Report NEP-RMG-2024-09-09

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:

• Peng Liu & Andreas Tsanakas & Yunran Wei, 2024. "Risk sharing with Lambda value at risk under heterogeneous beliefs," Papers 2408.03147, arXiv.org, revised Sep 2024.
• Ravi Kashyap, 2024. "The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement," Papers 2408.07271, arXiv.org.
• Covi, Giovanni & Huser, Anne-Caroline, 2024. "Measuring capital at risk with financial contagion: two-sector model with banks and insurers," Bank of England working papers 1081, Bank of England.
• Sebastien Gallet & Antje Hendricks & Julja Prodani, 2024. "The ecosystem service degradation sensitivity indicator (EDSI): A new framework for understanding the financial risk repercussions of nature degradation," Working Papers 814, DNB.
• Michael B. Gordy & Alexander J. McNeil, 2024. "Spectral backtests unbounded and folded," Finance and Economics Discussion Series 2024-060, Board of Governors of the Federal Reserve System (U.S.).
• Eguren-Martin, Fernando & Kösem, Sevim & Maia, Guido & Sokol, Andrej, 2024. "Targeted financial conditions indices and growth-at-risk," Bank of England working papers 1084, Bank of England.
• Achintya Gopal, 2024. "NeuralFactors: A Novel Factor Learning Approach to Generative Modeling of Equities," Papers 2408.01499, arXiv.org.
• Nguyen, Huyen & Uzonwanne, Sochima, 2024. "Environmental incidents and sustainability pricing provisions," IWH Discussion Papers 17/2024, Halle Institute for Economic Research (IWH).
• Thordur Jonasson & Sheheryar Malik & Kay Chung & Mr. Michael G. Papaioannou, 2024. "Managing Foreign Exchange Rate Risk: Capacity Development for Public Debt Managers in Emerging Market and Low-Income Countries," IMF Working Papers 2024/167, International Monetary Fund.
• Gita Gopinath & Josefin Meyer & Carmen Reinhart & Christoph Trebesch, 2024. "Sovereign vs. Corporate Debt and Default: More Similar than You Think," Discussion Papers of DIW Berlin 2097, DIW Berlin, German Institute for Economic Research.
• Dhiti Osatakul & Shuanming Li & Xueyuan Wu, 2024. "Bonus-malus Systems vs Delays in Claims Reporting and Settlement: Analysis of Ruin Probabilities," Papers 2408.00003, arXiv.org.
• Jon Danielsson & Andreas Uthemann, 2024. "Artificial intelligence and financial crises," Papers 2407.17048, arXiv.org.
• Patrick Kuiper & Ali Hasan & Wenhao Yang & Yuting Ng & Hoda Bidkhori & Jose Blanchet & Vahid Tarokh, 2024. "Distributionally Robust Optimization as a Scalable Framework to Characterize Extreme Value Distributions," Papers 2408.00131, arXiv.org.
• de Bresser, J.; & Knoef, M.; & van Ooijen, R.;, 2024. "The market for life care annuities: using housing wealth to manage longevity and long-term care risk," Health, Econometrics and Data Group (HEDG) Working Papers 24/11, HEDG, c/o Department of Economics, University of York.
• Jamel Saadaoui, 2024. "The Impact of Political Tensions and Geopolitical Risks on Oil Prices in Unstable Environments," Working Papers 2024.13, International Network for Economic Research - INFER.