Report NEP-RMG-2023-01-16

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-RMG

The following items were announced in this report:

• Shuhua Xiao & Jiali Ma & Li Xia & Shushang Zhu, 2022. "Optimal Systemic Risk Bailout: A PGO Approach Based on Neural Network," Papers 2212.05235, arXiv.org.
• Spiros Bougheas & Adam Hal Spencer, 2022. "Fire Sales and Ex Ante Valuation of Systemic Risk: A Financial Equilibrium Networks Approach," CESifo Working Paper Series 10111, CESifo.
• Bustos, Emil & Engist, Oliver & Martinsson, Gustav & Thomann, Christian, 2022. "Financing Constraints and Risk Management: Evidence From Micro-Level Insurance Data," Working Paper Series 1452, Research Institute of Industrial Economics.
• F. Marta L. Di Lascio & Ilan Noy & Selene Perazzini, 2022. "Modelling spatial correlation between earthquake insured losses in New Zealand: a mixed-effects analysis," BEMPS - Bozen Economics & Management Paper Series BEMPS98, Faculty of Economics and Management at the Free University of Bozen.
• 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," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03887413, HAL.
• Emmanuel Alanis & Sudheer Chava & Agam Shah, 2022. "Benchmarking Machine Learning Models to Predict Corporate Bankruptcy," Papers 2212.12051, arXiv.org.
• Chun Yat Yeung & Ali Hirsa, 2022. "Saddle-Point Approach to Large-Time Volatility Smile," Papers 2212.05671, arXiv.org.
• Gero Junike & Hauke Stier & Marcus C. Christiansen, 2022. "Profit and loss decomposition in continuous time and approximations," Papers 2212.06733, arXiv.org, revised Dec 2024.
• Awatef Ourir & Elie Bouri & Essahbi Essaadi, 2021. "Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach," Working Papers 1511, Economic Research Forum, revised 20 Nov 2021.
• Jakub Warmuz & Amit Chaudhary & Daniele Pinna, 2022. "Toxic Liquidation Spirals," Papers 2212.07306, arXiv.org, revised Jan 2023.
• Mehmet Balcilar & Shawkat Hammoudeh, 2022. "Financial Connectedness and Risk Transmission Among MENA Countries: Evidence from Connectedness Network and Clustering Analysis," Working Papers 1605, Economic Research Forum, revised 20 Nov 2022.
• Alessandro Gnoatto & Silvia Lavagnini & Athena Picarelli, 2022. "Deep Quadratic Hedging," Papers 2212.12725, arXiv.org, revised Nov 2024.
• Marc Chataigner & Areski Cousin & St'ephane Cr'epey & Matthew Dixon & Djibril Gueye, 2022. "Beyond Surrogate Modeling: Learning the Local Volatility Via Shape Constraints," Papers 2212.09957, arXiv.org.
• Dongwon Lee, 2023. "Financial integration and international risk spillovers," Working Papers 202301, University of California at Riverside, Department of Economics.
• Kanis Saengchote, 2022. "Decentralized lending and its users: Insights from Compound," Papers 2212.05734, arXiv.org.
• Dongli Wu & Bufan Zhang & Xiao Lin, 2022. "Efficient and Accurate Calibration to FX Market Skew with Fully Parameterized Local Volatility Model," Papers 2211.14431, arXiv.org, revised Apr 2023.
• Hossein Rad & Rand Kwong Yew Low & Joelle Miffre & Robert Faff, 2022. "The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures," Post-Print hal-03881976, HAL.
• Beutel, Johannes & Emter, Lorenz & Metiu, Norbert & Prieto, Esteban & Schüler, Yves, 2022. "The global financial cycle and macroeconomic tail risks," Discussion Papers 43/2022, Deutsche Bundesbank.
• Joost Bats & Giovanna Bua & Daniel Kapp, 2023. "Physical and transition risk premiums in euro area corporate bond markets," Working Papers 761, DNB.
• Francisco Amaral & Martin Dohmen & Sebastian Kohl & Moritz Schularick, 2021. "Superstar Returns," Working Papers hal-03881493, HAL.
• Pierre-Edouard Arrouy & Alexandre Boumezoued & Bernard Lapeyre & Sophian Mehalla, 2022. "Jacobi Stochastic Volatility factor for the Libor Market Model," Post-Print hal-02468583, HAL.
• François Le Grand & Xavier Ragot, 2021. "Sovereign Default and Liquidity: The Case for a World Safe Asset," Post-Print hal-03501397, HAL.
• Nicole Bauerle & An Chen, 2022. "Optimal investment under partial information and robust VaR-type constraint," Papers 2212.04394, arXiv.org, revised Sep 2023.
• Wenli Li & Costas Meghir & Florian Oswald, 2022. "Consumer Bankrupcty, Mortgage Default and Labor Supply," Working Papers hal-03882830, HAL.
• Harrison Mateika & Juannan Jia & Linda Lillard & Noah Cronbaugh & Will Shin, 2022. "Fallen Angel Bonds Investment and Bankruptcy Predictions Using Manual Models and Automated Machine Learning," Papers 2212.03454, arXiv.org, revised Dec 2022.
• Langenbucher, Katja, 2022. "Consumer credit in the age of AI: Beyond anti-discrimination law," SAFE Working Paper Series 369, Leibniz Institute for Financial Research SAFE.