Report NEP-RMG-2022-09-12

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:

• O'Brien, Martin & Wosser, Michael, 2022. "Assessing Structure-Related Systemic Risk in Advanced Economies," Research Technical Papers 3/RT/22, Central Bank of Ireland.
• Lyons, Paul & Rice, Jonathan, 2022. "Risk Weights on Non-Financial Corporate Lending by Irish Retail Banks," Financial Stability Notes 4/FS/22, Central Bank of Ireland.
• McInerney, Niall & O'Brien, Martin & Wosser, Michael & Zavalloni, Luca, 2022. "Rightsizing Bank Capital for Small, Open Economies," Research Technical Papers 4/RT/22, Central Bank of Ireland.
• Herbertsson, Alexander, 2022. "Saddlepoint approximations for credit portfolios with stochastic recoveries," Working Papers in Economics 823, University of Gothenburg, Department of Economics.
• Phillip Murray & Ben Wood & Hans Buehler & Magnus Wiese & Mikko S. Pakkanen, 2022. "Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions," Papers 2207.07467, arXiv.org.
• Bochmann, Paul & Hiebert, Paul & Schüler, Yves S. & Segoviano, Miguel, 2022. "Latent fragility: conditioning banks’ joint probability of default on the financial cycle," Working Paper Series 2698, European Central Bank.
• Tom Beernaert & Nicolas Soenen & Rudi Vander Vennet, 2022. "ECB Monetary Policy and the Term Structure of Bank Default Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 22/1050, Ghent University, Faculty of Economics and Business Administration.
• Lorenzo Dal Maso & Kiridaran Kanagaretnam & Gerald Lobo & Francesco Mazzi, 2022. "Does Disaster Risk Relate to Banks’ Loan Loss Provision Estimates?," Working Papers - Business wp2022_05.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
• Schneorson, Oren, 2022. "Interbank credit exposures and financial stability," ESRB Working Paper Series 136, European Systemic Risk Board.
• Lucio Fiorin, 2022. "Estimation of Historical volatility and Allocation strategies using Variance Swaps," Papers 2208.03164, arXiv.org.
• Martin Keller-Ressel, 2022. "Bartlett's Delta revisited: Variance-optimal hedging in the lognormal SABR and in the rough Bergomi model," Papers 2207.13573, arXiv.org.
• Giorgio Meucci & Francesca Rinaldi, 2022. "Bank exposure to climate-related physical risk In Italy: an assessment based on AnaCredit data on loans to non-financial corporations," Questioni di Economia e Finanza (Occasional Papers) 706, Bank of Italy, Economic Research and International Relations Area.
• Indrajit Saha & Veeraruna Kavitha, 2022. "Systemic-risk and evolutionary stable strategies in a financial network," Papers 2207.07574, arXiv.org, revised Dec 2022.
• Carlos Montes-Galdón & Eva Ortega, 2022. "Skewed SVARs: tracking the structural sources of macroeconomic tail risks," Working Papers 2208, Banco de España.
• Saida Amansou & Hajar Benjana, 2021. "Proposal for a 6C model of maturity of integrated risk management in the service sector [Proposition d'un modèle des 6C de maturité de la gestion intégrée des risques dans le secteur des services]," Post-Print hal-03690144, HAL.
• Jan Sila & Michael Mark & Ladislav Kristoufek, 2022. "On Empirical Challenges in Forecasting Market Betas in Crypto Markets," Working Papers IES 2022/19, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2022.
• Durrani, Agha & Ongena, Steven & Ponte Marques, Aurea, 2022. "The certification role of the EU-wide stress testing exercises in the stock market. What can we learn from the stress tests (2014-2021)?," Working Paper Series 2711, European Central Bank.
• Xi-Ning Zhuang & Zhao-Yun Chen & Cheng Xue & Yu-Chun Wu & Guo-Ping Guo, 2022. "Quantum Encoding and Analysis on Continuous Time Stochastic Process with Financial Applications," Papers 2208.02364, arXiv.org, revised Sep 2023.
• Paymon Khorrami & Fernando Mendo, 2021. "Rational Sentiments and Financial Frictions," Working Papers Central Bank of Chile 928, Central Bank of Chile.
• Petr Jakubik & Saida Teleu, 2022. "Do EU-Wide Stress Tests Affect Insurers´ Dividend Policies?," Working Papers IES 2022/17, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2022.
• Oosthuizen, Dick & Zalla, Ryan, 2022. "Funding deposit insurance," Working Paper Series 2704, European Central Bank.
• Laurent Lesage & Madalina Deaconu & Antoine Lejay & Jorge Augusto Meira & Geoffrey Nichil & Radu State, 2022. "Hawkes processes framework with a Gamma density as excitation function: application to natural disasters for insurance," Post-Print hal-03040090, HAL.
• Arthur Seibold & Sebastian Seitz & Sebastian Siegloch, 2022. "Privatizing Disability Insurance," ECONtribute Discussion Papers Series 190, University of Bonn and University of Cologne, Germany.
• van Breemen, Vivian M. & Fabozzi, Frank J. & Vink, Dennis, 2022. "Intensified competition and the impact on credit ratings in the RMBS market," Working Paper Series 2691, European Central Bank.
• Caio Almeida & Jianqing Fan & Gustavo Freire & Francesca Tang, 2022. "Can a Machine Correct Option Pricing Models?," Working Papers 2022-9, Princeton University. Economics Department..
• Bletzinger, Tilman & Greif, William & Schwaab, Bernd, 2022. "Can EU bonds serve as euro-denominated safe assets?," Working Paper Series 2712, European Central Bank.
• Bigerna, Simona & D'Errico, Maria Chiara & Polinori, Paolo & Simshauer, Paul, 2022. "Renewable energy and portfolio volatility spillover effects of GCC oil exporting countries," MPRA Paper 114164, University Library of Munich, Germany.
• Jaccard, Ivan, 2022. "The trade-off between public health and the economy in the early stage of the COVID-19 pandemic," Working Paper Series 2690, European Central Bank.
• Oliver Gürtler & Lennart Struth & Max Thon, 2022. "Competition and Risk-Taking," ECONtribute Discussion Papers Series 181, University of Bonn and University of Cologne, Germany.
• O'Brien, Martin & Staunton, David & Wosser, Michael, 2022. "Recurrent property taxes and house price risks," Economic Letters 4/EL/22, Central Bank of Ireland.
• Will Wolf & Aaron Henry & Hamza Al Fadel & Xavier Quintuna & Julian Gay, 2022. "Scoring Aave Accounts for Creditworthiness," Papers 2207.07008, arXiv.org.
• Schaak, Henning & Rommel, Jens & Sagebiel, Julian & Barreiro-Hurlé, Jesus & Bougherara, Douadia & Cemablo, Luigi & Cerjak, Marija & Čop, Tajana & Czajkowski, Mikołaj & Espinosa-Goded, María & Höhle, J, 2022. "How well can experts predict farmers’ risk preferences?," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322194, Agricultural and Applied Economics Association.
• Lee, David, 2022. "Generic Price Model for Commodity Derivatives," MPRA Paper 114283, University Library of Munich, Germany.
• Martin Harding & Rafael Wouters, 2022. "Risk and State-Dependent Financial Frictions," Staff Working Papers 22-37, Bank of Canada.