Report NEP-RMG-2024-07-08

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:

• Christiane Baumeister & Florian Huber & Massimiliano Marcellino, 2024. "Risky Oil: It's All in the Tails," NBER Working Papers 32524, National Bureau of Economic Research, Inc.
• Shivam Patel & Vivek Borkar, 2024. "An Asymptotic CVaR Measure of Risk for Markov Chains," Papers 2405.13513, arXiv.org.
• Fernando Acebes & Jos'e Manuel Gonz'alez-Varona & Adolfo L'opez-Paredes & Javier Pajares, 2024. "Beyond probability-impact matrices in project risk management: A quantitative methodology for risk prioritisation," Papers 2405.20679, arXiv.org.
• Lei Fan & Justin Sirignano, 2024. "Machine Learning Methods for Pricing Financial Derivatives," Papers 2406.00459, arXiv.org.
• Fernando Acebes & David Curto & Juan de Anton & Felix Villafanez, 2024. "Analisis cuantitativo de riesgos utilizando "MCSimulRisk" como herramienta didactica," Papers 2405.20688, arXiv.org.
• Murphy, David, 2023. "What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models," LSE Research Online Documents on Economics 118281, London School of Economics and Political Science, LSE Library.
• Yang Liu & Zhenyu Shen, 2024. "PSAHARA Utility Family: Modeling Non-monotone Risk Aversion and Convex Compensation in Incomplete Markets," Papers 2406.00435, arXiv.org, revised Nov 2024.
• Francisco González & José E. Gutiérrez & José María Serena, 2024. "Shadow seniority? Lending relationships and borrowers’ selective default," Working Papers 2420, Banco de España.
• Grzegorz Halaj & Ruben Hipp, 2024. "Decomposing Systemic Risk: The Roles of Contagion and Common Exposures," Staff Working Papers 24-19, Bank of Canada.
• Tomohiro Ando & Jushan Bai & Lina Lu & Cindy M. Vojtech, 2024. "Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network," Supervisory Research and Analysis Working Papers SRA 24-02, Federal Reserve Bank of Boston.
• Jinxin Xu & Kaixian Xu & Yue Wang & Qinyan Shen & Ruisi Li, 2024. "A K-means Algorithm for Financial Market Risk Forecasting," Papers 2405.13076, arXiv.org.
• Elena Capatina & Gary Hansen & Minchung Hsu, 2024. "Long Term Care Risk For Couples and Singles," ANU Working Papers in Economics and Econometrics 2024-697, Australian National University, College of Business and Economics, School of Economics.
• Elena Capatina & Gary Hansen & Minchung Hsu, 2024. "Long Term Care Risk For Couples and Singles," GRIPS Discussion Papers 23-14, National Graduate Institute for Policy Studies.
• Antoine Camous & Alejandro Van der Ghote, 2023. "Evaluating the Financial Instability Hypothesis: A Positive and Normative Analysis of Leveraged Risk-Taking and Extrapolative Expectations," CRC TR 224 Discussion Paper Series crctr224_2023_431v2, University of Bonn and University of Mannheim, Germany, revised May 2024.
• International Monetary Fund, 2024. "Japan: Financial Sector Assessment Program-Technical Note on Regulation and Supervision of Investment Funds," IMF Staff Country Reports 2024/114, International Monetary Fund.
• Joaquin Garcia-Cabo & Rocio Madera, 2024. "Does Self-Employment Pay? The Role of Unemployment and Earnings Risk," CESifo Working Paper Series 11136, CESifo.
• Pana Alves & Carmen Broto & María Gil & Matías Lamas, 2023. "Risk and vulnerability indicators for the spanish housing market," Occasional Papers 2314, Banco de España.
• Heitor Almeida & Murillo Campello & Luciano I. de Castro & Antonio F. Galvao Jr, 2024. "A Quantile Model of Firm Investment," NBER Working Papers 32498, National Bureau of Economic Research, Inc.
• Hakan Yilmazkuday, 2024. "Geopolitical Risk and Stock Prices," Working Papers 2407, Florida International University, Department of Economics.
• Rangan Gupta & Christian Pierdzioch, 2024. "Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices," Working Papers 202423, University of Pretoria, Department of Economics.
• Roberto Leon-Gonzalez & Blessings Majon, 2024. "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," GRIPS Discussion Papers 24-03, National Graduate Institute for Policy Studies.
• Zongxia Liang & Qi Ye, 2024. "Optimal information acquisition for eliminating estimation risk," Papers 2405.09339, arXiv.org.
• Yury Lebedev & Arunava Banerjee, 2024. "Gaussian Recombining Split Tree," Papers 2405.16333, arXiv.org.
• Roberto Leon-Gonzalez & Blessings Majoni, 2023. "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," GRIPS Discussion Papers 23-07, National Graduate Institute for Policy Studies.
• Henri Fraisse & Christophe Hurlin, 2024. "Modèles internes des banques pour le calcul du capital réglementaire (IRB) et intelligence artificielle," Débats économiques et financiers 44, Banque de France.
• Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2024. "Geometric BSDEs," Papers 2405.09260, arXiv.org, revised Jul 2024.
• Samuel Forbes, 2024. "The $\kappa$-generalised Distribution for Stock Returns," Papers 2405.09929, arXiv.org.
• Shumiao Ouyang & Hayong Yun & Xingjian Zheng, 2024. "How Ethical Should AI Be? How AI Alignment Shapes the Risk Preferences of LLMs," Papers 2406.01168, arXiv.org, revised Aug 2024.
• Joebges, Heike & Herr, Hansjörg & Kellermann, Christian, 2024. "Crypto assets as a threat to financial market stability," IPE Working Papers 233/2024, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
• Wu, Keyu & Fehr, Ernst & Hofland, Sean & Schonger, Martin, 2024. "On the Psychological Foundations of Ambiguity and Compound Risk Aversion," IZA Discussion Papers 17032, Institute of Labor Economics (IZA).
• Skjold, Benjamin & Steinkamp, Simon Richard & Connaughton, Colm & Hulme, Oliver J & Peters, Ole, 2024. "Ergodicity transformations predict human decision-making under risk," OSF Preprints c96yd, Center for Open Science.
• Anish Rai & Buddha Nath Sharma & Salam Rabindrajit Luwang & Md. Nurujjaman & Sushovan Majhi, 2024. "Identifying Extreme Events in the Stock Market: A Topological Data Analysis," Papers 2405.16052, arXiv.org.
• Accominotti, Olivier & Albers, Thilo & Oosterlinck, Kim, 2024. "Selective default expectations," LSE Research Online Documents on Economics 120657, London School of Economics and Political Science, LSE Library.