Report NEP-RMG-2022-11-28

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:

• Shuo Gong & Yijun Hu & Linxiao Wei, 2022. "Distortion risk measures in random environments: construction and axiomatic characterization," Papers 2211.00520, arXiv.org, revised Mar 2023.
• Yoshihiro Shirai, 2022. "Extreme Measures in Continuous Time Conic Finace," Papers 2210.13671, arXiv.org, revised Oct 2023.
• Sarah Kaakai & Anis Matoussi & Achraf Tamtalini, 2022. "Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation," Working Papers hal-03817818, HAL.
• Alessandro Bondi & Sergio Pulido & Simone Scotti, 2022. "The rough Hawkes Heston stochastic volatility model," Working Papers hal-03827332, HAL.
• Constantin Bürgi & Bo Jiang, 2022. "Monetary Policy, Funding Cost and Banks’ Risk-Taking: Evidence from the United States," CESifo Working Paper Series 9995, CESifo.
• Kevin Hu & Retsef Levi & Raphael Yahalom & El Ghali Zerhouni, 2022. "Supply Chain Characteristics as Predictors of Cyber Risk: A Machine-Learning Assessment," Papers 2210.15785, arXiv.org, revised Nov 2023.
• Tchoudi, William & Sergeenko, Grigory, 2022. "Optimal Trading Portfolio Allocation Enhancement with Maximum Drawdown Using Triple Penance Rule," AfricArxiv uef3y, Center for Open Science.
• Max Nendel & Alessandro Sgarabottolo, 2022. "A parametric approach to the estimation of convex risk functionals based on Wasserstein distance," Papers 2210.14340, arXiv.org, revised Aug 2024.
• Geon Lee & Tae-Kyoung Kim & Hyun-Gyoon Kim & Jeonggyu Huh, 2022. "Newton Raphson Emulation Network for Highly Efficient Computation of Numerous Implied Volatilities," Papers 2210.15969, arXiv.org.
• Yasin Kürsat Önder, 2022. "Optimal GDP-indexed Bonds," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 22/1056, Ghent University, Faculty of Economics and Business Administration.
• Suchetana Sadhukhan & Shiv Manjaree Gopaliya & Pushpdant Jain, 2022. "A novel approach to quantify volatility prediction," Papers 2211.00528, arXiv.org.
• Anusha Chari & Karlye Dilts Stedman & Christian Lundblad, 2022. "Global Fund Flows and Emerging Market Tail Risk," NBER Working Papers 30577, National Bureau of Economic Research, Inc.
• Jaqueson Galimberti & Lydia Cheung & Philip Vermeulen, 2022. "Evidence on the variation of idiosyncratic risk in house price appreciation," Working Papers 2022-05, Auckland University of Technology, Department of Economics.
• Vanhaverbeke, Steven & Balsmeier, Benjamin & Doherr, Thorsten, 2022. "Mandatory financial information disclosure and credit ratings," ZEW Discussion Papers 22-043, ZEW - Leibniz Centre for European Economic Research.
• Auld, T., 2022. "Betting and financial markets are cointegrated on election night," Cambridge Working Papers in Economics 2263, Faculty of Economics, University of Cambridge.
• Du, Chuan, 2022. "Collateral requirements in central bank lending," Bank of England working papers 987, Bank of England.