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. Stan Miles issued this report. It is usually issued weekly.

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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 2402.18014, arXiv.org.
• Alexis Direr, 2023. "Portfolio Choice With Time Horizon Risk," Post-Print hal-04501750, HAL.
• Mucahit Aygun & Fabio Bellini & Roger J. A. Laeven, 2024. "On Geometrically Convex Risk Measures," Papers 2403.06188, arXiv.org.
• Michaël Allouche & Emmanuel Gobet & Clara Lage & Edwin Mangin, 2024. "Structured Dictionary Learning of Rating Migration Matrices for Credit Risk Modeling," Post-Print hal-03715954, HAL.
• Kräussl, Roman & Oladiran, Tobi & Stefanova, Denitsa, 2023. "ESG as protection against downside risk," CFS Working Paper Series 708, Center for Financial Studies (CFS).
• Florian Bourgey & Emmanuel Gobet & Ying Jiao, 2022. "Bridging socioeconomic pathways of CO2 emission and credit risk," Post-Print hal-03458299, HAL.
• Koresh Galil & Eva Varon, 2023. "National Culture and Banks' Stock Market Volatility," Working Papers 2307, Ben-Gurion University of the Negev, Department of Economics.
• Degui Li & Oliver Linton & Haoxuan Zhang, 2024. "Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data," Papers 2403.06246, arXiv.org.
• 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 2024/08, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• 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 16832, Institute of Labor Economics (IZA).
• Kiriliouk, Anna & Lee, Jeongjin & Segers, Johan, 2023. "X-Vine Models for Multivariate Extremes," LIDAM Discussion Papers ISBA 2023038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Brendan J. Chapuis & John Coglianese, 2024. "Measuring Unemployment Risk," FEDS Notes 2024-03-08-1, Board of Governors of the Federal Reserve System (U.S.).
• Khizar Qureshi & Tauhid Zaman, 2024. "Pairs Trading Using a Novel Graphical Matching Approach," Papers 2403.07998, arXiv.org.
• 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 97xzj, Center for Open Science.
• Koresh Galil & Ami Hauptman & Rosit Levy Rosenboim, 2023. "Prediction of Corporate Credit Ratings with Machine Learning: Simple Interpretative Models," Working Papers 2308, Ben-Gurion University of the Negev, Department of Economics.
• 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-03715921, HAL.
• Mitsunobu MIYAKE, 2024. "On the multiplicative law of subjective probability," TERG Discussion Papers 481, Graduate School of Economics and Management, Tohoku University.
• Takuma Kunieda & Akihisa Shibata, 2024. "Insurance against Aggregate Shocks," KIER Working Papers 1102, Kyoto University, Institute of Economic Research.
• 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-03716692, HAL.
• Karimov, Nodirbek & Kara, Alper & Downing, Gareth & Marqués-Ibáñez, David, 2024. "The impact of regulatory changes on rating behaviour," Working Paper Series 2920, European Central Bank.
• Annalisa Frigo & Andrea Venturini, 2024. "Insurance coverage against natural risks: a preliminary analysis," Questioni di Economia e Finanza (Occasional Papers) 830, Bank of Italy, Economic Research and International Relations Area.
• Haim Shalit, 2024. "The Nonsense of Bitcoin 1n Portfolio Analysis," Working Papers 2401, Ben-Gurion University of the Negev, Department of Economics.
• Fabien Le Floc'h, 2024. "Stochastic Expansion for the Pricing of Asian and Basket Options," Papers 2402.17684, arXiv.org, revised Aug 2024.