Report NEP-RMG-2024-04-15

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:

• Bingchu Nie & Dejian Tian & Long Jiang, 2024, "Set-valued Star-Shaped Risk Measures," Papers, arXiv.org, number 2402.18014, Feb, revised Feb 2025.
• Alexis Direr, 2023, "Portfolio Choice With Time Horizon Risk," Post-Print, HAL, number hal-04501750, Dec, DOI: 10.1142/S0219024923500267.
• Mucahit Aygun & Fabio Bellini & Roger J. A. Laeven, 2024, "On Geometrically Convex Risk Measures," Papers, arXiv.org, number 2403.06188, Mar.
• Michaël Allouche & Emmanuel Gobet & Clara Lage & Edwin Mangin, 2024, "Structured Dictionary Learning of Rating Migration Matrices for Credit Risk Modeling," Post-Print, HAL, number hal-03715954, Jan, DOI: 10.1007/s00180-023-01449-y.
• Kräussl, Roman & Oladiran, Tobi & Stefanova, Denitsa, 2023, "ESG as protection against downside risk," CFS Working Paper Series, Center for Financial Studies (CFS), number 708, DOI: 10.2139/ssrn.4335850.
• Florian Bourgey & Emmanuel Gobet & Ying Jiao, 2022, "Bridging socioeconomic pathways of CO2 emission and credit risk," Post-Print, HAL, number hal-03458299, Dec, DOI: 10.1007/s10479-022-05135-y.
• Koresh Galil & Eva Varon, 2023, "National Culture and Banks' Stock Market Volatility," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 2307.
• Degui Li & Oliver Linton & Haoxuan Zhang, 2024, "Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data," Papers, arXiv.org, number 2403.06246, Mar.
• Gianluca Pallante & Mattia Guerini & Mauro Napoletano & Andrea Roventini, 2024, "Robust-less-fragile: Tackling Systemic Risk and Financial Contagion in a Macro Agent-Based Model," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2024/08, Mar.
• Salem, Leila Ben & Zayati, Montassar & Nouira, Ridha & Rault, Christophe, 2024, "Volatility Spillover between Oil Prices and Main Exchange Rates: Evidence from a DCC-GARCH-Connectedness Approach," IZA Discussion Papers, Institute of Labor Economics (IZA), number 16832, Feb.
• Kiriliouk, Anna & Lee, Jeongjin & Segers, Johan, 2023, "X-Vine Models for Multivariate Extremes," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2023038, Dec.
• Brendan J. Chapuis & John Coglianese, 2024, "Measuring Unemployment Risk," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2024-03-08-1, Mar, DOI: 10.17016/2380-7172.3453.
• Khizar Qureshi & Tauhid Zaman, 2024, "Pairs Trading Using a Novel Graphical Matching Approach," Papers, arXiv.org, number 2403.07998, Mar.
• Tervola, Jussi & Iivonen, Saija & Hiilamo, Heikki, 2024, "The blurred line between social insurance and social assistance — analysis of risk-based benefits in six countries," SocArXiv, Center for Open Science, number 97xzj, Mar, DOI: 10.31219/osf.io/97xzj.
• Koresh Galil & Ami Hauptman & Rosit Levy Rosenboim, 2023, "Prediction of Corporate Credit Ratings with Machine Learning: Simple Interpretative Models," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 2308.
• Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice, 2023, "Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes," Post-Print, HAL, number hal-03715921, Jul, DOI: 10.1080/14697688.2023.2229022.
• Mitsunobu MIYAKE, 2024, "On the multiplicative law of subjective probability," TERG Discussion Papers, Graduate School of Economics and Management, Tohoku University, number 481, Mar.
• Takuma Kunieda & Akihisa Shibata, 2024, "Insurance against Aggregate Shocks," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1102, Apr.
• Matteo Rizzato & Julien Wallart & Christophe Geissler & Nicolas Morizet & Noureddine Boumlaik, 2023, "Generative Adversarial Networks Applied to Synthetic Financial Scenarios Generation
  [Data Latent space]," Post-Print, HAL, number hal-03716692, Aug, DOI: 10.1016/j.physa.2023.128899.
• Karimov, Nodirbek & Kara, Alper & Downing, Gareth & Marqués-Ibáñez, David, 2024, "The impact of regulatory changes on rating behaviour," Working Paper Series, European Central Bank, number 2920, Mar.
• Annalisa Frigo & Andrea Venturini, 2024, "Insurance coverage against natural risks: a preliminary analysis," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 830, Feb.
• Haim Shalit, 2024, "The Nonsense of Bitcoin 1n Portfolio Analysis," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 2401.
• Fabien Le Floc'h, 2024, "Stochastic Expansion for the Pricing of Asian and Basket Options," Papers, arXiv.org, number 2402.17684, Feb, revised Aug 2024.

Report NEP-RMG-2024-04-15

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: