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Report NEP-RMG-2024-01-01
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:
- Matteo Foglia & Vasilios Plakandaras & Rangan Gupta & Elie Bouri, 2023, "Multi-Layer Spillovers between Volatility and Skewness in International Stock Markets Over a Century of Data: The Role of Disaster Risks," Working Papers, University of Pretoria, Department of Economics, number 202337, Dec.
- Anusha Chari & Karlye Dilts Stedman & Christian Lundblad, 2023, "Risk-On Risk-Off: A Multifaceted Approach to Measuring Global Investor Risk Aversion," NBER Working Papers, National Bureau of Economic Research, Inc, number 31907, Nov.
- Wolf, Elias, 2023, "Estimating Growth at Risk with Skewed Stochastic Volatility Models," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage", Verein für Socialpolitik / German Economic Association, number 277696.
- Glück, Thorsten & Adams, Zeno, 2023, "Systemic Risk of Commodity Traders," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage", Verein für Socialpolitik / German Economic Association, number 277600.
- Wang, Ke, 2023, "Essays in corporate risk," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8c076f0d-2c02-40a4-b6d7-e.
- Stéphane Crépey & Noufel Frikha & Azar Louzi & Gilles Pagès, 2024, "Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-04304985, Dec, DOI: 10.1214/24-EJP1246.
- Conrad, Christian & Schoelkopf, Julius Theodor & Tushteva, Nikoleta, 2023, "Long-Term Volatility Shapes the Stock Market’s Sensitivity to News," Working Papers, University of Heidelberg, Department of Economics, number 0739, Dec.
- Maxime Markov & Vladimir Markov, 2023, "Optimal portfolio allocation with uncertain covariance matrix," Papers, arXiv.org, number 2311.07478, Nov.
- Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Elie Bouri, 2023, "Energy-Related Uncertainty and International Stock Market Volatility," Working Papers, University of Pretoria, Department of Economics, number 202336, Dec.
- Nicole Bauerle & Anna Ja'skiewicz, 2023, "Markov Decision Processes with Risk-Sensitive Criteria: An Overview," Papers, arXiv.org, number 2311.06896, Nov.
- Rangan Gupta & Damien Moodley, 2023, "Housing Search Activity and Quantiles-Based Predictability of Housing Price Movements in the United States," Working Papers, University of Pretoria, Department of Economics, number 202335, Dec.
- Jiaer He & Roberto Rivera, 2023, "A Modeling Approach of Return and Volatility of Structured Investment Products with Caps and Floors," Papers, arXiv.org, number 2311.06282, Oct.
- 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”," AQR Working Papers, University of Barcelona, Regional Quantitative Analysis Group, number 202305, Jul, revised Jul 2023.
- Jacob Smith, 2023, "Considering Risk Aversion in Economic Evaluation: A Rank Dependent Approach," Papers, arXiv.org, number 2311.07905, Nov, revised Jan 2024.
- Nitzan, Jonathan & Bichler, Shimshon, 2023, "הקפיטליזציה של סרטי הקולנוע (The Capitalization of Movies)," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 280112.
- Alexandre Pannier, 2023, "Path-dependent PDEs for volatility derivatives," Papers, arXiv.org, number 2311.08289, Nov, revised Jul 2025.
- Chen, An & Ferrari, Giorgio & Zhu, Shihao, 2023, "Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 684, Dec.
- Viral V. Acharya & Maximilian Jager & Sascha Steffen, 2023, "Contingent Credit Under Stress," NBER Working Papers, National Bureau of Economic Research, Inc, number 31909, Nov.
- Joseph S. Briggs & David Cesarini & Sean Chanwook Lee & Erik Lindqvist & Robert Östling, 2023, "Financial Windfalls, Portfolio Allocations, and Risk Preferences," NBER Working Papers, National Bureau of Economic Research, Inc, number 31864, Nov.
- Garbarino, Nicola & Lee, Jonathan & Guin, Benjamin, 2023, "The Effects of Subsidized Flood Insurance on Real Estate Markets," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage", Verein für Socialpolitik / German Economic Association, number 277665.
- Yoshiki Ando & Dirk Krueger & Harald Uhlig, 2023, "One-Sided Limited Commitment and Aggregate Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 31903, Nov.
- Thomas Chalaux & David Turner, 2023, "Doombot: a machine learning algorithm for predicting downturns in OECD countries," OECD Economics Department Working Papers, OECD Publishing, number 1780, Dec, DOI: 10.1787/4ed7acc3-en.
- Fiedler, Jakob & Schorn, André & Herstatt, Cornelius, 2023, "The influence of risk classification and community affiliation on the acceptance of user-innovated medical devices," Working Papers, Hamburg University of Technology (TUHH), Institute for Technology and Innovation Management, number 115.
- Ngai, L. Rachel & Sheedy, Kevin D., 2023, "The Ins and Outs of Selling Houses: Understanding Housing-Market Volatility," IZA Discussion Papers, IZA Network @ LISER, number 16603, Nov.
- Pablo Garcia-Sanchez & Olivier Pierrard, 2023, "Uncertain lifetime, health investment and welfare," BCL working papers, Central Bank of Luxembourg, number 178, Nov.