Report NEP-RMG-2022-11-14

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:

• Aadi Gupta & Priya Gulati & Siddhartha P. Chakrabarty, 2022. "Classification based credit risk analysis: The case of Lending Club," Papers 2210.05136, arXiv.org.
• Fernando Moreno-Pino & Stefan Zohren, 2022. "DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions," Papers 2210.04797, arXiv.org, revised Aug 2024.
• Arthur Seibold & Sebastian Seitz & Sebastian Siegloch, 2022. "Privatizing Disability Insurance," CESifo Working Paper Series 9979, CESifo.
• Herings, P.J.J. & Zhan, Yang, 2022. "Competitive Equilibria in Incomplete Markets with Risk Loving Preferences," Other publications TiSEM a8d79048-2351-4e73-97ce-9, Tilburg University, School of Economics and Management.
• Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.
• Fehrle, Daniel, 2022. "Hedging Against Inflation: Housing vs. Equity," VfS Annual Conference 2022 (Basel): Big Data in Economics 264044, Verein für Socialpolitik / German Economic Association.
• Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Minimax Theory," Papers 2210.01214, arXiv.org, revised Feb 2024.
• Petrovich, Beatrice & Carattini, Stefano & Wüstenhagen, Rolf, 2021. "The price of risk in residential solar investments," LSE Research Online Documents on Economics 108405, London School of Economics and Political Science, LSE Library.
• Yan Dolinsky, 2022. "Duality Theory for Exponential Utility--Based Hedging in the Almgren--Chriss Model," Papers 2210.03917, arXiv.org, revised Jun 2023.
• Wenfeng He & Xiaoling Mei & Wei Zhong & Huanjun Zhu, 2022. "Multiperiod Dynamic Portfolio Choice: When High Dimensionality Meets Return Predictability," Working Papers 2022-10-26, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
• Darke, Matthew James, 2022. "How the risk of job automation in the UK has changed over time," Warwick-Monash Economics Student Papers 41, Warwick Monash Economics Student Papers.
• Filippo Ippolito & Alessandro Villa, 2022. "Levered Returns and Capital Structure Imbalances," Working Paper Series WP 2022-42, Federal Reserve Bank of Chicago.
• Alturki,Sultan Abdulaziz M & Hibbert,Ann Marie, 2021. "The Impact of Oil Shocks on Sovereign Default Risk," Policy Research Working Paper Series 9546, The World Bank.