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Report NEP-RMG-2024-05-20
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:
- Richard Ostrander, 2024, "The Legal Function’s Role in the Risk Management Framework: Jack-of-All-Trades, Cog in the Machine, or Misfit Toy?," Speech, Federal Reserve Bank of New York, number 98149, Apr.
- Abdulnasser Hatemi-J, 2024, "On the Asymmetric Volatility Connectedness," Papers, arXiv.org, number 2404.12997, Apr, revised May 2024.
- Hałaj, Grzegorz & Hipp, Ruben, 2024, "Decomposing systemic risk: the roles of contagion and common exposures," Working Paper Series, European Central Bank, number 2929, Apr.
- Yanwei Jia, 2024, "Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty," Papers, arXiv.org, number 2404.12598, Apr.
- Rei Iwafuchi & Yasumasa Matsuda, 2024, "Deep learning for multivariate volatility forecasting in high-dimensional financial time series," DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University, number 141, May.
- Victor Cardenas, 2024, "Financial climate risk: a review of recent advances and key challenges," Papers, arXiv.org, number 2404.07331, Apr.
- Yuliyan Mitkov & Ulrich Schüwer, 2024, "On the Relationship between Borrower and Bank risk," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 294, Apr.
- Masanori Hirano, 2024, "Experimental Analysis of Deep Hedging Using Artificial Market Simulations for Underlying Asset Simulators," Papers, arXiv.org, number 2404.09462, Apr.
- Tommaso Proietti, 2024, "Ups and (Draw)Downs," CEIS Research Paper, Tor Vergata University, CEIS, number 576, May, revised 03 May 2024.
- Ragnar Enger Juelsrud & Ella Getz Wold, 2023, "The importance of unemployment risk for individual savings," Working Papers, Centre for Household Finance and Macroeconomic Research (HOFIMAR), BI Norwegian Business School, number 06/2023.
- Raffaele Santioni & Javier Gil-Bazo, 2024, "Geographic Shareholder Dispersion and Mutual Fund Flow Risk," Working Papers, Barcelona School of Economics, number 1440, Apr.
- Claudia Ceci & Alessandra Cretarola, 2024, "Optimal reinsurance in a dynamic contagion model: comparing self-exciting and externally-exciting risks," Papers, arXiv.org, number 2404.11482, Apr, revised Sep 2024.
- Graziano, Marco & Habib, Maurizio Michael, 2024, "Mutual funds and safe government bonds: do returns matter?," Working Paper Series, European Central Bank, number 2931, Apr.