Report NEP-RMG-2023-12-04

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:

• Weihuan Huang, 2023. "Estimating Systemic Risk within Financial Networks: A Two-Step Nonparametric Method," Papers 2310.18658, arXiv.org.
• Kang Gao & Stephen Weston & Perukrishnen Vytelingum & Namid R. Stillman & Wayne Luk & Ce Guo, 2023. "Deeper Hedging: A New Agent-based Model for Effective Deep Hedging," Papers 2310.18755, arXiv.org.
• Peter Albrecht & Evžen Kočenda & Evžen Kocenda, 2023. "Volatility Connectedness on the Central European Forex Markets," CESifo Working Paper Series 10728, CESifo.
• Aya Nasreddine & Yasmine Essafi Zouari, 2023. "Real Estate Tokens - Return-Risk Analysis of the First Years," ERES eres2023_261, European Real Estate Society (ERES).
• Ian Dew-Becker & Stefano Giglio, 2023. "Risk Preferences Implied by Synthetic Options," NBER Working Papers 31833, National Bureau of Economic Research, Inc.
• Haoyang Cao & Haotian Gu & Xin Guo & Mathieu Rosenbaum, 2023. "Risk of Transfer Learning and its Applications in Finance," Papers 2311.03283, arXiv.org.
• Ben Höhn & Sven Bienert, 2023. "Assessing climate risk quantification tools - Mere fullfillment of duty or actually benefical," ERES eres2023_188, European Real Estate Society (ERES).
• Guan, Bo & Mazouz, Khelifa & Xu, Yongdeng, 2023. "Asymmetric volatility spillover between crude oil and other asset markets," Cardiff Economics Working Papers E2023/27, Cardiff University, Cardiff Business School, Economics Section.
• Stephen Lee, 2023. "Correlation and Partial Correlation REIT Portfolios," ERES eres2023_156, European Real Estate Society (ERES).
• Lloyd, Simon & Fernández-Gallardo, Álvaro & Manuel, Ed, 2023. "The transmission of macroprudential policy in the tails: evidence from a narrative approach," ESRB Working Paper Series 145, European Systemic Risk Board.
• Stark, Oded, 2023. "Can Altruism Lead to a Willingness to Take Risks?," IZA Discussion Papers 16573, Institute of Labor Economics (IZA).
• Wei-Xing Zhou & Yun-Shi Dai & Kiet Tuan Duong & Peng-Fei Dai, 2023. "The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots," Papers 2310.16850, arXiv.org.
• Takao Asano & Yusuke Osaki, 2023. "Cross Risk Apportionment and Non-financial Correlated Background Uncertainty," KIER Working Papers 1098, Kyoto University, Institute of Economic Research.
• Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023. "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Working Papers 23-04, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Nov 2023.
• Hendrik Jenett, 2023. "Composition of Real Estate Values: Analyzing Time-Varying Credit and Market Data Using Neural Networks," ERES eres2023_183, European Real Estate Society (ERES).
• Julia Braun, 2023. "The Effect of the Countercyclical Capital Buffer on the Stability of the Housing Market," ERES eres2023_18, European Real Estate Society (ERES).
• Bednarek, Peter & Briukhova, Olga & Ongena, Steven & von Westernhagen, Natalja, 2023. "Effects of bank capital requirements on lending by banks and non-bank financial institutions," Discussion Papers 26/2023, Deutsche Bundesbank.
• Yun-Shi Dai & Ngoc Quang Anh Huynh & Qing-Huan Zheng & Wei-Xing Zhou, 2023. "Correlation structure analysis of the global agricultural futures market," Papers 2310.16849, arXiv.org.
• Oytun Hac{c}ar{i}z & Torsten Kleinow & Angus S. Macdonald, 2023. "On Technical Bases and Surplus in Life Insurance," Papers 2310.16927, arXiv.org.
• Wilhelm Breuer & Jonas Englert, 2023. "Diversification Benefits of Real Estate Private Debt in Real Estate Portfolios of Institutional Investors," ERES eres2023_234, European Real Estate Society (ERES).
• Brandon Goldstein & Julapa Jagtiani & Catharine Lemieux, 2023. "Did Fintech Loans Default More During the COVID-19 Pandemic? Were Fintech Firms “Cream-Skimming” the Best Borrowers?," Working Papers 23-26, Federal Reserve Bank of Philadelphia.
• Nandkumar Nayar & McKay Price & Ke Shen, 2023. "Strategic Default, Foreclosure Delay and Post-Default Wealth Accumulation," ERES eres2023_23, European Real Estate Society (ERES).