Report NEP-RMG-2023-04-24

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:

• Max Nendel & Jan Streicher, 2023. "An axiomatic approach to default risk and model uncertainty in rating systems," Papers 2303.08217, arXiv.org, revised Sep 2023.
• Stéphane Crépey & Noufel Frikha & Azar Louzi, 2024. "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Working Papers hal-04037328, HAL.
• Boudiaf, Ismael Alexander & Scheicher, Martin & Vacirca, Francesco, 2023. "CCP initial margin models in Europe," Occasional Paper Series 314, European Central Bank.
• Hermans, Lieven & Kostka, Thomas & Vassallo, Danilo, 2023. "Asset allocation and risk taking under different interest rate regimes," Working Paper Series 2803, European Central Bank.
• Young Shin Kim, 2023. "Portfolio Optimization with Relative Tail Risk," Papers 2303.12209, arXiv.org, revised Mar 2023.
• Giulia Livieri & Davide Radi & Elia Smaniotto, 2023. "Pricing Transition Risk with a Jump-Diffusion Credit Risk Model: Evidences from the CDS market," Papers 2303.12483, arXiv.org.
• Volodymyr Savchuk, 2023. "Real Options Technique as a Tool of Strategic Risk Management," Papers 2303.09176, arXiv.org.
• Makoto Okawara & Akihiko Takahashi, 2023. "Optimal Loan Portfolio under Regulatory and Internal Constraints "Forthcoming in International Journal of Financial Engineering"," CARF F-Series CARF-F-558, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jul 2023.
• Pierre-Carl Michaud & Pascal St-Amour, 2023. "Longevity, Health and Housing Risks Management in Retirement," CIRANO Working Papers 2023s-07, CIRANO.
• Jacek Rothert & Alexander McQuoid & Katherine Smith, 2023. "Real exchange rate risk and FDI flows: stylized facts and theory," GRAPE Working Papers 79, GRAPE Group for Research in Applied Economics.
• Rajeswari Sengupta & Harsh Vardhan, 2023. "Bankruptcy regime change and credit risk premium on corporate bonds: Evidence from the Indian economy," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2023-001, Indira Gandhi Institute of Development Research, Mumbai, India.