Report NEP-RMG-2023-12-18

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:

• Shu Ling Chiang & Ming Shann Tsai, 2023. "A Valuation Model of Mortgage Insurance Premiums Considering the Target Prescribed Capital Requirement for Systematic Risk," ERES eres2023_165, European Real Estate Society (ERES).
• Nuscheler, Robert & Vaclahovsky, Simon, 2023. "Optimal Risk Adjustment: The Trade-off between Risk Selection and Upcoding," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277663, Verein für Socialpolitik / German Economic Association.
• Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2023. "Expecting the unexpected: Stressed scenarios for economic growth," Working Papers 202314, University of California at Riverside, Department of Economics.
• Kostic, Natalija & Muthsam, Viktoria & Laux, Christian, 2023. "Accounting Changes and Enforcement of Bank Capital Requirements in a Crisis," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277694, Verein für Socialpolitik / German Economic Association.
• Roberto Daluiso, 2023. "Fast and Stable Credit Gamma of CVA," Papers 2311.11672, arXiv.org.
• Michele Azzone & Maria Chiara Pocelli & Davide Stocco, 2023. "Hedging carbon risk with a network approach," Papers 2311.12450, arXiv.org, revised Mar 2024.
• Viral V. Acharya & Toomas Laarits, 2023. "When do Treasuries Earn the Convenience Yield? — A Hedging Perspective," NBER Working Papers 31863, National Bureau of Economic Research, Inc.
• Christis Katsouris, 2023. "Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models," Papers 2311.08218, arXiv.org, revised Apr 2024.
• Grochola, Nicolaus, 2023. "The influence of negative interest rates on life insurance companies," ICIR Working Paper Series 53/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
• Alexandros Skouralis & Nicole Lux & Mark Andrew, 2023. "Does flood risk affect property prices?," ERES eres2023_79, European Real Estate Society (ERES).
• Maximilian Blesch & Philipp Eisenhauer, 2023. "Robust Decision-Making under Risk and Ambiguity," Rationality and Competition Discussion Paper Series 463, CRC TRR 190 Rationality and Competition.
• Michael S. Barr, 2023. "The Importance of Effective Liquidity Risk Management: A speech at the ECB Forum on Banking Supervision, Frankfurt, Germany., December 1, 2023," Speech 97405, Board of Governors of the Federal Reserve System (U.S.).
• Emile A. Marin & Sanjay R. Singh, 2023. "Low Risk Sharing with Many Assets," Working Papers 361, University of California, Davis, Department of Economics.
• Sascha Desmettre & Sebastian Merkel & Annalena Mickel & Alexander Steinicke, 2023. "Worst-Case Optimal Investment in Incomplete Markets," Papers 2311.10021, arXiv.org.
• Marcello D'Amato & Christian Di Pietro & Marco M. Sorge, 2023. "Left and Right: A Tale of Two Tails of the Wealth Distribution," CSEF Working Papers 691, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
• Francesco Ruscitti & Ram Sewak Dubey & Giorgio Laguzzi, 2023. "Decision-making under risk: when is utility maximization equivalent to risk minimization?," Papers 2311.07269, arXiv.org.
• Alexej Brauer, 2023. "Enhancing Actuarial Non-Life Pricing Models via Transformers," Papers 2311.07597, arXiv.org, revised Jun 2024.
• Mohammad Hosein HoushmandRad & Mohammadreza Fetanatfardhaghighi, 2023. "Advanced Strategic Management (Strategy, Risk and Improve quality)," Post-Print hal-04254927, HAL.
• Nick James & Max Menzies, 2023. "Portfolio diversification with varying investor abilities," Papers 2311.06519, arXiv.org, revised Dec 2023.
• Leonard Mushunje & Maxwell Mashasha & Edina Chandiwana, 2023. "Short-term Volatility Estimation for High Frequency Trades using Gaussian processes (GPs)," Papers 2311.10935, arXiv.org.
• Rawin Assabumrungrat & Kentaro Minami & Masanori Hirano, 2023. "Error Analysis of Option Pricing via Deep PDE Solvers: Empirical Study," Papers 2311.07231, arXiv.org.
• Jirong Zhuang & Deng Ding & Weiguo Lu & Xuan Wu & Gangnan Yuan, 2023. "A Gaussian Process Based Method with Deep Kernel Learning for Pricing High-dimensional American Options," Papers 2311.07211, arXiv.org, revised Apr 2024.