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Report NEP-RMG-2024-01-15
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:
- Ruipeng Liu & Mawuli Segnon & Oguzhan Cepni & Rangan Gupta, 2023, "Forecasting Volatility of Commodity, Currency, and Stock Markets: Evidence from Markov Switching Multifractal Models," Working Papers, University of Pretoria, Department of Economics, number 202340, Dec.
- Herv'e Andr`es & Alexandre Boumezoued & Benjamin Jourdain, 2023, "The implied volatility surface (also) is path-dependent," Papers, arXiv.org, number 2312.15950, Dec, revised Oct 2025.
- Tim J. Boonen & Xia Han, 2023, "Optimal insurance with mean-deviation measures," Papers, arXiv.org, number 2312.01813, Dec.
- B. Bruno & I. Marino & G. Nocera, 2023, "Internal Ratings and Bank Opacity: Evidence from Analysts’ Forecasts," Post-Print, HAL, number hal-04322520, Oct, DOI: 10.1016/j.jfi.2023.101062.
- Xia Han & Ruodu Wang & Qinyu Wu, 2023, "Monotonic mean-deviation risk measures," Papers, arXiv.org, number 2312.01034, Dec, revised Aug 2024.
- Beatrice Acciaio & Antonio Marini & Gudmund Pammer, 2023, "Calibration of the Bass Local Volatility model," Papers, arXiv.org, number 2311.14567, Nov, revised Jul 2025.
- Allen N. Berger & Filippo Curti & Nika Lazaryan & Atanas Mihov & Raluca A. Roman, 2023, "Climate Risks in the U.S. Banking Sector: Evidence from Operational Losses and Extreme Storms," Working Papers, Federal Reserve Bank of Philadelphia, number 21-31, Dec, DOI: 10.21799/frbp.wp.2023.31.
- Roger J. A. Laeven & Mitja Stadje, 2023, "A Rank-Dependent Theory for Decision under Risk and Ambiguity," Papers, arXiv.org, number 2312.05977, Dec, revised Dec 2025.
- An Chen & Giorgio Ferrari & Shihao Zhu, 2023, "Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning," Papers, arXiv.org, number 2312.02943, Dec, revised Jun 2025.
- Yu-Jui Huang & Li-Hsien Sun, 2023, "Partial Information in a Mean-Variance Portfolio Selection Game," Papers, arXiv.org, number 2312.04045, Dec, revised Sep 2025.
- Turan G. Bali & Heiner Beckmeyer & Amit Goyal, 2023, "A Joint Factor Model for Bonds, Stocks, and Options," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-106, Nov.
- Mishari Al-Foraih & `Oscar Bur'es & Jan Posp'iv{s}il & Josep Vives, 2023, "Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach," Papers, arXiv.org, number 2312.00405, Dec, revised Jul 2025.
- Denitsa Angelova & Andrea Bigano & Francesco Bosello & Shouro Dasgupta & Silvio Giove, 2023, "Assessing systemic climate change risk by country. Reflections from the use of composite indicators," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2023: 28.
- Jørgen Vitting Andersen & Roy Cerqueti & Jessica Riccioni, 2023, "Rational expectations as a tool for predicting failure of weighted k-out-of-n reliability systems," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-03634370, Apr, DOI: 10.1007/s10479-023-05300-x.
- Alexis Anagnostakis, 2023, "Pricing and hedging for a sticky diffusion," Papers, arXiv.org, number 2311.17011, Nov, revised Oct 2024.
- Maarten Meeuwis & Dimitris Papanikolaou & Jonathan L. Rothbaum & Lawrence D.W. Schmidt, 2023, "Time-Varying Risk Premia and Heterogeneous Labor Market Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 31968, Dec.