Report NEP-RMG-2023-04-03

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:

• Yuru Sun & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Gael M. Martin, 2023. "Optimal probabilistic forecasts for risk management," Papers 2303.01651, arXiv.org.
• Bert Van Roosebeke & Ryan Defina, 2023. "The Role of Climate in Deposit Insurers' Fund Management: More Than a Financial Risk Management Factor?," IADI Survey Briefs 5, International Association of Deposit Insurers.
• Stéphane Crépey, 2022. "Positive XVAs," Post-Print hal-03910135, HAL.
• Chen Liu & Chao Wang & Minh-Ngoc Tran & Robert Kohn, 2023. "Deep Learning Enhanced Realized GARCH," Papers 2302.08002, arXiv.org, revised Oct 2023.
• Arno Botha & Esmerelda Oberholzer & Janette Larney & Riaan de Jongh, 2023. "Defining and comparing SICR-events for classifying impaired loans under IFRS 9," Papers 2303.03080, arXiv.org, revised Aug 2024.
• Martin Gachter & Elias Hasler & Florian Huber, 2023. "A tale of two tails: 130 years of growth-at-risk," Papers 2302.08920, arXiv.org.
• Felix Kapfhammer, 2023. "The Economic Consequences of Effective Carbon Taxes," Working Papers No 01/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
• Yaojun Zhang & Lanpeng Ji & Georgios Aivaliotis & Charles Taylor, 2023. "Bayesian CART models for insurance claims frequency," Papers 2303.01923, arXiv.org, revised Dec 2023.
• Matteo Smerlak, 2023. "Great year, bad Sharpe? A note on the joint distribution of performance and risk-adjusted return," Papers 2302.08829, arXiv.org, revised Jun 2024.
• Gianmarco Bet & Francesco Dainelli & Eugenio Fabrizi, 2023. "The financial health of a company and the risk of its default: Back to the future," Papers 2302.10140, arXiv.org.
• Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," LSE Research Online Documents on Economics 105749, London School of Economics and Political Science, LSE Library.
• Hilde C. Bjornland & Yoosoon Chang & Jamie L. Cross, 2023. "Oil and the Stock Market Revisited: A Mixed Functional VAR Approach," CAEPR Working Papers 2023-005 Classification-1, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
• Congressional Budget Office, 2023. "Financial Commitments of Federal Credit and Insurance Programs, 2012 to 2021," Reports 58614, Congressional Budget Office.
• Brice Corgnet & Roberto Hernan-Gonzalez & Yao Thibaut Kpegli & Adam Zylbersztejn, 2023. "Against the Odds! The Tradeoff Between Risk and Incentives is Alive and Well," Working Papers 2305, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
• Yoosoon Chang & Ana María Herrera & Elena Pesavento, 2023. "Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring," Working Papers No 02/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
• Henry Skeoch & Christos Ioannidis, 2023. "The barriers to sustainable risk transfer in the cyber-insurance market," Papers 2303.02061, arXiv.org, revised Aug 2023.
• Zhou Fang, 2023. "Continuous-Time Path-Dependent Exploratory Mean-Variance Portfolio Construction," Papers 2303.02298, arXiv.org.
• Dorinel Bastide & Stéphane Crépey & Samuel Drapeau & Mekonnen Tadese, 2022. "Derivatives Risks as Costs in a One-Period Network Model," Post-Print hal-03910144, HAL.
• Jaehyuk Choi & Jeonggyu Huh & Nan Su, 2023. "Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding," Papers 2302.08758, arXiv.org, revised Oct 2024.
• Pérez, Rafaela & Ruiz, Jesús, 2023. "Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix," UC3M Working papers. Economics 36916, Universidad Carlos III de Madrid. Departamento de Economía.
• Joseph de Vilmarest & Nicklas Werge, 2023. "An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition," Papers 2303.01855, arXiv.org, revised Jun 2024.
• Nicola Branzoli & Raffaele Gallo & Antonio Ilari & Dario Portioli, 2023. "Financial fragilities and risk-taking of corporate bond funds in the aftermath of central bank policy interventions," Temi di discussione (Economic working papers) 1404, Bank of Italy, Economic Research and International Relations Area.
• Roberto Fontana & Patrizia Semeraro, 2023. "Measuring distribution risk in discrete models," Papers 2302.08838, arXiv.org.
• Zhou Fang, 2023. "Electricity Virtual Bidding Strategy Via Entropy-Regularized Stochastic Control Method," Papers 2303.02303, arXiv.org.
• Martin Chorzempa & Nicolas Veron, 2023. "Will China's impending overhaul of its financial regulatory system make a difference?," Policy Briefs PB23-1, Peterson Institute for International Economics.
• Cole, Harold L. & Krueger, Dirk & Mailath, George J. & Park, Yena, 2023. "Trust in risk sharing: A double-edged sword," CFS Working Paper Series 697, Center for Financial Studies (CFS).
• Manuela M. Dantas & Kenneth J. Merkley & Felipe B. G. Silva, 2023. "Government Guarantees and Banks' Income Smoothing," Papers 2303.03661, arXiv.org.
• Jad Bazih & Dieter Vanwalleghem, 2021. "Deriving value or risk? Determinants and the impact of emerging market banks’ derivative usage," Post-Print hal-03329217, HAL.
• Elie Bouri & David Gabauer & Rangan Gupta & Harald Kinateder, 2023. "Geopolitical Risk and Inflation Spillovers across European and North American Economies," Working Papers 202304, University of Pretoria, Department of Economics.
• H. T. Shehzad & M. A. Anwar & M. Razzaq, 2023. "A Comparative Predicting Stock Prices using Heston and Geometric Brownian Motion Models," Papers 2302.07796, arXiv.org.
• Dan A. Black & Jeffrey Grogger & Tom Kirchmaier & Koen Sanders, 2023. "Criminal charges, risk assessment and violent recidivism in cases of domestic abuse," CEP Discussion Papers dp1897, Centre for Economic Performance, LSE.
• Hanif, Mustufa, 2022. "Overview of the Crash of KSE," MPRA Paper 116558, University Library of Munich, Germany.