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Report NEP-RMG-2023-08-28
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:
- Francesco Mandelli & Marco Pinciroli & Michele Trapletti & Edoardo Vittori, 2023, "Reinforcement Learning for Credit Index Option Hedging," Papers, arXiv.org, number 2307.09844, Jul.
- Botelho, Vasco & Foroni, Claudia & Renzetti, Andrea, 2023, "Labour at risk," Working Paper Series, European Central Bank, number 2840, Aug.
- Chavleishvili, Sulkhan & Kremer, Manfred & Lund-Thomsen, Frederik, 2023, "Quantifying financial stability trade-offs for monetary policy: a quantile VAR approach," Working Paper Series, European Central Bank, number 2833, Jul.
- van Breemen, Vivian M. & Schwarz, Claudia & Vink, Dennis, 2023, "Risk retention in the European securitization market: skimmed by the skin-in-the-game methods?," Working Paper Series, European Central Bank, number 2837, Aug.
- Masanori Hirano & Kentaro Minami & Kentaro Imajo, 2023, "Adversarial Deep Hedging: Learning to Hedge without Price Process Modeling," Papers, arXiv.org, number 2307.13217, Jul.
- Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2023, "Beta-Sorted Portfolios," Staff Reports, Federal Reserve Bank of New York, number 1068, Jul, DOI: 10.59576/sr.1068.
- Nick James & Max Menzies, 2023, "An exploration of the mathematical structure and behavioural biases of 21st century financial crises," Papers, arXiv.org, number 2307.15402, Jul, revised Sep 2023.
- Rustam Jamilov & Helene Rey & Ahmed Tahoun, 2023, "The Anatomy of Cyber Risk," Working Papers Series, Institute for New Economic Thinking, number inetwp206, May, DOI: 10.36687/inetwp206.
- Rangan Gupta & Savanah Hall & Christian Pierdzioch, 2023, "Realized Stock Market Volatility of the United States: The Role of Employee Sentiment," Working Papers, University of Pretoria, Department of Economics, number 202319, Jul.
- Jan Sila & Evzen Kocenda & Ladislav Kristoufek & Jiri Kukacka, 2023, "Good vs. Bad Volatility in Major Cryptocurrencies: The Dichotomy and Drivers of Connectedness," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2023/24, Jul, revised Jul 2023.
- Mathias Valla & Xavier Milhaud & Anani Ayodélé Olympio, 2023, "Including individual Customer Lifetime Value and competing risks in tree-based lapse management strategies," Post-Print, HAL, number hal-03903047, Sep, DOI: 10.1007/s13385-023-00358-0.
- Ivan Letteri, 2023, "VolTS: A Volatility-based Trading System to forecast Stock Markets Trend using Statistics and Machine Learning," Papers, arXiv.org, number 2307.13422, Jul, revised Aug 2023.
- Weber, Michael & Candia, Bernardo & Coibion, Olivier & Gorodnichenko, Yuriy, 2023, "Do You Even Crypto, Bro? Cryptocurrencies in Household Finance," IZA Discussion Papers, Institute of Labor Economics (IZA), number 16335, Jul.