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Report NEP-RMG-2024-03-11
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:
- Katerina Rigana & Ernst C. Wit & Samantha Cook, 2024, "Navigating Market Turbulence: Insights from Causal Network Contagion Value at Risk," Papers, arXiv.org, number 2402.06032, Feb.
- Yi Shen & Zachary Van Oosten & Ruodu Wang, 2024, "Partial Law Invariance and Risk Measures," Papers, arXiv.org, number 2401.17265, Jan, revised Jun 2025.
- Böhnke, Victoria & Ongena, Steven & Paraschiv, Florentina & Reite, Endre J., 2024, "Back to the roots of internal credit risk models: Does risk explain why banks' risk-weighted asset levels converge over time?," Discussion Papers, Deutsche Bundesbank, number 02/2024.
- Kristy Jansen & Sven Klingler & Angelo Ranaldo & Patty Duijm, 2024, "Pension Liquidity Risk," Working Papers, DNB, number 801, Feb.
- Yunhan Zhang & Qiang Ji & David Gabauer & Rangan Gupta, 2024, "How Connected is the Oil-Bank Network? Firm-Level and High-Frequency Evidence," Working Papers, University of Pretoria, Department of Economics, number 202405, Feb.
- Xisong Jin, 2024, "Decomposing systemic risk measures by bank business model in Luxembourg," BCL working papers, Central Bank of Luxembourg, number 182, Feb.
- Henri Loubergé & Georges Dionne, 2024, "Developments in risk and insurance economics: The past 50 years," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 24-1, Jan.
- Blagov, Boris & Dirks, Maximilian & Funke, Michael, 2024, "Economic knock-on effects of Russia's geopolitical risk on advanced economies: A global VAR approach," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 1061, DOI: 10.4419/96973231.
- Alexandra Moura & Carlos Oliveira, 2024, "Reputation risk mitigation in investment strategies," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2024/0309, Feb.
- Jan L. M. Dhaene & Moshe A. Milevsky, 2024, "Egalitarian pooling and sharing of longevity risk', a.k.a. 'The many ways to skin a tontine cat," Papers, arXiv.org, number 2402.00855, Feb.
- Jingyi Gu & Wenlu Du & Guiling Wang, 2024, "RAGIC: Risk-Aware Generative Adversarial Model for Stock Interval Construction," Papers, arXiv.org, number 2402.10760, Feb.
- Audrius Jukonis & Elisa Letizia & Linda Rousova, 2024, "The Impact of Derivatives Collateralization on Liquidity Risk: Evidence from the Investment Fund Sector," IMF Working Papers, International Monetary Fund, number 2024/026, Feb.
- Zhenglong Li & Vincent Tam & Kwan L. Yeung, 2024, "Developing A Multi-Agent and Self-Adaptive Framework with Deep Reinforcement Learning for Dynamic Portfolio Risk Management," Papers, arXiv.org, number 2402.00515, Feb, revised Sep 2024.
- Johannes Carow & Niklas M. Witzig, 2024, "Time Pressure and Strategic Risk-Taking in Professional Chess," Working Papers, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, number 2404, Feb.
- Jose J. Canals-Cerda, 2024, "CECL Implementation and Model Risk in Uncertain Times: An Application to Consumer Finance," Working Papers, Federal Reserve Bank of Philadelphia, number 24-03, Feb, DOI: 10.21799/frbp.wp.2024.03.
- Camilo Gómez & Daniela Rodríguez-Novoa, 2024, "Firm Support Measures, Credit Payment Behavior, and Credit Risk," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 03-2024, Feb.
- Bernhard Hientzsch, 2023, "Reinforcement Learning and Deep Stochastic Optimal Control for Final Quadratic Hedging," Papers, arXiv.org, number 2401.08600, Nov.
- Prehn, Soren, 2024, "Why hedging, as practiced for storable commodities, is not an option for dairy farmers: a critical discussion," IAMO Discussion Papers, Institute of Agricultural Development in Transition Economies (IAMO), number 340077, Feb, DOI: 10.22004/ag.econ.340077.
- Michael S. Barr, 2024, "The Intersection of Monetary Policy, Market Functioning, and Liquidity Risk Management: A speech at the 40th Annual National Association for Business Economics (NABE) Economic Policy Conference, Washington, D.C., February 14, 2024," Speech, Board of Governors of the Federal Reserve System (U.S.), number 97753, Feb.
- Eungik Lee & Kathleen Ngangoue & Andrew Schotter & Maryse Kathleen Ngangoue, 2024, "The Resolution of Uncertainty in the Value and Probability Domains," CESifo Working Paper Series, CESifo, number 10898.
- Item repec:acb:cbeeco:2023-697 is not listed on IDEAS anymore