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Report NEP-RMG-2024-05-06
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:
- Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2023, "The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles," Post-Print, HAL, number hal-03909334, Jun.
- Issam Samiri, 2024, "Endogenous Defaults, Value-at-Risk and the Business Cycle," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 555, Apr.
- Hoang Hiep Nguyen & Jean-Laurent Viviani & Sami Ben Jabeur, 2023, "Bankruptcy prediction using machine learning and Shapley additive explanations," Post-Print, HAL, number hal-04223161, DOI: 10.1007/s11156-023-01192-x.
- François Pannequin & Anne Corcos, 2023, "Risk Management and Public Policies: How prevention challenges monopolistic insurance markets," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 23-02.
- Eva Lutkebohmert & Julian Sester, 2024, "Measuring Name Concentrations through Deep Learning," Papers, arXiv.org, number 2403.16525, Mar, revised Nov 2024.
- Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024, "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 289497.
- Natalia Fischl-Lanzoni & Martin Hiti & Nathan Kaplan & Asani Sarkar, 2024, "Investor Attention to Bank Risk During the Spring 2023 Bank Run," Staff Reports, Federal Reserve Bank of New York, number 1095, Apr, DOI: 10.59576/sr.1095.
- Maxime Rigaud & Jurgen Buekers & Jos Bessems & Xavier Basagaña & Sandrine Mathy & Mark Nieuwenhuijsen & Rémy Slama, 2024, "The methodology of quantitative risk assessment studies," Post-Print, HAL, number hal-04523440, Jan, DOI: 10.1186/s12940-023-01039-x.
- Stijn De Backer & Luis E. C. Rocha & Jan Ryckebusch & Koen Schoors, 2024, "On the potential of quantum walks for modeling financial return distributions," Papers, arXiv.org, number 2403.19502, Mar, revised Dec 2024.