Report NEP-RMG-2023-02-27

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:

• Sweder van Wijnbergen & Daniël Dimitrov, 2023. "Macroprudential Regulation: A Risk Management Approach," Tinbergen Institute Discussion Papers 23-002/IV, Tinbergen Institute.
• Jumbe, George, 2023. "Credit Risk Assessment Using Default Models: A Review," OSF Preprints ksb8n, Center for Open Science.
• Qinyu Wu & Fan Yang & Ping Zhang, 2023. "Conditional generalized quantiles based on expected utility model and equivalent characterization of properties," Papers 2301.12420, arXiv.org.
• Jan Pruser & Florian Huber, 2023. "Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions," Papers 2301.13604, arXiv.org, revised Sep 2023.
• Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci, 2023. "Robust Mean-Variance Approximations," Working Papers 689, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
• Bernhard Kassner, 2023. "Taming Overconfident CEOs Through Stricter Financial Regulation," Rationality and Competition Discussion Paper Series 375, CRC TRR 190 Rationality and Competition.
• Cheng Peng & Stanislav Uryasev, 2023. "Factor Model of Mixtures," Papers 2301.13843, arXiv.org, revised Mar 2023.
• Chronopoulos, Ilias & Raftapostolos, Aristeidis & Kapetanios, George, 2023. "Forecasting Value-at-Risk using deep neural network quantile regression," Essex Finance Centre Working Papers 34837, University of Essex, Essex Business School.
• Yoosoon Chang & Ana Maria Herrera & Elena Pesavento, 2023. "Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring," CAEPR Working Papers 2023-002 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
• Arthur E. Attema & Jona J. Frasch & Olivier L’haridon, 2022. "Multivariate risk preferences in the quality-adjusted life year model," Post-Print hal-03469162, HAL.
• Olkhov, Victor, 2023. "The Market-Based Probability of Stock Returns," MPRA Paper 116234, University Library of Munich, Germany.
• Bischof, Jannis & Haselmann, Rainer & Kohl, Frederik & Schlueter, Oliver, 2022. "Limitations of implementing an expected credit loss model," LawFin Working Paper Series 48, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
• Vincent Lemaire & Thibaut Montes & Gilles Pagès, 2022. "Stationary Heston model: Calibration and Pricing of exotics using Product Recursive Quantization," Post-Print hal-02434232, HAL.
• Zarifhonarvar, Ali, 2023. "The Capital Asset Pricing Model: A New Empirical Investigation," EconStor Preprints 268396, ZBW - Leibniz Information Centre for Economics.
• Juniarti, 2022. "Market Reaction to Capital Expenditure: Evidence from Company in Bankruptcy Risk ," GATR Journals afr220, Global Academy of Training and Research (GATR) Enterprise.
• Ilke AYDOGAN & Loïc BERGER & Valentina BOSETTI & Ning LIU, 2022. "Three layers of uncertainty," Working Papers 2022-iRisk-01, IESEG School of Management.
• Victor Chernozhukov & Han Hong, 2023. "An MCMC Approach to Classical Estimation," Papers 2301.07782, arXiv.org.
• Charan Singh & Vatcharin Sirimaneetham, 2021. "Adopting good practices on public debt management in Asia and the Pacific," MPDD Policy Briefs PB119, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP).