Report NEP-RMG-2023-05-29

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:

• Joana Passinhas, 2023. "A macroprudential look into the risk-return framework of banks’ profitability," Working Papers w202303, Banco de Portugal, Economics and Research Department.
• Zlata Tabachov'a & Christian Diem & Andr'as Borsos & Csaba Burger & Stefan Thurner, 2023. "Estimating the impact of supply chain network contagion on financial stability," Papers 2305.04865, arXiv.org.
• Yannick Hoga, 2023. "The Estimation Risk in Extreme Systemic Risk Forecasts," Papers 2304.10349, arXiv.org.
• Paulo M.M. Rodrigues & João Nicolau, 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Working Papers w202306, Banco de Portugal, Economics and Research Department.
• Ashish Dhiman, 2023. "UQ for Credit Risk Management: A deep evidence regression approach," Papers 2305.04967, arXiv.org, revised May 2023.
• Gergely Ganics & María Rodríguez-Moreno, 2022. "A house price-at-risk model to monitor the downside risk for the spanish housing market," Working Papers 2244, Banco de España.
• Carmen Broto & Luis Fernández Lafuerza & Mariya Melnychuk, 2022. "Do buffer requirements for european systemically important banks make them less systemic?," Working Papers 2243, Banco de España.
• Ali Shirazi & Fereshteh Sadeghi Naieni Fard, 2023. "Financial Hedging and Risk Compression, A journey from linear regression to neural network," Papers 2305.04801, arXiv.org.
• Mohamed Omari & Mohamed Benhrimida, 2023. "Risk management in the health sector: Case of a medical analysis laboratory in Morocco [Management des risques dans le secteur de la santé : Cas d'un laboratoire d'analyses médicales au Maroc Risk ," Post-Print hal-04065378, HAL.
• Jason Brown & Nida Çakır Melek & Johannes Matschke & Sai Sattiraju, 2023. "The Missing Tail Risk in Option Prices," Research Working Paper RWP 23-02, Federal Reserve Bank of Kansas City.
• Bampinas, Georgios & Panagiotidis, Theodore, 2023. "How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?," MPRA Paper 117094, University Library of Munich, Germany.
• José E. Gutiérrez & Luis Fernández Lafuerza, 2022. "Credit Line Runs and Bank Risk Management: Evidence from the Disclosure of Stress Test Results," Working Papers 2245, Banco de España.
• Jie Dong, 2023. "Study on the Identification of Financial Risk Path Under the Digital Transformation of Enterprise Based on DEMATEL-ISM-MICMAC," Papers 2305.04216, arXiv.org.
• Andrew Na & Meixin Zhang & Justin Wan, 2023. "Computing Volatility Surfaces using Generative Adversarial Networks with Minimal Arbitrage Violations," Papers 2304.13128, arXiv.org, revised Dec 2023.
• Fang Cai & Grace Chuan & Kevin Henry & Chaehee Shin & Tugkan Tuzun, 2023. "New Insights from N-CEN: Liquidity Management at Open-End Funds and Primary Market Concentration of ETFs," FEDS Notes 2023-01-11, Board of Governors of the Federal Reserve System (U.S.).
• Luis Fernando Melo-Velandia & José Vicente Romero & Mahicol Stiben Ramírez-González, 2023. "The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach," Borradores de Economia 1231, Banco de la Republica de Colombia.
• Viral V. Acharya & Richard Berner & Robert Engle & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao, 2023. "Climate Stress Testing," Staff Reports 1059, Federal Reserve Bank of New York.
• Carsten H. Chong & Viktor Todorov, 2023. "Volatility of Volatility and Leverage Effect from Options," Papers 2305.04137, arXiv.org, revised Jan 2024.
• Duncan Ermini Leaf, 2023. "Risk management in the use of published statistical results for policy decisions," Papers 2305.03205, arXiv.org, revised Aug 2024.
• Christian Bongiorno & Marco Berritta, 2023. "Optimal Covariance Cleaning for Heavy-Tailed Distributions: Insights from Information Theory," Papers 2304.14098, arXiv.org, revised Apr 2023.
• Ranoua Bouchouicha & Jilong Wu & Ferdinand M. Vieider, 2023. "Choice lists and ‘standard patterns’ of risk-taking," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 23/1068, Ghent University, Faculty of Economics and Business Administration.
• Lorenzo Bastianello & Alain Chateauneuf & Bernard Cornet, 2023. "Gain-Loss Hedging and Cumulative Prospect Theory," Papers 2304.14843, arXiv.org.
• Liao, Yanjun (Penny) & Mulder, Philip, 2021. "What's at Stake? Understanding the Role of Home Equity in Flood Insurance Demand," RFF Working Paper Series 21-25, Resources for the Future.
• Antoine Jacquier & Zan Zuric, 2023. "Random neural networks for rough volatility," Papers 2305.01035, arXiv.org.
• Wolf Wagner & Jing Zeng, 2023. "Too-many-to-fail and the Design of Bailout Regimes," ECONtribute Discussion Papers Series 230, University of Bonn and University of Cologne, Germany.
• Savchuk, Vladimir, 2022. "Making Decisions under Uncertainty: Value Chain Development," MPRA Paper 117213, University Library of Munich, Germany, revised Apr 2023.
• Item repec:hal:wpaper:hal-04071242 is not listed on IDEAS anymore

• Karsten Neuhoff & Fernanda Ballesteros & Mats Kröger & Jörn C. Richstein, 2023. "Contracting Matters: Hedging Producers and Consumers with a Renewable Energy Pool," Discussion Papers of DIW Berlin 2035, DIW Berlin, German Institute for Economic Research.