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. Stan Miles issued this report. It is usually issued weekly.

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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 2024/099, International Monetary Fund.
• Martin Herdegen & Nazem Khan & Cosimo Munari, 2024. "Risk, utility and sensitivity to large losses," Papers 2405.12154, arXiv.org.
• 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 2405.10762, arXiv.org, 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 24-E-3, Bank of Japan.
• Ngoepe, Letlhogonolo Kearabilwe & Bonga-Bonga, Lumengo, 2024. "The connectedness of financial risk and green financial instruments: a dynamic and frequency analysis," MPRA Paper 121091, University Library of Munich, Germany.
• Xuewei Zhou & Zisheng Ouyang & Rangan Gupta & Qiang Ji, 2024. "Time-Varying Multilayer Networks Analysis of Frequency Connectedness in Commodity Futures Markets," Working Papers 202422, University of Pretoria, Department of Economics.
• Jiahao Weng & Yan Xie, 2024. "Degree of Irrationality: Sentiment and Implied Volatility Surface," Papers 2405.11730, arXiv.org.
• Gang Hu & Ming Gu, 2024. "Markowitz Meets Bellman: Knowledge-distilled Reinforcement Learning for Portfolio Management," Papers 2405.05449, arXiv.org.
• Lutz Kilian & Michael D. Plante & Alexander W. Richter, 2024. "Geopolitical Oil Price Risk and Economic Fluctuations," Working Papers 2403, Federal Reserve Bank of Dallas.
• Cullen S. Hendrix, 2024. "The El Nino Southern Oscillation and Geopolitical Risk," Working Paper Series WP24-14, Peterson Institute for International Economics.
• 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 43947, Universidad Carlos III de Madrid. Departamento de Estadística.
• Keyu Wu & Ernst Fehr & Sean Hofland & Martin Schonger, 2024. "On the psychological foundations of ambiguity and compound risk aversion," ECON - Working Papers 444, Department of Economics - University of Zurich.