Report NEP-RMG-2023-02-20

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:

• Claudio Albanese & Stéphane Crépey & Stefano Iabichino, 2022. "Quantitative Reverse Stress Testing, Bottom Up," Working Papers hal-03910136, HAL.
• Thomas Schneider & Philip Strahan & Jun Yang, 2023. "Bank Stress Testing, Human Capital Investment and Risk Management," NBER Working Papers 30867, National Bureau of Economic Research, Inc.
• Denuit, Michel & Robert, Christian Y., 2022. "Dynamic conditional mean risk sharing in the compound Poisson surplus model," LIDAM Discussion Papers ISBA 2022034, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Daniel Dimitrov & Sweder van Wijnbergen, 2023. "Macroprudential Regulation: A Risk Management Approach," Working Papers 765, DNB.
• Michael B. Giles & Abdul-Lateef Haji-Ali & Jonathan Spence, 2023. "Efficient Risk Estimation for the Credit Valuation Adjustment," Papers 2301.05886, arXiv.org, revised May 2024.
• Leandro Gualario, 2023. "Nietzsche and Fractal Geometry: a philosophical continuity," Post-Print hal-03727161, HAL.
• Al-Haschimi, Alexander & Apostolou, Apostolos & Azqueta-Gavaldon, Andres & Ricci, Martino, 2023. "Using machine learning to measure financial risk in China," Working Paper Series 2767, European Central Bank.
• Ampudia, Miguel & Busetto, Filippo & Fornari, Fabio, 2022. "Chronicle of a death foretold: does higher volatility anticipate corporate default?," Bank of England working papers 1001, Bank of England.
• Lingjiong Zhu, 2023. "A delayed dual risk model," Papers 2301.06450, arXiv.org.
• Jeroen Brinkhoff & Mr. Juan Sole, 2022. "Did Insurers Become Risk-Loving During “Low-for-Long”? The Role of Returns, Ratings, and Regulation," IMF Working Papers 2022/202, International Monetary Fund.
• Chuting Sun & Qi Wu & Xing Yan, 2023. "Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning," Papers 2301.07318, arXiv.org, revised Jan 2024.
• Bruno Bouchard & Adil Reghai & Benjamin Virrion, 2021. "Computation of Expected Shortfall by fast detection of worst scenarios," Post-Print hal-02619589, HAL.
• Kotlicki, Artur & Austin, Andrea & Humphry, David & Burnett, Hanna & Ridgill, Philip & Smith, Sam, 2023. "Network analysis of the UK reinsurance market," Bank of England working papers 1000, Bank of England.
• Raja, Akash, 2023. "The impact of changes in bank capital requirements," Bank of England working papers 1004, Bank of England.
• Sakib, S M Nazmuz, 2023. "Application Of Fixed Point Theorem To Insurance Loss Model," OSF Preprints n78rj, Center for Open Science.
• Hafner, Christian & Herwartz, Helmut, 2022. "Asymmetric volatility impulse response functions," LIDAM Discussion Papers ISBA 2022037, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Cristina Amado, 2022. "Outlier robust specification of multiplicative time-varying volatility models," NIPE Working Papers 11/2022, NIPE - Universidade do Minho.
• Item repec:hal:wpaper:hal-03909334 is not listed on IDEAS anymore

• Moawia Alghalith, 2022. "Methods in Econophysics: Estimating the Probability Density and Volatility," Papers 2301.10178, arXiv.org.
• Dan Zhang & Arash Farnoosh & Zhengwei Ma, 2022. "Does the Launch of Shanghai Crude Oil Futures Stabilize the Spot Market ? A Financial Cycle Perspective," Post-Print hal-03910474, HAL.
• Nils Engler & Filip Lindskog, 2023. "Approximations of multi-period liability values by simple formulas," Papers 2301.09450, arXiv.org.
• Hentschel, Manuel & Engelke, Sebastian & Segers, Johan, 2022. "Statistical Inference for Hüsler–Reiss Graphical Models Through Matrix Completions," LIDAM Discussion Papers ISBA 2022032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Raphael Auer & Bernhard Haslhofer & Stefan Kitzler & Pietro Saggese & Friedhelm Victor, 2023. "The Technology of Decentralized Finance (DeFi)," BIS Working Papers 1066, Bank for International Settlements.
• Erten, Irem & Neamtu, Ioana & Thanassoulis, John, 2023. "The ring-fencing bonus," Bank of England working papers 999, Bank of England.
• Mykola Pinchuk, 2023. "Labor Income Risk and the Cross-Section of Expected Returns," Papers 2301.09173, arXiv.org.
• Carl Bonander & Mats Ekman & Niklas Jakobsson, 2023. "When do Default Nudges Work?," Papers 2301.08797, arXiv.org, revised Aug 2023.
• Tom, Daniel M. Ph.D., 2023. "Eliminating Disparate Treatment in Modeling Default of Credit Card Clients," OSF Preprints cfyzv, Center for Open Science.
• Capraru, Bogdan & Georgescu, George & Sprincean, Nicu, 2023. "Fiscal Rules, Independent Fiscal Institutions, and Sovereign Risk," Working Papers of Romania Fiscal Council 230201, Romania Fiscal Council.
• Miriam Buiten & Alexandre de Streel & Martin Peitz, 2022. "The Law and Economics of AI Liability," CRC TR 224 Discussion Paper Series crctr224_2022_371, University of Bonn and University of Mannheim, Germany.