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Report NEP-RMG-2024-01-22
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:
- Francesco Cesarone & Rosella Giacometti & Manuel Luis Martino & Fabio Tardella, 2023, "A return-diversification approach to portfolio selection," Papers, arXiv.org, number 2312.09707, Dec.
- Roberto Daluiso & Marco Pinciroli & Michele Trapletti & Edoardo Vittori, 2023, "CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning," Papers, arXiv.org, number 2312.14044, Dec.
- Adil Rengim Cetingoz & Olivier Gu'eant, 2023, "Asset and Factor Risk Budgeting: A Balanced Approach," Papers, arXiv.org, number 2312.11132, Dec, revised May 2024.
- Gregor Svindland & Alexander Vo{ss}, 2023, "Decision-Making Frameworks for Network Resilience -- Managing and Mitigating Systemic (Cyber) Risk," Papers, arXiv.org, number 2312.13884, Dec, revised Oct 2024.
- Herbertsson, Alexander, 2023, "Saddlepoint approximations for credit portfolio distributions with applications in equity risk management," Working Papers in Economics, University of Gothenburg, Department of Economics, number 839, Dec.
- Marcin Pitera & Thorsten Schmidt & {L}ukasz Stettner, 2023, "A novel scaling approach for unbiased adjustment of risk estimators," Papers, arXiv.org, number 2312.05655, Dec.
- Michael Kupper & Max Nendel & Alessandro Sgarabottolo, 2023, "Risk measures based on weak optimal transport," Papers, arXiv.org, number 2312.05973, Dec.
- Martin Eling & Anastasia V. Kartasheva & Dingchen Ning, 2023, "The Supply of Cyber Risk Insurance," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-118, Dec.
- Silvia Faroni & Olivier Le Courtois & Krzysztof Ostaszewski, 2022, "Equivalent Risk Indicators : VaR, TCE, and Beyond," Post-Print, HAL, number hal-04325627, Aug, DOI: 10.3390/risks10080142.
- Spatareanu, Mariana & Manole, Vlad & Kabiri, Ali & Roland, Isabelle, 2023, "Bank default risk propagation along supply chains: evidence from the U.K," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 117351, Mar.
- Radhika Prosad Datta, 2023, "Leveraging Sample Entropy for Enhanced Volatility Measurement and Prediction in International Oil Price Returns," Papers, arXiv.org, number 2312.12788, Dec.
- Eric André & Antoine Bommier & François Le Grand, 2022, "The impact of risk aversion and ambiguity aversion on annuity and saving choices," Post-Print, HAL, number hal-04325572, Aug, DOI: 10.1007/s11166-022-09386-9.
- Saad Mouti, 2023, "Rough volatility: evidence from range volatility estimators," Papers, arXiv.org, number 2312.01426, Dec, revised Sep 2024.
- Ulrich Horst & Wei Xu & Rouyi Zhang, 2023, "Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility," Papers, arXiv.org, number 2312.08784, Dec, revised Mar 2026.
- Francesco Cesarone & Massimiliano Corradini & Lorenzo Lampariello & Jessica Riccioni, 2023, "A new behavioral model for portfolio selection using the Half-Full/Half-Empty approach," Papers, arXiv.org, number 2312.10749, Dec.
- Igor Ferreira Batista Martins & Hedibert Freitas Lopes, 2023, "Stochastic volatility models with skewness selection," Papers, arXiv.org, number 2312.00282, Nov.
- Alexander M. G. Cox & Annemarie M. Grass, 2023, "Robust option pricing with volatility term structure -- An empirical study for variance options," Papers, arXiv.org, number 2312.09201, Dec.
- Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert, 2025, "Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 37486, Apr.
- Ju-Hong Lee & Bayartsetseg Kalina & KwangTek Na, 2023, "Market-Adaptive Ratio for Portfolio Management," Papers, arXiv.org, number 2312.13719, Dec, revised Jul 2024.
- Benjamin Avanzi & Lewis de Felice, 2023, "Optimal Strategies for the Decumulation of Retirement Savings under Differing Appetites for Liquidity and Investment Risks," Papers, arXiv.org, number 2312.14355, Dec, revised Mar 2024.
- Jiong Liu & Hamed Farahani & R. A. Serota, 2023, "Exploring Distributions of House Prices and House Price Indices," Papers, arXiv.org, number 2312.14325, Dec.