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Report NEP-RMG-2024-04-29
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:
- Ofelia Bonesini & Antoine Jacquier & Aitor Muguruza, 2024, "Risk premium and rough volatility," Papers, arXiv.org, number 2403.11897, Mar, revised Dec 2025.
- Killian Pluzanski & Jean-Luc Prigent, 2023, "Risk management of margin based portfolio strategies for dynamic portfolio insurance with minimum market exposure," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2023-22.
- Christopher Chambers & Alan Miller & Ruodu Wang & Qinyu Wu, 2024, "Max- and min-stability under first-order stochastic dominance," Papers, arXiv.org, number 2403.13138, Mar, revised Jul 2025.
- Yuyu Chen & Paul Embrechts & Ruodu Wang, 2024, "Risk exchange under infinite-mean Pareto models," Papers, arXiv.org, number 2403.20171, Mar, revised Jun 2025.
- Gasparini, Tommaso & Lewis, Vivien & Moyen, Stéphane & Villa, Stefania, 2024, "Risky firms and fragile banks: Implications for macroprudential policy," Discussion Papers, Deutsche Bundesbank, number 10/2024.
- João Granja & Erica Xuewei Jiang & Gregor Matvos & Tomasz Piskorski & Amit Seru, 2024, "Book Value Risk Management of Banks: Limited Hedging, HTM Accounting, and Rising Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 32293, Mar.
- Boyi Li & Weixuan Xia, 2024, "Crypto Inverse-Power Options and Fractional Stochastic Volatility," Papers, arXiv.org, number 2403.16006, Mar, revised Jun 2025.
- Shige Peng & Shuzhen Yang & Wenqing Zhang, 2024, "Uncertainty in the financial market and application to forecastabnormal financial fluctuations," Papers, arXiv.org, number 2403.12647, Mar.
- Yun-Shi Dai & Peng-Fei Dai & Wei-Xing Zhou, 2024, "The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model," Papers, arXiv.org, number 2404.01641, Apr.
- Muzi Chen & Nan Li & Lifen Zheng & Difang Huang & Boyao Wu, 2024, "Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price," Papers, arXiv.org, number 2403.19363, Mar.
- Guohui Guan & Lin He & Zongxia Liang & Litian Zhang, 2024, "Optimal VPPI strategy under Omega ratio with stochastic benchmark," Papers, arXiv.org, number 2403.13388, Mar.
- Mikkel Bennedsen & Kim Christensen & Peter Christensen, 2024, "To be or not to be: Roughness or long memory in volatility?," Papers, arXiv.org, number 2403.12653, Mar, revised Jan 2026.
- Yaacov Kopeliovich & Michael Pokojovy & Julia Bernatska, 2024, "On Merton's Optimal Portfolio Problem with Sporadic Bankruptcy for Isoelastic Utility," Papers, arXiv.org, number 2403.15923, Mar, revised Nov 2024.
- Takuma Kunieda & Akihisa Shibata, 2024, "Insurance against Aggregate Shocks," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 1239, Apr.
- Takuma Kunieda & Akihisa Shibata, 2024, "Insurance against Aggregate Shocks," Discussion Paper Series, School of Economics, Kwansei Gakuin University, number 267, Apr.
- T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2024, "On the Hull-White model with volatility smile for Valuation Adjustments," Papers, arXiv.org, number 2403.14841, Mar.
- Jose-Miguel Benavente & Claudio Bravo-Ortega & Pablo Egaña-delSol & Bronwyn H. Hall, 2024, "How Does Expropriation Risk Affect Innovation?," NBER Working Papers, National Bureau of Economic Research, Inc, number 32288, Mar.