Report NEP-RMG-2023-08-14

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:

• Francesco Della Corte & Gian Paolo Clemente & Nino Savelli, 2023. "A cohort-based Partial Internal Model for demographic risk," Papers 2307.03090, arXiv.org.
• David Lee, 2023. "Pricing and Hedging Guaranteed Equity Securities," Working Papers hal-04140384, HAL.
• Anand Deo & Karthyek Murthy, 2023. "Importance Sampling for Minimization of Tail Risks: A Tutorial," Papers 2307.04676, arXiv.org.
• Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023. "Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications," Working Papers 2023-016, Federal Reserve Bank of St. Louis.
• Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2023. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Papers 2307.01348, arXiv.org.
• Viktor Kuzmenko & Anton Malandii & Stan Uryasev, 2023. "Expectile Quadrangle and Applications," Papers 2306.16351, arXiv.org, revised Jul 2023.
• Pierre Durand & Gaëtan Le Quang & Arnold Vialfont, 2023. "Are Basel III requirements up to the task? Evidence from bankruptcy prediction models," Erudite Working Paper 2023-04, Erudite.
• Claude Martini & Arianna Mingone, 2023. "A closed form model-free approximation for the Initial Margin of option portfolios," Papers 2306.16346, arXiv.org.
• Jaydip Sen & Subhasis Dasgupta, 2023. "Portfolio Optimization: A Comparative Study," Papers 2307.05048, arXiv.org.
• Qi Deng & Zhong-guo Zhou, 2023. "Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity," Papers 2306.15807, arXiv.org, revised Feb 2024.
• Bauwens, Luc & Xu, Yongdeng, 2023. "The contribution of realized covariance models to the economic value of volatility timing," Cardiff Economics Working Papers E2023/20, Cardiff University, Cardiff Business School, Economics Section.
• Yannick Limmer & Blanka Horvath, 2023. "Robust Hedging GANs," Papers 2307.02310, arXiv.org.
• Grochola, Nicolaus & Gründl, Helmut & Kubitza, Christian, 2023. "Life insurance convexity," Working Paper Series 2829, European Central Bank.
• David Xiao, 2023. "Valuation of Equity Linked Securities with Guaranteed Return," Papers 2306.15026, arXiv.org.
• Mikhail Chernov & Magnus Dahlquist, 2023. "Currency Risk Premiums: A Multi-horizon Perspective," NBER Working Papers 31418, National Bureau of Economic Research, Inc.
• Christophe Boucher & Wassim Le Lann & Stéphane Matton & Sessi Tokpavi, 2024. "Are ESG ratings informative to forecast idiosyncratic risk?," Working Papers hal-04140193, HAL.
• Lang, Jan Hannes & Menno, Dominik, 2023. "The state-dependent impact of changes in bank capital requirements," Working Paper Series 2828, European Central Bank.
• Saputra, Mohammad Fajar & Pandin, Maria Yovita R & Hastungkara, Hanif Dwi, 2023. "Implementation of Financial Resilience Against Global Recession Threat Issues," OSF Preprints 3gd8j, Center for Open Science.
• Zhuyu Yang & Bruno Barroca & Katia Laffréchine & Alexandre Weppe & Aurélia Bony-Dandrieux & Nicolas Daclin, 2023. "A multi-criteria framework for critical infrastructure systems resilience," Post-Print hal-04135558, HAL.