Report NEP-RMG-2023-02-06

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:

• Filippo Curti & Marco Migueis, 2023. "The Information Value of Past Losses in Operational Risk," Finance and Economics Discussion Series 2023-003, Board of Governors of the Federal Reserve System (U.S.).
• fernos, jhon & efrinaldo, Ihwalia, 2022. "Analisis Penerapan Manajemen Risiko Kredit Pada PT. Pegadaian (Persero) UPC Belimbing Padang," OSF Preprints 8j6b3, Center for Open Science.
• fernos, jhon & Itra, Nelgia, 2022. "Analisis Manajemen Risiko Produk Kredit Pemilikan Rumah Pada PT. Bank Tabungan Negara (Persero) Tbk. Kantor Cabang Padang," OSF Preprints adtu4, Center for Open Science.
• Jose Cobian & Budy P. Resosudarmo & Alin Halimatussadiah & Susan Olivia, 2022. "Demand for index-based flood insurance in Jakarta, Indonesia," Departmental Working Papers 2022-12, The Australian National University, Arndt-Corden Department of Economics.
• Samuel Solgon Santos & Marcelo Brutti Righi & Eduardo de Oliveira Horta, 2022. "The limitations of comonotonic additive risk measures: a literature review," Papers 2212.13864, arXiv.org, revised Jan 2024.
• Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2022. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Working Papers hal-03902513, HAL.
• Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur, 2022. "The impact of risk cycles on business cycles: a historical view," LSE Research Online Documents on Economics 117384, London School of Economics and Political Science, LSE Library.
• Wang, Yuanrong & Aste, Tomaso, 2023. "Dynamic portfolio optimization with inverse covariance clustering," LSE Research Online Documents on Economics 117701, London School of Economics and Political Science, LSE Library.
• Antonis Demos, 2023. "Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2303, Athens University of Economics and Business.
• Wolfgang Karl Hardle & Yegor Klochkov & Alla Petukhina & Nikita Zhivotovskiy, 2022. "Robustifying Markowitz," Papers 2212.13996, arXiv.org.
• Kenjiro Hori & Stephen Wright, 2022. "Unpleasant Actuarial Arithmetic: Fair Contribution Rates for Defined Benefit Pension Schemes," Birkbeck Working Papers in Economics and Finance 2201, Birkbeck, Department of Economics, Mathematics & Statistics.
• John B. Shoven & Daniel B. Walton, 2023. "Target Retirement Fund: A Variant on Target Date Funds that uses Deferred Life Annuities rather than Bonds to Reduce Risk as Retirement Approaches," NBER Working Papers 30817, National Bureau of Economic Research, Inc.
• Ricardo Mu~noz-Cancino & Cristi'an Bravo & Sebasti'an A. R'ios & Manuel Gra~na, 2022. "Assessment of creditworthiness models privacy-preserving training with synthetic data," Papers 2301.01212, arXiv.org.