Printed from https://ideas.repec.org/n/nep-rmg/2023-08-21.html
Report NEP-RMG-2023-08-21
This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-RMG
The following items were announced in this report:
- Pawe{l} Sakowski & Rafa{l} Sieradzki & Robert 'Slepaczuk, 2023, "Systemic risk indicator based on implied and realized volatility," Papers, arXiv.org, number 2307.05719, Jul.
- Apostolos Ampountolas, 2023, "The Effect of COVID-19 on Cryptocurrencies and the Stock Market Volatility -- A Two-Stage DCC-EGARCH Model Analysis," Papers, arXiv.org, number 2307.09137, Jul.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2023, "Financial Stress and Realized Volatility: The Case of Agricultural Commodities," Working Papers, University of Pretoria, Department of Economics, number 202320, Jul.
- Paulo M.M. Rodrigues & Gabriel Zsurkis, 2023, "First passage times in portfolio optimization: a novel nonparametric approach," Working Papers, Banco de Portugal, Economics and Research Department, number w202309.
- Nie, Georege Yulin, 2023, "Address Challenges Markowitz (1952) Faces: A New Measure of Asset Risk," SocArXiv, Center for Open Science, number tgvb2, Jul, DOI: 10.31219/osf.io/tgvb2.
- Martin Herdegen & Cosimo Munari, 2023, "An elementary proof of the dual representation of Expected Shortfall," Papers, arXiv.org, number 2306.14506, Jun.
- Martin Bodenstein & Pablo A. Cuba-Borda & Albert Queraltó, 2023, "The Transmission of Global Risk," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2023-06-27, Jun, DOI: 10.17016/2380-7172.3327.
- Guillaume Chevalier & Guillaume Coqueret & Thomas Raffinot, 2022, "Supervised portfolios," Post-Print, HAL, number hal-04144588, Dec, DOI: 10.1080/14697688.2022.2122543.
- Christina Brinkmann, 2023, "Differentiation in Risk Profiles," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2023_444, Jul.
- Lilit Popoyan & Mauro Napoletano & Andrea Roventini, 2023, "Systemically important banks - emerging risk and policy responses: An agent-based investigation," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2023/30, Jul.
- Valérie Mignon & Jamel Saadaoui, 2023, "How political tensions and geopolitical risks impact oil prices?," Working Papers, International Network for Economic Research - INFER, number 2023.07.
- Sedar Olmez & Akhil Ahmed & Keith Kam & Zhe Feng & Alan Tua, 2023, "Exploring the Dynamics of the Specialty Insurance Market Using a Novel Discrete Event Simulation Framework: a Lloyd's of London Case Study," Papers, arXiv.org, number 2307.05581, Jul.
- Laura Alfaro & Mauricio Calani & Liliana Varela, 2023, "Granular Corporate Hedging Under Dominant Currency," Discussion Papers, Centre for Macroeconomics (CFM), number 2315, Feb.
- Xiyue Han & Alexander Schied, 2023, "Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance," Papers, arXiv.org, number 2307.02582, Jul, revised Nov 2024.
- Alexander Braun & Niklas Häusle & Paul D. Thistle, 2023, "Risk Classification with On-Demand Insurance," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-49, Jun.
- Jarrod Burgh & Emerson Melo, 2023, "Wishful Thinking is Risky Thinking," Papers, arXiv.org, number 2307.02422, Jul, revised Feb 2024.
- Levon Barseghyan & Francesca Molinari, 2023, "Risk Preference Types, Limited Consideration, and Welfare," Papers, arXiv.org, number 2307.09411, Jul.
- Marcel Nutz & Andr'es Riveros Valdevenito, 2023, "On the Guyon-Lekeufack Volatility Model," Papers, arXiv.org, number 2307.01319, Jul, revised Jul 2024.
- Vítor Branco Oliveira & Diogo Serra & Lucas Avezum, 2023, "To use or not to use? Capital buffers and lending during a crisis," Working Papers, Banco de Portugal, Economics and Research Department, number w202308.
- Peter Bank & Christian Bayer & Peter K. Friz & Luca Pelizzari, 2023, "Rough PDEs for local stochastic volatility models," Papers, arXiv.org, number 2307.09216, Jul, revised Mar 2025.
- Saleem Bahaj & Robert Czech & Sitong Ding & Ricardo Reis, 2023, "The market for inflation risk," Bank of England working papers, Bank of England, number 1028, Jun.
- Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2023, ""Generalized Extreme Value Approximation to the CUMSUMQ Test for Constant Unconditional Variance in Heavy-Tailed Time Series"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202309, Jul, revised Jul 2023.
- Valentin Lourme, 2023, "analysis of the predictor of a volatility surface by machine learning
[Analyse de la prédiction d'une nappe de volatilité par Machine Learning]," Post-Print, HAL, number hal-04151604, Jul. - Item repec:cte:wsrepe:37973 is not listed on IDEAS anymore
- Serena Della Corte & Laurens Van Mieghem & Antonis Papapantoleon & Jonas Papazoglou-Hennig, 2023, "Machine learning for option pricing: an empirical investigation of network architectures," Papers, arXiv.org, number 2307.07657, Jul, revised Dec 2025.