Report NEP-RMG-2022-11-07

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:

• Xenxo Vidal-Llana & Carlos Salort Sánchez & Vincenzo Coia & Montserrat Guillen, 2022. ""Non-Crossing Dual Neural Network: Joint Value at Risk and Conditional Tail Expectation estimations with non-crossing conditions"," IREA Working Papers 202215, University of Barcelona, Research Institute of Applied Economics, revised Oct 2022.
• Weihuan Huang & Nifei Lin & L. Jeff Hong, 2022. "Monte-Carlo Estimation of CoVaR," Papers 2210.06148, arXiv.org.
• Devang Sinha & Siddhartha P. Chakrabarty, 2022. "Multilevel Monte Carlo and its Applications in Financial Engineering," Papers 2209.14549, arXiv.org.
• Huneeus,Federico & Kaboski,Joseph P. & Larrain,Mauricio & Schmukler,Sergio L. & Vera,Mario, 2022. "The Distribution of Crisis Credit : Effects on Firm Indebtedness and Aggregate Risk," Policy Research Working Paper Series 9937, The World Bank.
• Hu, Shuang & Peng, Zuoxiang & Segers, Johan, 2022. "Modelling multivariate extreme value distributions via Markov trees," LIDAM Discussion Papers ISBA 2022021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Ketelbuters, John-John & Hainaut, Donatien, 2022. "A recursive method for computing moments of Hawkes intensities: application to the potential approach of credit risk," LIDAM Discussion Papers ISBA 2022026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Giulia Di Nunno & Anton Yurchenko-Tytarenko, 2022. "Sandwiched Volterra Volatility model: Markovian approximations and hedging," Papers 2209.13054, arXiv.org, revised Jul 2024.
• Denuit, Michel & Robert, Christian Y., 2022. "Allocation of benefits in mutual aid and survivor funds," LIDAM Discussion Papers ISBA 2022029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Nassim Nicholas Taleb & Jeffrey West, 2022. "Working With Convex Responses: Antifragility From Finance to Oncology," Papers 2209.14631, arXiv.org, revised Jan 2023.
• Seibold, Arthur & Seitz, Sebastian & Siegloch, Sebastian, 2022. "Privatizing Disability Insurance," IZA Discussion Papers 15579, Institute of Labor Economics (IZA).
• Fengler, Matthias & Polivka, Jeannine, 2022. "Structural Volatility Impulse Response Analysis," Economics Working Paper Series 2211, University of St. Gallen, School of Economics and Political Science, revised Nov 2022.
• Fornari, Fabio & Zaghini, Andrea, 2022. "It’s not time to make a change: sovereign fragility and the corporate credit risk," Working Paper Series 2740, European Central Bank.
• Herrera Dappe,Matias & Musacchio,Aldo & Pan,Carolina & Semikolenova,Yadviga Viktorivna & Turkgulu,Burak & Barboza,Jonathan, 2022. "Smoke and Mirrors : Infrastructure State-Owned Enterprises and Fiscal Risks," Policy Research Working Paper Series 9970, The World Bank.
• Dafermos, Yannis & van Lerven, Frank & Nikolaidi, Maria, 2022. "Greening capital requirements," LSE Research Online Documents on Economics 116946, London School of Economics and Political Science, LSE Library.
• Ananda Chatterjee & Hrisav Bhowmick & Jaydip Sen, 2022. "Stock Volatility Prediction using Time Series and Deep Learning Approach," Papers 2210.02126, arXiv.org.
• Michael Adam, 2022. "Potential Applications of Quantum Computing for the Insurance Industry," Papers 2210.06172, arXiv.org.
• Feyen,Erik H.B. & Mare,Davide Salvatore, 2021. "Measuring Systemic Banking Resilience : A Simple Reverse Stress Testing Approach," Policy Research Working Paper Series 9864, The World Bank.
• A. N. M. Sajedul Alam & Junaid Bin Kibria & Arnob Kumar Dey & Zawad Alam & Shifat Zaman & Motahar Mahtab & Mohammed Julfikar Ali Mahbub & Annajiat Alim Rasel, 2022. "A Survey: Credit Sentiment Score Prediction," Papers 2209.15293, arXiv.org.