Printed from https://ideas.repec.org/n/nep-rmg/2024-03-25.html
Report NEP-RMG-2024-03-25
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:
- Cathy W. S. Chen & Takaaki Koike & Wei-Hsuan Shau, 2024, "Tail risk forecasting with semi-parametric regression models by incorporating overnight information," Papers, arXiv.org, number 2402.07134, Feb.
- Matthijs Breugem & Raffaele Corvino & Roberto Marfe & Lorenzo Schonleber, 2024, "Pandemic Tail Risk," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 714 JEL Classification: C.
- Suparna Biswas & Rituparna Sen, 2024, "Estimation of Spectral Risk Measure for Left Truncated and Right Censored Data," Papers, arXiv.org, number 2402.14322, Feb, revised Feb 2025.
- Kristy Jansen & Sven Klingler & Angelo Ranaldo & Patty Duijm, 2024, "Pension Liquidity Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-16, Feb.
- Andrei Neagu & Fr'ed'eric Godin & Clarence Simard & Leila Kosseim, 2024, "Deep Hedging with Market Impact," Papers, arXiv.org, number 2402.13326, Feb, revised Feb 2024.
- Daniel Celeny & Loic Mar'echal, 2024, "Cyber risk and the cross-section of stock returns," Papers, arXiv.org, number 2402.04775, Feb, revised Mar 2024.
- Roberto Marfe & Julien Penasse, 2024, "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 715 JEL Classification: E.
- Knobloch, Ralf, 2024, "Aggregation in einem Risikoportfolio mit Abhängigkeitsstruktur," Forschung am ivwKöln, Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies, number 2/2024, DOI: 10.57684/COS-1234.
- Gabriel, Stefan & Kunst, Robert M., 2024, "Cointegrated portfolios and volatility modeling in the cryptocurrency market," IHS Working Paper Series, Institute for Advanced Studies, number 52, Mar.
- Joshua Aslett & Gustavo González & Stuart Hamilton & Miguel Pecho, 2024, "Tax Administration: Essential Analytics for Compliance Risk Management," IMF Technical Notes and Manuals, International Monetary Fund, number 2024/001, Feb.
- Steven Y. K. Wong & Jennifer S. K. Chan & Lamiae Azizi, 2024, "Quantifying neural network uncertainty under volatility clustering," Papers, arXiv.org, number 2402.14476, Feb, revised Sep 2024.
- Elena Capatina & Gary Hansen & Minchung Hsu, 2024, "Long Term Care Risk for Couples and Singles," NBER Working Papers, National Bureau of Economic Research, Inc, number 32196, Mar.
- Ying Wu & Garvit Arora & Xuan Mei, 2024, "Using CPI in Loss Given Default Forecasting Models for Commercial Real Estate Portfolio," Papers, arXiv.org, number 2402.15498, Feb.
- Colombo, Jéfferson Augusto & Yarovaya, Larisa, 2024, "Are crypto and non-crypto investors alike? Evidence from a comprehensive survey in Brazil," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 568, Feb.