Report NEP-RMG-2023-02-13

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:

• Xia Han & Liyuan Lin & Ruodu Wang, 2023. "Diversification quotients based on VaR and ES," Papers 2301.03517, arXiv.org, revised May 2023.
• Zeddouk, Fadoua & Devolder, Pierre, 2022. "Pricing and hedging of longevity basis risk through securitization," LIDAM Discussion Papers ISBA 2022038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Dupret, Jean-Loup & Hainaut, Donatien, 2023. "A fractional Hawkes process for illiquidity modeling," LIDAM Discussion Papers ISBA 2023001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Watanabe, Toshiaki & Nakajima, Jouchi, 2023. "High-frequency realized stochastic volatility model," Discussion paper series HIAS-E-127, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
• Joshua Bosshardt & Ali Kakhbod & Farzad Saidi, 2023. "Liquidity Regulation and Bank Risk Taking on the Horizon," CRC TR 224 Discussion Paper Series crctr224_2023_389, University of Bonn and University of Mannheim, Germany.
• Thomas Dierckx & Jesse Davis & Wim Schoutens, 2022. "Nowcasting Stock Implied Volatility with Twitter," Papers 2301.00248, arXiv.org.
• Al-Hassan, Hassana & Devolder, Pierre, 2022. "Stochastic Modellization of Hybrid Public Pension Plans (PAYG) under Demographic Risks with Application to the Belgian Case," LIDAM Discussion Papers ISBA 2022042, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Brückbauer, Frank & Cezanne, Thibault, 2022. "Bank manager sentiment, loan growth and bank risk," ZEW Discussion Papers 22-066, ZEW - Leibniz Centre for European Economic Research.
• Jan K. Brueckner & Stuart S. Rosenthal, 2022. "Tenant Riskiness, Contract Length, and the Term Structure of Commercial Leases," CESifo Working Paper Series 10189, CESifo.
• Yuqi Li & Lihua Zhang, 2022. "Achieving a Given Financial Goal with Optimal Deferred Term Insurance Purchasing Policy," Papers 2301.04118, arXiv.org.
• Putri, Dini Fonika & Afriyeni, Afriyeni & fernos, jhon, 2022. "Penerapan Manajemen Risiko Operasional Unit Customer Service PT. Bank Nagari Cabang Alahan Panjang," OSF Preprints da9hs, Center for Open Science.
• Kerem Tuzcuoglu, 2023. "Risk Amplification Macro Model (RAMM)," Technical Reports 123, Bank of Canada.
• Pickard, Harry & Dohmen, Thomas & van Landeghem, Bert, 2023. "Inequality and Risk Preference," IZA Discussion Papers 15854, Institute of Labor Economics (IZA).
• Wulandari, Ratna & Afriyeni, Afriyeni & fernos, jhon, 2022. "Resiko Operasional Unit Teller Dan Customer Service Pada PT. BPR Ophir Pasaman Barat," OSF Preprints f7ruq, Center for Open Science.
• Jarek Kk{e}dra & Assaf Libman & Victoria Steblovskaya, 2023. "Minimum Cost Super-Hedging in a Discrete Time Incomplete Multi-Asset Binomial Market," Papers 2301.02912, arXiv.org, revised May 2024.
• Wassima Lakhchini & Rachid Wahabi & Mounime El Kabbouri, 2022. "Artificial Intelligence & Machine Learning in Finance: A literature review," Post-Print hal-03916744, HAL.
• Item repec:hal:journl:hal-03031751 is not listed on IDEAS anymore

• Masayuki SATO & Shin KINOSHITA & Takanori IDA, 2022. "Subjective Risk Valuation and Behavioral Change : Evidence from COVID-19 in the U.K. and Japan," Discussion papers e-22-011, Graduate School of Economics , Kyoto University.
• Evangelos Benos & Gerardo Ferrara & Angelo Ranaldo, 2022. "Collateral Cycles," Swiss Finance Institute Research Paper Series 22-91, Swiss Finance Institute.
• Denuit, Michel & Trufin, Julien, 2022. "Autocalibration by balance correction in nonlife insurance pricing," LIDAM Discussion Papers ISBA 2022041, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).