Report NEP-RMG-2023-01-02

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:

• Juselius, Mikael & Tarashev, Nikola A., 2022. "When uncertainty decouples expected and unexpected losses," Bank of Finland Research Discussion Papers 4/2022, Bank of Finland.
• Congressional Budget Office, 2022. "How CBO Analyzes Public-Private Risk Sharing in Insurance Markets," Reports 57615, Congressional Budget Office.
• Spiros Bougheas & Adam Spencer, 2022. "Fire Sales and Ex Ante Valuation of Systemic Risk: A Financial Equilibrium Networks Approach," National Institute of Economic and Social Research (NIESR) Discussion Papers 544, National Institute of Economic and Social Research.
• Pierre-Loic M'eliot & Ashkan Nikeghbali & Gabriele Visentin, 2022. "Mod-Poisson approximation schemes: Applications to credit risk," Papers 2211.04436, arXiv.org.
• Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 115382, University Library of Munich, Germany, revised 16 Nov 2022.
• Amin Izadyar & Shiva Zamani, 2022. "Investor base and idiosyncratic volatility of cryptocurrencies," Papers 2211.13274, arXiv.org.
• Cyril Pouvelle., 2022. "An Analysis of Financial Conglomerate Resilience: A Perspective on bancassurance in France [Une analyse de la résilience des conglomérats financiers : Une perspective sur la bancassurance en France," Débats économiques et financiers 39, Banque de France.
• Tihana Škrinjarić, 2022. "Introduction of the composite indicator of cyclical systemic risk in Croatia: possibilities and limitations," Working Papers 68, The Croatian National Bank, Croatia.
• Saroyan, Susanna, 2022. "Counterparty choice, maturity shifts and market freezes: lessons from the e-MID interbank market," INET Oxford Working Papers 2022-28, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
• Bodnar, Taras & Mazur, Stepan & Nguyen, Hoang, 2022. "Estimation of optimal portfolio compositions for small sampleand singular covariance matrix," Working Papers 2022:15, Örebro University, School of Business.
• Georgij Alekseev & Stefano Giglio & Quinn Maingi & Julia Selgrad & Johannes Stroebel, 2022. "A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios," NBER Working Papers 30703, National Bureau of Economic Research, Inc.
• Camerlenghi, Federico & Favaro, Stefano & Naulet, Zacharie & Panero, Francesca, 2021. "Optimal disclosure risk assessment," LSE Research Online Documents on Economics 117304, London School of Economics and Political Science, LSE Library.
• Fortin, Ines & Hlouskova, Jaroslava, 2022. "Prospect theory and asset allocation," IHS Working Paper Series 42, Institute for Advanced Studies.
• Pasquale De Rosa & Valerio Schiavoni, 2022. "Understanding Cryptocoins Trends Correlations," Papers 2212.01267, arXiv.org.
• Tang, Xinyin & Feng, Chong & Zhu, Jianping & He, Minna, 2022. "How Can We Learn from Borrowers’ Online Behaviors? The Signal Effect of Borrowers’ Platform Involvement on Their Credit Risk," SocArXiv qga8j, Center for Open Science.
• Li, Chenxing & Maheu, John M & Yang, Qiao, 2022. "An Infinite Hidden Markov Model with Stochastic Volatility," MPRA Paper 115456, University Library of Munich, Germany.
• Zbigniew Palmowski & Pawe{l} Stk{e}pniak, 2022. "Last passage American cancellable option in L\'evy models," Papers 2212.01119, arXiv.org.
• Andreasen, Martin Møller & Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2021. "Why does risk matter more in recessions than in expansions?," Bank of Finland Research Discussion Papers 13/2021, Bank of Finland.
• Harry Pickard & Thomas Dohmen & Bert Van Landeghem, 2022. "Inequality and risk preference," Working Papers 2022022, The University of Sheffield, Department of Economics.
• Montes-Galdón, Carlos & Paredes, Joan & Wolf, Elias, 2022. "Conditional density forecasting: a tempered importance sampling approach," Working Paper Series 2754, European Central Bank.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022. "Gold and Silver as Safe Havens: A Fractional Integration and Cointegration Analysis," CESifo Working Paper Series 10084, CESifo.
• Nissinen, Juuso & Sihvonen, Markus, 2022. "Bond convenience curves and funding costs," Bank of Finland Research Discussion Papers 11/2022, Bank of Finland.