Report NEP-RMG-2023-01-09

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:

• Sarah Kaakai & Anis Matoussi & Achraf Tamtalini, 2024. "Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms," Working Papers hal-03871246, HAL.
• Shuo Gong & Yijun Hu & Linxiao Wei, 2022. "Risk measurement of joint risk of portfolios: a liquidity shortfall aspect," Papers 2212.04848, arXiv.org, revised May 2024.
• Yu Zhao & Huaming Du & Qing Li & Fuzhen Zhuang & Ji Liu & Gang Kou, 2022. "A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective," Papers 2211.14997, arXiv.org, revised May 2023.
• Raphael de Vittoris, 2022. "Event management - Beyond Risk Management, Crisis Management & Business Continuity," Working Papers hal-03881006, HAL.
• Andreas Marcus Gohs, 2022. "The Choice of GARCH Models to Forecast Value-at-Risk for Currencies (Euro Exchange Rates), Crypto Assets (Bitcoin and Ethereum), Gold, Silver and Crude Oil: Automated Processes, Statistical Distributi," MAGKS Papers on Economics 202246, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Damiaan Chen & Roel Beetsma & Sweder van Wijnbergen, 2022. "Intergenerational Sharing of Unhedgeable Inflation Risk," Working Papers 758, DNB.
• Pierre-Charles Pradier & Guillaume Rideau & Sakina Rrguiti, 2022. "Measuring adequately the benefit of diversification in the extreme quantiles: An inquiry into covariation on the brink of catastrophe," Documents de travail du Centre d'Economie de la Sorbonne 22021, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Minasyan Vigen, 2021. "FAMILY OF RISK MEASURES VAR AT AN ARBITRARY DEGREE t> = 1. METHODS OF THEIR CALCULATION AND APPLICATION [СЕМЕЙСТВО МЕР РИСКА VAR В ПРОИЗВОЛЬНОЙ СТЕПЕНИ t >= 1. СПОСОБЫ ИХ ВЫЧИСЛЕНИЯ И ПРИМЕНЕНИЯ]," Working Papers s21123, Russian Presidential Academy of National Economy and Public Administration.
• Li, Xiaoming & Liu, Zheng & Peng, Yuchao & Xu, Zhiwei, 2021. "Bank risk-taking and monetary policy transmission: Evidence from China," BOFIT Discussion Papers 15/2021, Bank of Finland Institute for Emerging Economies (BOFIT).
• Altman, Edward I. & Balzano, Marco & Giannozzi, Alessandro & Srhoj, Stjepan, 2022. "Revisiting SME default predictors: The Omega Score," GLO Discussion Paper Series 1207, Global Labor Organization (GLO).
• Laura Bonacorsi & Vittoria Cerasi & Paola Galfrascoli & Matteo Manera, 2022. "ESG Factors and Firms’ Credit Risk," Working Papers 2022.36, Fondazione Eni Enrico Mattei.
• Dragos Gorduza & Xiaowen Dong & Stefan Zohren, 2022. "Understanding stock market instability via graph auto-encoders," Papers 2212.04974, arXiv.org.
• Mäkinen, Mikko, 2021. "Does a financial crisis change a bank's exposure to risk? A difference-in-differences approach," BOFIT Discussion Papers 8/2021, Bank of Finland Institute for Emerging Economies (BOFIT).
• Nützenadel, Alexander, 2022. "Risk management, expectations and global finance: The case of Deutsche Bank 1970-1990," Working Papers 36, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
• Michael Gurkov & Osnat Zohar, 2022. "Growth at Risk: Forecast Distribution of GDP Growth in Israel," Bank of Israel Working Papers 2022.08, Bank of Israel.
• L. Scaffidi Domianello & G.M. Gallo & E. Otranto, 2022. "Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS," Working Paper CRENoS 202205, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
• Pierre Brugière & Gabriel Turinici, 2022. "Deep learning of Value at Risk through generative neural network models : the case of the Variational Auto Encoder," Working Papers hal-03880381, HAL.
• Hui Zhou & Jun Nagayasu, 2022. "The Non-monotonic Relationship Between ESG Disclosure and Stock Price Crash Risk," DSSR Discussion Papers 134, Graduate School of Economics and Management, Tohoku University.
• Dohmen, Thomas & Quercia, Simone & Willrodt, Jana, 2022. "On the Psychology of the Relation between Optimism and Risk Taking," IZA Discussion Papers 15763, Institute of Labor Economics (IZA).
• Keisuke Kizaki & Taiga Saito & Akihiko Takahashi, 2022. "A Multi-agent Incomplete Equilibrium Model and Its Applications to Reinsurance Pricing and Life-Cycle Investment," CIRJE F-Series CIRJE-F-1206, CIRJE, Faculty of Economics, University of Tokyo.
• Marc Wildi & Branka Hadji Misheva, 2022. "A Time Series Approach to Explainability for Neural Nets with Applications to Risk-Management and Fraud Detection," Papers 2212.02906, arXiv.org.
• Hervé Roche & Juan Sotes-Paladino, 2022. "Sentiment, Mispricing and Excess Volatility in Presence of Institutional Investors," Working Papers 205, Red Nacional de Investigadores en Economía (RedNIE).
• Peter K. Friz & William Salkeld & Thomas Wagenhofer, 2022. "Weak error estimates for rough volatility models," Papers 2212.01591, arXiv.org, revised Aug 2024.
• Dyck, Daniel & Lorenz, Johannes & Sureth, Caren, 2022. "How do tax technology and controversy expertise affect tax disputes?," arqus Discussion Papers in Quantitative Tax Research 274, arqus - Arbeitskreis Quantitative Steuerlehre.
• Galizia, Federico & Perraudin, William & Powell, Andrew & Turner, Timothy, 2021. "Risk Transfer for Multilateral Development Banks: Obstacles and Potential," IDB Publications (Working Papers) 11733, Inter-American Development Bank.
• Malte Knuppel & Fabian Kruger & Marc-Oliver Pohle, 2022. "Score-based calibration testing for multivariate forecast distributions," Papers 2211.16362, arXiv.org, revised Dec 2023.
• Kim Ristolainen, 2022. "Narrative Triggers of Information Sensitivity," Discussion Papers 156, Aboa Centre for Economics.