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. Stan Miles issued this report. It is usually issued weekly.

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