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Report NEP-RMG-2024-06-24
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:
- Yuji Sakurai & Zhuohui Chen, 2024, "Forecasting Tail Risk via Neural Networks with Asymptotic Expansions," IMF Working Papers, International Monetary Fund, number 2024/099, May.
- Martin Herdegen & Nazem Khan & Cosimo Munari, 2024, "Risk, utility and sensitivity to large losses," Papers, arXiv.org, number 2405.12154, May.
- Yu Cheng & Qin Yang & Liyang Wang & Ao Xiang & Jingyu Zhang, 2024, "Research on Credit Risk Early Warning Model of Commercial Banks Based on Neural Network Algorithm," Papers, arXiv.org, number 2405.10762, May, revised May 2024.
- Financial System and Bank Examination Department & Strategy Development and Management Bureau, 2024, "Foreign Currency Liquidity Risk Management at Japanese Major Banks: Efforts and Enhancement," Bank of Japan Review Series, Bank of Japan, number 24-E-3, May.
- Ngoepe, Letlhogonolo Kearabilwe & Bonga-Bonga, Lumengo, 2024, "The connectedness of financial risk and green financial instruments: a dynamic and frequency analysis," MPRA Paper, University Library of Munich, Germany, number 121091.
- Xuewei Zhou & Zisheng Ouyang & Rangan Gupta & Qiang Ji, 2024, "Time-Varying Multilayer Networks Analysis of Frequency Connectedness in Commodity Futures Markets," Working Papers, University of Pretoria, Department of Economics, number 202422, Jun.
- Jiahao Weng & Yan Xie, 2024, "Degree of Irrationality: Sentiment and Implied Volatility Surface," Papers, arXiv.org, number 2405.11730, May.
- Gang Hu & Ming Gu, 2024, "Markowitz Meets Bellman: Knowledge-distilled Reinforcement Learning for Portfolio Management," Papers, arXiv.org, number 2405.05449, May.
- Lutz Kilian & Michael D. Plante & Alexander W. Richter, 2024, "Geopolitical Oil Price Risk and Economic Fluctuations," Working Papers, Federal Reserve Bank of Dallas, number 2403, May, revised 12 Nov 2024, DOI: 10.24149/wp2403r1.
- Cullen S. Hendrix, 2024, "The El Nino Southern Oscillation and Geopolitical Risk," Working Paper Series, Peterson Institute for International Economics, number WP24-14, May.
- Marín Díazaraque, Juan Miguel & Romero, Eva & Lopes Moreira da Veiga, María Helena, 2024, "Fitting complex stochastic volatility models using Laplace approximation," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 43947, Jun.
- Keyu Wu & Ernst Fehr & Sean Hofland & Martin Schonger, 2024, "On the psychological foundations of ambiguity and compound risk aversion," ECON - Working Papers, Department of Economics - University of Zurich, number 444, May.