Report NEP-RMG-2023-09-11

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:

• Majid, Hassan, 2023. "A Case of Risk Management Control and Its Study in Non-Financial Risks," OSF Preprints fhve7, Center for Open Science.
• Joshua Traut & Wolfgang Schadner, 2023. "Which is Worse: Heavy Tails or Volatility Clusters?," Swiss Finance Institute Research Paper Series 23-61, Swiss Finance Institute.
• Valter T. Yoshida Jr & Alan de Genaro & Rafael Schiozer & Toni R. E. dos Santos, 2023. "A Novel Credit Model Risk Measure: does more data lead to lower model risk in credit scoring models?," Working Papers Series 582, Central Bank of Brazil, Research Department.
• Aaron Amburgey & Michael W. McCracken, 2023. "Growth-at-Risk is Investment-at-Risk," Working Papers 2023-020, Federal Reserve Bank of St. Louis, revised 16 Aug 2024.
• Mario Forni & Luca Gambetti & Nicolò Maffei-Faccioli & Luca Sala, 2023. "The impact of financial shocks on the forecast distribution of output and inflation," Working Paper 2023/3, Norges Bank.
• Stulz, Rene M., 2023. "Crisis Risk and Risk Management," Working Paper Series 2023-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Rudy Morel & St'ephane Mallat & Jean-Philippe Bouchaud, 2023. "Path Shadowing Monte-Carlo," Papers 2308.01486, arXiv.org.
• Bao, Jack & Hou, Kewei & Zhang, Shaojun, 2023. "Systematic Default and Return Predictability in the Stock and Bond Markets," Working Paper Series 2023-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Wing Fung Chong & Daniel Linders & Zhiyu Quan & Linfeng Zhang, 2023. "Incident-Specific Cyber Insurance," Papers 2308.00921, arXiv.org.
• Anoop C V & Neeraj Negi & Anup Aprem, 2023. "Bayesian framework for characterizing cryptocurrency market dynamics, structural dependency, and volatility using potential field," Papers 2308.01013, arXiv.org.
• Shaturaev, Jakhongir, 2023. "Impact of Covid-19 on stock market volatility-A Bangladesh Perspective," MPRA Paper 118207, University Library of Munich, Germany, revised 10 Mar 2023.
• Yancheng Liang & Jiajie Zhang & Hui Li & Xiaochen Liu & Yi Hu & Yong Wu & Jinyao Zhang & Yongyan Liu & Yi Wu, 2023. "DeRisk: An Effective Deep Learning Framework for Credit Risk Prediction over Real-World Financial Data," Papers 2308.03704, arXiv.org.
• Cyril B'en'ezet & Jean-Franc{c}ois Chassagneux & Mohan Yang, 2023. "An optimal transport approach for the multiple quantile hedging problem," Papers 2308.01121, arXiv.org.
• Fantazzini, Dean & Kurbatskii, Alexey & Mironenkov, Alexey & Lycheva, Maria, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," MPRA Paper 118239, University Library of Munich, Germany.
• Bryan T. Kelly & Boris Kuznetsov & Semyon Malamud & Teng Andrea Xu, 2023. "Deep Learning from Implied Volatility Surfaces," Swiss Finance Institute Research Paper Series 23-60, Swiss Finance Institute.
• Chao Zhang & Xingyue Pu & Mihai Cucuringu & Xiaowen Dong, 2023. "Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects," Papers 2308.01419, arXiv.org.
• Andrea Castellano & Gustavo Ferro & Maximiliano Miranda Zanetti, 2023. "Product Liability: Detecting Potential Risks in New Products," CEMA Working Papers: Serie Documentos de Trabajo. 856, Universidad del CEMA.
• Beaver, William H & Cascino, Stefano & Correia, Maria & McNichols, Maureen F., 2023. "Bankruptcy in groups," LSE Research Online Documents on Economics 118590, London School of Economics and Political Science, LSE Library.