou, 2022. "How Well Do Retirees Assess the Risks They Face in Retirement?," Issues in Brief ib2022-10, Center for Retirement Research.
• Leigh Wolfrom, 2022. "Could insurance provide an alternative to fiscal support in crisis response?," OECD Working Papers on Fiscal Federalism 40, OECD Publishing.
• Capotă, Laura-Dona & Grill, Michael & Molestina Vivar, Luis & Schmitz, Niklas & Weistroffer, Christian, 2022. "Is the EU money market fund regulation fit for purpose? Lessons from the COVID-19 turmoil," Working Paper Series 2737, European Central Bank.
• Bagnara, Matteo & Jappelli, Ruggero, 2022. "Liquidity derivatives," SAFE Working Paper Series 358, Leibniz Institute for Financial Research SAFE.
• Walch, Florian & Breitenstein, Miriam & Ciummo, Stefania, 2022. "Disclosure of climate change risk in credit ratings," Occasional Paper Series 303, European Central Bank.
• Ruodu Wang & Qinyu Wu, 2022. "Probabilistic risk aversion for generalized rank-dependent functions," Papers 2209.03425, arXiv.org, revised Sep 2024.
• Aglasan, Serkan & Rejesus, Roderick M., 2022. "Do Cover Crops Reduce Production Risk?," 2022 Annual Meeting, July 31-August 2, Anaheim, California 324776, Agricultural and Applied Economics Association.
• Boucherie, Louis & Budnik, Katarzyna & Panos, Jiri, 2022. "Looking at the evolution of macroprudential policy stance: A growth-at-risk experiment with a semi-structural model," Occasional Paper Series 301, European Central Bank.
• Ms. Burcu Hacibedel & Ritong Qu, 2022. "Understanding and Predicting Systemic Corporate Distress: A Machine-Learning Approach," IMF Working Papers 2022/153, International Monetary Fund.
• Francesco Caloia & David-Jan Jansen, 2021. "Flood risk and financial stability: Evidence from a stress test for the Netherlands," Working Papers 730, DNB.
• Karalos Arapakis, 2022. "How Much Do Retirees Spend on Uncertain Health Costs?," Issues in Brief ib2022-14, Center for Retirement Research.
• Minghao Pan, 2022. "Risk and Intertemporal Preferences over Time Lotteries," Papers 2209.01790, arXiv.org.
• El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2022. "On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies," MPRA Paper 114556, University Library of Munich, Germany.
• Larbi Alaoui & Antonio Penta, 2022. "Attitudes Towards Success and Failure," Working Papers 1336, Barcelona School of Economics.
• Mel Win Khaw & Ziang Li & Michael Woodford, 2022. "Cognitive Imprecision and Stake-Dependent Risk Attitudes," CESifo Working Paper Series 9923, CESifo.
• Nghia Chu & Binh Dao & Nga Pham & Huy Nguyen & Hien Tran, 2022. "Predicting Mutual Funds' Performance using Deep Learning and Ensemble Techniques," Papers 2209.09649, arXiv.org, revised Jul 2023.
• Peng Liu & Yanyan Zheng, 2022. "Precision measurement of the return distribution property of the Chinese stock market index," Papers 2209.08521, arXiv.org, revised Nov 2023.