Report NEP-RMG-2023-05-08

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:

• Henry Penikas, 2022. "Model Risk for Acceptable, but Imperfect, Discrimination and Calibration in Basel PD and LGD Models," Bank of Russia Working Paper Series wps92, Bank of Russia.
• Cyril B'en'ezet & St'ephane Cr'epey & Dounia Essaket, 2023. "Hedging Valuation Adjustment for Callable Claims," Papers 2304.02479, arXiv.org.
• Gurdip Bakshi & John Crosby & Xiaohui Gao, 2023. "Dark Matter in (Volatility and) Equity Option Risk Premiums," Papers 2303.16371, arXiv.org.
• Lang, Jan Hannes & Rusnák, Marek & Greiwe, Moritz, 2023. "Medium-term growth-at-risk in the euro area," Working Paper Series 2808, European Central Bank.
• Ke Zhang, 2023. "Adjust factor with volatility model using MAXFLAT low-pass filter and construct portfolio in China A share market," Papers 2304.04676, arXiv.org, revised Apr 2023.
• Voraprapa Nakavachara & Roongkiat Ratanabanchuen & Kanis Saengchote & Thitiphong Amonthumniyom & Pongsathon Parinyavuttichai & Polpatt Vinaibodee, 2023. "Do People Gamble or Invest in the Cryptocurrency Market? Transactional-Level Evidence from Thailand," PIER Discussion Papers 206, Puey Ungphakorn Institute for Economic Research, revised Feb 2024.
• Van Roosebeke, Bert & Defina, Ryan, 2023. "The Role of Climate in Deposit Insurers' Fund Management: More Than a Financial Risk Management Factor?," MPRA Paper 116936, University Library of Munich, Germany.
• Hengjie Ai & Ravi Bansal & Hongye Guo & Amir Yaron, 2023. "Identifying Preference for Early Resolution from Asset Prices," NBER Working Papers 31087, National Bureau of Economic Research, Inc.
• Giglio, Stefano & Kuchler, Theresa & Stroebel, Johannes & Zeng, Xuran, 2023. "Biodiversity Risk," SocArXiv n7pbj, Center for Open Science.
• Hallissey, Niamh & Killeen, Neill & Wosser, Michael, 2022. "Identifying and assessing systemic risks in Ireland: a review of the Central Bank’s toolkit," Financial Stability Notes 16/FS/22, Central Bank of Ireland.
• Stefano Giglio & Theresa Kuchler & Johannes Stroebel & Xuran Zeng, 2023. "Biodiversity Risk," NBER Working Papers 31137, National Bureau of Economic Research, Inc.
• Emmanuelle Augeraud-Véron & Marc Leandri, 2023. "Optimal self-protection and health risk perception: bridging the gap between risk theory and the Health Belief Model," EconomiX Working Papers 2023-12, University of Paris Nanterre, EconomiX.
• Itamar Drechsler & Alexi Savov & Philipp Schnabl & Olivier Wang, 2023. "Deposit Franchise Runs," NBER Working Papers 31138, National Bureau of Economic Research, Inc.
• Weiwei Li & Dejian Tian, 2023. "Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty," Papers 2304.04396, arXiv.org.
• Bikramjit Das & Vicky Fasen-Hartmann, 2023. "On heavy-tailed risks under Gaussian copula: the effects of marginal transformation," Papers 2304.05004, arXiv.org.
• Henry Penikas, 2022. "The Interrelationship of Credit and Climate Risks," Bank of Russia Working Paper Series wps100, Bank of Russia.
• M N, Nikhil & Chakraborty, Suman & B M, Lithin & Ledwani, Sanket, 2022. "Modeling Indian Bank Nifty volatility using univariate GARCH models," MPRA Paper 116824, University Library of Munich, Germany, revised 06 Feb 2023.