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Report NEP-RMG-2024-01-08
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:
- Andrea Teruzzi, 2023, "Tail Risk and Systemic Risk Estimation of Cryptocurrencies: an Expectiles and Marginal Expected Shortfall based approach," Papers, arXiv.org, number 2311.17239, Nov.
- Shiva Zamani & Alireza Moslemi Haghighi & Hamid Arian, 2023, "Temporal Volatility Surface Projection: Parametric Surface Projection Method for Derivatives Portfolio Risk Management," Papers, arXiv.org, number 2311.14985, Nov.
- Jana Hlavinova & Birgit Rudloff & Alexander Smirnow, 2023, "Set-valued intrinsic measures of systemic risk," Papers, arXiv.org, number 2311.14588, Nov.
- Haufler, Andreas & Luelfesmann, Christoph, 2023, "Voluntary Equity, Project Risk, and Capital Requirements," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage", Verein für Socialpolitik / German Economic Association, number 277623.
- St'ephane Cr'epey & Noufel Frikha & Azar Louzi & Gilles Pag`es, 2023, "Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall," Papers, arXiv.org, number 2311.15333, Nov, revised Apr 2026.
- Ruslan Tepelyan & Achintya Gopal, 2023, "Generative Machine Learning for Multivariate Equity Returns," Papers, arXiv.org, number 2311.14735, Nov.
- Jingyi Tian & Jun Nagayasu, 2023, "Financial Systemic Risk behind Artificial Intelligence:Evidence from China," TUPD Discussion Papers, Graduate School of Economics and Management, Tohoku University, number 44, Nov.
- Reis Castigo Intupo, 2023, "Development of a Bankruptcy Prediction Model for the Banking Sector in Mozambique Using Linear Discriminant Analysis," Papers, arXiv.org, number 2311.16705, Nov.
- Mourahib, Anas & Kiriliouk, Anna & Segers, Johan, 2023, "Multivariate generalized Pareto distributions along extreme directions," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2023034, Nov.
- Afees A. Salisu & Rangan Gupta, 2023, "Oil Price Returns Skewness and Forecastability of International Stock Returns Over One Century of Data," Working Papers, University of Pretoria, Department of Economics, number 202339, Dec.
- Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023, "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Papers, arXiv.org, number 2311.16333, Nov, revised Apr 2024.
- Hilde C. Bjørnland & Roberto Casarin & Marco Lorusso & Francesco Ravazzolo, 2023, "Fiscal Policy Regimes in Resource-Rich Economies," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 13/2023, Oct.
- Robert Stok & Paul Bilokon, 2023, "From Deep Filtering to Deep Econometrics," Papers, arXiv.org, number 2311.06256, Sep.
- Eva Lutkebohmert & Julian Sester & Hongyi Shen, 2023, "On the Relevance and Appropriateness of Name Concentration Risk Adjustments for Portfolios of Multilateral Development Banks," Papers, arXiv.org, number 2311.13802, Nov, revised Mar 2024.
- Yan Dolinsky, 2023, "Exponential Utility Maximization with Delay in a Continuous Time Gaussian Framework," Papers, arXiv.org, number 2311.17270, Nov, revised Oct 2025.
- Emile A. Marin & Sanjay R. Singh, 2023, "Low Risk Sharing with Many Assets," Working Paper Series, Federal Reserve Bank of San Francisco, number 2023-37, Nov, DOI: 10.24148/wp2023-37.
- Savvakis C. Savvides, 2023, "Risk Analysis in Project Appraisal: The assessment of risk and return in capital investment decisions," Development Discussion Papers, JDI Executive Programs, number 2023-13, Dec.
- Boyang Yu, 2023, "Benchmarking Large Language Model Volatility," Papers, arXiv.org, number 2311.15180, Nov.