Report NEP-RMG-2023-01-23

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:

• Item repec:ies:wpaper:f202211 is not listed on IDEAS anymore

• Joseph Levitas & Konstantin Yavilberg & Oleg Korol & Genadi Man, 2022. "Prediction of Auto Insurance Risk Based on t-SNE Dimensionality Reduction," Papers 2212.09385, arXiv.org, revised Mar 2023.
• Pierre-Edouard Arrouy & Alexandre Boumezoued & Bernard Lapeyre & Sophian Mehalla, 2022. "Economic Scenario Generators: a risk management tool for insurance," Post-Print hal-03671943, HAL.
• Haufler, Andreas & Lülfesmann, Christoph, 2022. "Voluntary Equity, Project Risk, and Capital Requirements," Rationality and Competition Discussion Paper Series 357, CRC TRR 190 Rationality and Competition.
• Guohui Guan & Zongxia Liang & Yilun Song, 2022. "A Stackelberg reinsurance-investment game under $\alpha$-maxmin mean-variance criterion and stochastic volatility," Papers 2212.14327, arXiv.org.
• Roger Knecktys & Henrik Bette & Rudiger Kiesel & Thomas Guhr, 2022. "Risk Theory and Pricing of "Pay-for-Performance" Business Models," Papers 2212.09585, arXiv.org.
• Xavier Mateos-Planas & Giulio Seccia, 2021. "Trade Credit Default," Discussion Papers 2125, Centre for Macroeconomics (CFM).
• Andrew Y. Chen & Alejandro Lopez-Lira & Tom Zimmermann, 2022. "Does Peer-Reviewed Research Help Predict Stock Returns?," Papers 2212.10317, arXiv.org, revised Jun 2024.
• Matthias Nadler & Felix Bekemeier & Fabian Schar, 2022. "DeFi Risk Transfer: Towards A Fully Decentralized Insurance Protocol," Papers 2212.10308, arXiv.org.
• Haselmann, Rainer & Kick, Thomas & Singla, Shikhar & Vig, Vikrant, 2022. "Capital regulation, market-making, and liquidity," LawFin Working Paper Series 44, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
• Andreas J. Dambaur & Keith Marzilli Ericson & Johannes G. Jaspersen & Sandra Zoller, 2022. "Risk Management and the Autonomy of Labor," NBER Working Papers 30793, National Bureau of Economic Research, Inc.
• Francisco Amaral & Martin Dohmen & Sebastian Kohl & Moritz Schularick, 2021. "Superstar Returns," SciencePo Working papers Main hal-03881493, HAL.
• Daiya Mita & Akihiko Takahashi, 2022. "Multi-Agent Model Based Proactive Risk Management For Equity Investment," CIRJE F-Series CIRJE-F-1207, CIRJE, Faculty of Economics, University of Tokyo.
• Timo Dimitriadis & Roxana Halbleib & Jeannine Polivka & Jasper Rennspies & Sina Streicher & Axel Friedrich Wolter, 2022. "Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models," Papers 2212.11833, arXiv.org, revised Dec 2023.
• Matthew Lorig & Natchanon Suaysom, 2022. "Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models," Papers 2212.04425, arXiv.org.
• Kochov, Asen & Song, Yangwei, 2022. "Intertemporal Hedging and Trade in Repeated Games with Recursive Utility," Rationality and Competition Discussion Paper Series 361, CRC TRR 190 Rationality and Competition.
• FATICA Serena & OLIVIERO Tommaso & RANCAN Michela, 2022. "On the determinants of corporate default in the EU-27: Evidence from a large sample of companies," JRC Research Reports JRC131613, Joint Research Centre.
• Michele Fioretti & Hongming Wang, 2021. "Performance Pay in Insurance Markets: Evidence from Medicare," SciencePo Working papers Main hal-03791843, HAL.