Report NEP-RMG-2023-11-20

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:

• Jungjun Park & Andrew L. Nguyen, 2023, "Black-Litterman Asset Allocation under Hidden Truncation Distribution," Papers, arXiv.org, number 2310.12333, Oct.
• Eric Ghysels & Jack Morgan & Hamed Mohammadbagherpoor, 2023, "Quantum Computational Algorithms for Derivative Pricing and Credit Risk in a Regime Switching Economy," Papers, arXiv.org, number 2311.00825, Nov.
• Alex Kim & Maximilian Muhn & Valeri Nikolaev, 2023, "From Transcripts to Insights: Uncovering Corporate Risks Using Generative AI," Papers, arXiv.org, number 2310.17721, Oct, revised Mar 2025.
• Minglian Lin & Indranil SenGupta & William Wilson, 2023, "Estimation of VaR with jump process: application in corn and soybean markets," Papers, arXiv.org, number 2311.00832, Nov, revised Jun 2024.
• Giulia Di Nunno & Anton Yurchenko-Tytarenko, 2023, "Power law in Sandwiched Volterra Volatility model," Papers, arXiv.org, number 2311.01228, Nov.
• Ms. Burcu Hacibedel & Hector Perez-Saiz, 2023, "Assessing Macrofinancial Risks from Crypto Assets," IMF Working Papers, International Monetary Fund, number 2023/214, Sep.
• Carl White, 2023, "Managing Liquidity Risk and the Importance of Bank Contingency Funding Plans," On the Economy, Federal Reserve Bank of St. Louis, number 97023, Sep.
• Roshan Iyer & Ms. Adina Popescu, 2023, "New Evidence on Spillovers Between Crypto Assets and Financial Markets," IMF Working Papers, International Monetary Fund, number 2023/213, Sep.
• Kunal Rajesh Lahoti & Shivani Hanji & Pratik Kamble & Kavita Vemuri, 2023, "Impact of Loss-Framing and Risk Attitudes on Insurance Purchase: Insights from a Game-like Interface Study," Papers, arXiv.org, number 2310.13300, Oct.
• Donggyu Kim & Minseog Oh, 2023, "Dynamic Realized Minimum Variance Portfolio Models," Papers, arXiv.org, number 2310.13511, Oct.
• Georges Dionne, 2023, "Causality in empirical analyses with emphasis on asymmetric information and risk management," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 23-4, Oct.
• Albert S. (Pete) & Karamfil Todorov, 2023, "The cumulant risk premium," BIS Working Papers, Bank for International Settlements, number 1128, Oct.
• Victor Olkhov, 2023, "Theoretical Economics as Successive Approximations of Statistical Moments," Papers, arXiv.org, number 2310.05971, Sep, revised Apr 2024.
• Celso Brunetti & Nathan Foley-Fisher & Stéphane Verani, 2023, "Measuring Interest Rate Risk Management by Financial Institutions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2023-067, Oct, DOI: 10.17016/FEDS.2023.067.
• Shi, Yue & Punzo, Antonio & Otneim, Håkon & Maruotti, Antonello, 2023, "Hidden semi-Markov models for rainfall-related insurance claims," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2023/17, Nov.
• Matthew Embrey & Christian Seel & J. Philipp Reiss, 2023, "Gambling in Risk-Taking Contests: Experimental Evidence," Working Paper Series, Department of Economics, University of Sussex Business School, number 0623, Jul.
• Shijia Song & Handong Li, 2023, "Unveiling Early Warning Signals of Systemic Risks in Banks: A Recurrence Network-Based Approach," Papers, arXiv.org, number 2310.10283, Oct.
• Xin Du & Kai Moriyama & Kumiko Tanaka-Ishii, 2023, "Co-Training Realized Volatility Prediction Model with Neural Distributional Transformation," Papers, arXiv.org, number 2310.14536, Oct.
• Jaydip Sen & Arup Dasgupta & Partha Pratim Sengupta & Sayantani Roy Choudhury, 2023, "A Comparative Study of Portfolio Optimization Methods for the Indian Stock Market," Papers, arXiv.org, number 2310.14748, Oct.
• Elene Nikuradze & Salome Tvalodze, 2023, "Biodiversity-related Financial Risks - why it matters and how can we measure them?," NBG Working Papers, National Bank of Georgia, number 02/2023, Jul.
• Sangyup Choi & Jiri Havel, 2023, "Geopolitical Risk and Foreign Portfolio Investment: A Tale of Advanced and Emerging Markets," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2023rwp-221, Oct.
• Patrice Loisel & Marielle Brunette & Stéphane Couture, 2023, "Ambiguity, value of information and forest rotation decision under storm risk," Post-Print, HAL, number hal-04236386, Jun.
• António Afonso & José Alves & Sofia Monteiro, 2023, "Banks’ Portfolio of Government Debt and Sovereign Risk," CESifo Working Paper Series, CESifo, number 10692.
• Jaydip Sen & Arup Dasgupta & Subhasis Dasgupta & Sayantani Roychoudhury, 2023, "A Portfolio Rebalancing Approach for the Indian Stock Market," Papers, arXiv.org, number 2310.09770, Oct.
• Julio Gálvez, 2023, "Household portfolio choices under (non-)linear income risk: an empirical framework," Working Papers, Banco de España, number 2327, Sep, DOI: https://doi.org/10.53479/33792.
• Døskeland, Trond & Kværner, Jens, 2022, "Cancer and portfolio choice: Evidence from Norwegian register data," Other publications TiSEM, Tilburg University, School of Economics and Management, number 9efe1b52-789e-496a-84de-4.
• Damien Ackerer & Julien Hugonnier & Urban Jermann, 2023, "Perpetual Futures Pricing," Papers, arXiv.org, number 2310.11771, Oct, revised Sep 2024.

Report NEP-RMG-2023-11-20

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: