Report NEP-RMG-2024-11-11

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:

• Motte, Edouard & Hainaut, Donatien, 2024. "Efficient hedging of life insurance portfolio for loss-averse insurers," LIDAM Discussion Papers ISBA 2024013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• William C. Dudley, 2024. "Bank Failures and Contagion Lender of Last Resort, Liquidity, and Risk Management," Working Papers 329, Princeton University, Department of Economics, Center for Economic Policy Studies..
• Jorge Abad & David Martínez-Miera & Javier Suárez, 2024. "A macroeconomic model of banks’ systemic risk taking," Working Papers 2441, Banco de España.
• Allen, Sam & Koh, Jonathan & Segers, Johan & Ziegel, Johanna, 2024. "Tail calibration of probabilistic forecasts," LIDAM Discussion Papers ISBA 2024018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Aya Nasreddine & Yasmine Essafi Zouari, 2024. "Testing the inflation hedging properties of real estate, stocks, precious metals and oil: Evidence using wavelet quantile correlation," ERES eres2024-092, European Real Estate Society (ERES).
• Montes-Galdón, Carlos & Ajevskis, Viktors & Brázdik, František & Garcia, Pablo & Gatt, William & Lima, Diana & Mavromatis, Kostas & Ortega, Eva & Papadopoulou, Niki & De Lorenzo, Ivan & Kolb, Benedikt, 2024. "Using structural models to understand macroeconomic tail risks," Occasional Paper Series 357, European Central Bank.
• Gaurab Aryal & Isabelle Perrigne & Quang Vuong & Haiqing Xu, 2024. "Econometrics of Insurance with Multidimensional Types," Papers 2410.08416, arXiv.org.
• Müller, Lukas & Stöckl, Sebastian & Müller, Johanna & Schiereck, Dirk, 2024. "Estimating Crypto-Related Risk: Market-Based Evidence from FTX’s Failure and Its Contagion on U.S. Banks," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 150247, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
• Bauwens, Luc & Dzuverovic, Emilija & Hafner, Christian, 2024. "Asymmetric Models for Realized Covariances," LIDAM Discussion Papers ISBA 2024022, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Heifetz, Stephen, 2024. "CFIUS and the cost of risk aversion," Columbia FDI Perspectives 392, Columbia University, Columbia Center on Sustainable Investment (CCSI).
• Nigar Karimova, 2024. "Application of AI in Credit Risk Scoring for Small Business Loans: A case study on how AI-based random forest model improves a Delphi model outcome in the case of Azerbaijani SMEs," Papers 2410.05330, arXiv.org.