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Report NEP-RMG-2024-06-17
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:
- Tong Pu & Yifei Zhang & Yiying Zhang, 2024, "On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures," Papers, arXiv.org, number 2405.07549, May.
- Sullivan Hu'e & Christophe Hurlin & Yang Lu, 2024, "Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials," Papers, arXiv.org, number 2405.02012, May, revised May 2024.
- Emmanuel Lepinette & Duc Thinh Vu, 2024, "Coherent Risk Measure on $L^0$: NA Condition, Pricing and Dual Representation," Papers, arXiv.org, number 2405.06764, May.
- Thanoj K. Muddana & Komal S.R. Bhimireddy & Anandamayee Majumdar & Rangan Gupta, 2024, "Forecasting Gold Returns Volatility Over 1258-2023: The Role of Moments," Working Papers, University of Pretoria, Department of Economics, number 202421, May.
- Zhiyu Cao & Zachary Feinstein, 2024, "Large Language Model in Financial Regulatory Interpretation," Papers, arXiv.org, number 2405.06808, May, revised Jul 2024.
- Tian Tian & Ricky Cooper & Jiahao Deng & Qingquan Zhang, 2024, "Transforming Investment Strategies and Strategic Decision-Making: Unveiling a Novel Methodology for Enhanced Performance and Risk Management in Financial Markets," Papers, arXiv.org, number 2405.01892, May.
- Aur'elien Alfonsi & Ahmed Kebaier & J'er^ome Lelong, 2024, "A pure dual approach for hedging Bermudan options," Papers, arXiv.org, number 2404.18761, Apr, revised Oct 2024.
- Xue Wen Tan & Stanley Kok, 2024, "Explainable Risk Classification in Financial Reports," Papers, arXiv.org, number 2405.01881, May, revised Dec 2024.
- Aikman, David & Angotti, Romain & Budnik, Katarzyna, 2024, "Stress testing with multiple scenarios: a tale on tails and reverse stress scenarios," Working Paper Series, European Central Bank, number 2941, May.
- Ernest Aboagye & Vali Asimit & Tsz Chai Fung & Liang Peng & Qiuqi Wang, 2024, "A Revisit of the Optimal Excess-of-Loss Contract," Papers, arXiv.org, number 2405.00188, Apr.
- Thorsten Hens & Trine Nordlie, 2024, "How good are LLMs in risk profiling?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-30, Apr.
- Taha Choukhmane & Tim de Silva, 2024, "What Drives Investors' Portfolio Choices? Separating Risk Preferences from Frictions," NBER Working Papers, National Bureau of Economic Research, Inc, number 32476, May.
- Reilly Pickard & Finn Wredenhagen & Julio DeJesus & Mario Schlener & Yuri Lawryshyn, 2024, "Hedging American Put Options with Deep Reinforcement Learning," Papers, arXiv.org, number 2405.06774, May.
- H. Peter Boswijk & Jun Yu & Yang Zu, 2024, "Testing for an Explosive Bubble using High-Frequency Volatility," Papers, arXiv.org, number 2405.02087, May.