Report NEP-RMG-2023-07-10

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:

• Pavel Jankulár & Zdeněk Tůma, 2023. "Changes to Bank Capital Ratios and their Drivers Prior and During COVID-19 Pandemic: Evidence from EU," FFA Working Papers 5.004, Prague University of Economics and Business, revised 10 Jun 2023.
• Yuanyuan Chang & Dena Firoozi & David Benatia, 2023. "Large Banks and Systemic Risk: Insights from a Mean-Field Game Model," Papers 2305.17830, arXiv.org, revised Aug 2023.
• Mohammed Mikou, 2023. "The Impact of the Basel III banking regulation on Moroccan banks," IHEID Working Papers 10-2023, Economics Section, The Graduate Institute of International Studies.
• Jaydip Sen & Aditya Jaiswal & Anshuman Pathak & Atish Kumar Majee & Kushagra Kumar & Manas Kumar Sarkar & Soubhik Maji, 2023. "A Comparative Analysis of Portfolio Optimization Using Mean-Variance, Hierarchical Risk Parity, and Reinforcement Learning Approaches on the Indian Stock Market," Papers 2305.17523, arXiv.org.
• yeboah, samuel, 2023. "A Review of Macroeconomic Determinants of Credit Risks: Evidence from Low-Income Countries," MPRA Paper 117501, University Library of Munich, Germany, revised 15 May 2023.
• F. Cipollini & G.M. Gallo & A. Palandri, 2023. "Modeling and evaluating conditional quantile dynamics in VaR forecasts," Working Paper CRENoS 202308, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
• Ndwiga, David M., 2023. "Bank credit portfolio allocation in pre and post Covid times: The power of inherent risks," KBA Centre for Research on Financial Markets and Policy Working Paper Series 74, Kenya Bankers Association (KBA).
• Andrew J. Patton & Yasin Simsek, 2023. "Generalized Autoregressive Score Trees and Forests," Papers 2305.18991, arXiv.org.
• Tiriongo, Samuel & Josea, Kiplangat & Mulindi, Hillary, 2023. "Risk-based credit pricing in Kenya: The role of banks' internal factors," KBA Centre for Research on Financial Markets and Policy Working Paper Series 64, Kenya Bankers Association (KBA).
• Ochenge, Rogers Ondiba, 2023. "The effect of FinTech development on bank risktaking: Evidence from Kenya," KBA Centre for Research on Financial Markets and Policy Working Paper Series 72, Kenya Bankers Association (KBA).
• Louis Abraham, 2023. "A Game of Competition for Risk," Papers 2305.18941, arXiv.org.
• Michele Loberto & Matteo Spuri, 2023. "The impact of flood risk on real estate wealth in Italy," Questioni di Economia e Finanza (Occasional Papers) 768, Bank of Italy, Economic Research and International Relations Area.
• Rodney Garratt & Maarten van Oordt, 2023. "The Crypto Multiplier," BIS Working Papers 1104, Bank for International Settlements.
• F. Lillo & G. Livieri & S. Marmi & A. Solomko & S. Vaienti, 2023. "Unimodal maps perturbed by heteroscedastic noise: an application to a financial systems," Papers 2305.13475, arXiv.org.
• Areski Cousin & J'er^ome Lelong & Tom Picard, 2023. "Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach," Papers 2305.16152, arXiv.org, revised Jun 2023.
• Qu, Yan & Dassios, Angelos & Zhao, Hongbiao, 2023. "Shot-noise cojumps: exact simulation and option pricing," LSE Research Online Documents on Economics 111537, London School of Economics and Political Science, LSE Library.
• KANAGUCHI Takehisa & KAWAKAMI Takehito & HASEBE Akira & OGAWA Yoshiya, 2023. "The Overview and Risks of Fund Finance," Bank of Japan Review Series 23-E-5, Bank of Japan.
• International Monetary Fund, 2023. "Sweden: Financial Sector Assessment Program–Technical Note on Stress Testing of the Financial Sector," IMF Staff Country Reports 2023/181, International Monetary Fund.
• Burkhard Heer & Vito Polito & Mike Wickens, 2023. "Pension Systems (Un)sustainability and Fiscal Constraints: A Comparative Analysis," Working Papers 2023014, The University of Sheffield, Department of Economics.
• Hanming Fang & Xian Xu, 2023. "Chinese Insurance Markets: Developments and Prospects," NBER Working Papers 31292, National Bureau of Economic Research, Inc.