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Report NEP-RMG-2024-03-18
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:
- Rangika Peiris & Chao Wang & Richard Gerlach & Minh-Ngoc Tran, 2024, "Semi-parametric financial risk forecasting incorporating multiple realized measures," Papers, arXiv.org, number 2402.09985, Feb, revised Dec 2024.
- Sahab Zandi & Kamesh Korangi & Mar'ia 'Oskarsd'ottir & Christophe Mues & Cristi'an Bravo, 2024, "Attention-based Dynamic Multilayer Graph Neural Networks for Loan Default Prediction," Papers, arXiv.org, number 2402.00299, Jan, revised Jun 2024.
- Marah-Lisanne Thormann & Phan Tu Vuong & Alain B. Zemkoho, 2024, "The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization," Papers, arXiv.org, number 2402.09194, Feb, revised Oct 2025.
- Shoka Hayaki, 2024, "The Impact of Individual Loss Aversion on Market Risk-Return Trade-off: A Non-linear Approach," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number DP2024-05, Mar.
- Grill, Michael & Popescu, Alexandra & Rancoita, Elena, 2024, "Climate transition risk in the banking sector: what can prudential regulation do?," Working Paper Series, European Central Bank, number 2910, Feb.
- Chotipong Charoensom, 2024, "An Estimation of Regime Switching Models with Nonlinear Endogenous Switching," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 217, Feb.
- Narayan Tondapu, 2024, "Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs," Papers, arXiv.org, number 2402.07435, Feb.
- Kroll, Yoram & Marchioni, Andrea & Ben-Horin, Moshe, 2024, "Sortino(γ): a modified Sortino ratio with adjusted threshold," MPRA Paper, University Library of Munich, Germany, number 120203, Jan.
- Einmahl, John & Zhou, C., 2024, "Tail Copula Estimation for Heteroscedastic Extremes," Other publications TiSEM, Tilburg University, School of Economics and Management, number 6bcb09c5-8b19-48b8-9320-b.
- Eduardo Abi Jaber & Louis-Amand G'erard, 2024, "Signature volatility models: pricing and hedging with Fourier," Papers, arXiv.org, number 2402.01820, Feb, revised Jun 2025.
- Changqing Teng & Guanglian Li, 2024, "Neural option pricing for rough Bergomi model," Papers, arXiv.org, number 2402.02714, Feb.
- Schmidt, James, 2024, "County Wildfire Risk Ratings in Northern California: FAIR Plan Insurance Policies and Simulation Models vs. Red Flag Warnings and Diablo Winds," MPRA Paper, University Library of Munich, Germany, number 120195, Feb.
- Schult, Christoph, 2024, "Is risk the fuel of the business cycle? Financial frictions and oil market disturbances," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 4/2024.
- Favero, Carlo A. & Melone, Alessandro & Tamoni, Andrea, 2023, "Anomaly Predictability with the Mean-Variance Portfolio," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2023-20, Dec.
- Turner, Dylan & Tsiboe, Francis & Baldwin, Katherine & Williams, Brian & Dohlman, Erik & Astill, Gregory & Skorbiansky, Sharon Raszap & Abadam, Vidalina & Yeh, D. Adeline & Knight, Russell, 2023, "Federal Programs for Agricultural Risk Management," Economic Information Bulletin, United States Department of Agriculture, Economic Research Service, number 340216, Dec, DOI: 10.22004/ag.econ.340216.
- Federico C. Nucera & Lucio Sarno & Gabriele Zinna, 2023, "Currency risk premiums redux?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1415, Jul.
- Simona Sanfelici & Giacomo Toscano, 2024, "The Fourier-Malliavin Volatility (FMVol) MATLAB library," Papers, arXiv.org, number 2402.00172, Jan.
- Alessandro Borin & Gianmarco Cariola & Elena Gentili & Andrea Linarello & Michele Mancini & Tullia Padellini & Ludovic Panon & Enrico Sette, 2023, "Inputs in geopolitical distress: a risk assessment based on micro data," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 819, Nov.
- Vittoria La Serra & Emiliano Svezia, 2023, "A robust record linkage approach for anomaly detection in granular insurance asset reporting," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 821, Dec.
- Loretta J. Mester, 2024, "Building Financial System Resilience," Speech, Federal Reserve Bank of Cleveland, number 97883, Feb.
- Jarrod Burgh & Emerson Melo, 2024, "Censored Beliefs and Wishful Thinking," Papers, arXiv.org, number 2402.01892, Feb, revised Jan 2025.
- Tao Ren & Ruihan Zhou & Jinyang Jiang & Jiafeng Liang & Qinghao Wang & Yijie Peng, 2024, "RiskMiner: Discovering Formulaic Alphas via Risk Seeking Monte Carlo Tree Search," Papers, arXiv.org, number 2402.07080, Feb, revised Feb 2024.
- Taiyo Yoshimi & Uraku Yoshimoto & Kiyotaka Sato & Takatoshi Ito & Junko Shimizu & Yushi Yoshida, 2024, "Invoice Currency Choice in Intra-Firm Trade: A Transaction-Level Analysis of Japanese Automobile Exports," NBER Working Papers, National Bureau of Economic Research, Inc, number 32142, Feb.
- Hüser, Anne-Caroline & Lepore, Caterina & Veraart, Luitgard A. M., 2024, "How does the repo market behave under stress? Evidence from the COVID-19 crisis," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 121347, Feb.