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. Stanley 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, National Bureau of Economic Research, Inc, number 32524, May.
• Shivam Patel & Vivek Borkar, 2024, "An Asymptotic CVaR Measure of Risk for Markov Chains," Papers, arXiv.org, number 2405.13513, May.
• 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, arXiv.org, number 2405.20679, May.
• Lei Fan & Justin Sirignano, 2024, "Machine Learning Methods for Pricing Financial Derivatives," Papers, arXiv.org, number 2406.00459, Jun.
• Fernando Acebes & David Curto & Juan de Anton & Felix Villafanez, 2024, "Analisis cuantitativo de riesgos utilizando "MCSimulRisk" como herramienta didactica," Papers, arXiv.org, number 2405.20688, May.
• 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, London School of Economics and Political Science, LSE Library, number 118281, Jun.
• Yang Liu & Zhenyu Shen, 2024, "PSAHARA Utility Family: Modeling Non-monotone Risk Aversion and Convex Compensation in Incomplete Markets," Papers, arXiv.org, number 2406.00435, Jun, revised Nov 2024.
• Francisco González & José E. Gutiérrez & José María Serena, 2024, "Shadow seniority? Lending relationships and borrowers’ selective default," Working Papers, Banco de España, number 2420, Jun, DOI: https://doi.org/10.53479/36695.
• Grzegorz Halaj & Ruben Hipp, 2024, "Decomposing Systemic Risk: The Roles of Contagion and Common Exposures," Staff Working Papers, Bank of Canada, number 24-19, May, DOI: 10.34989/swp-2024-19.
• 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, Federal Reserve Bank of Boston, number SRA 24-02, Apr.
• Jinxin Xu & Kaixian Xu & Yue Wang & Qinyan Shen & Ruisi Li, 2024, "A K-means Algorithm for Financial Market Risk Forecasting," Papers, arXiv.org, number 2405.13076, May.
• Elena Capatina & Gary Hansen & Minchung Hsu, 2024, "Long Term Care Risk For Couples and Singles," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2024-697, Feb.
• Elena Capatina & Gary Hansen & Minchung Hsu, 2024, "Long Term Care Risk For Couples and Singles," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 23-14, Feb.
• 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, University of Bonn and University of Mannheim, Germany, number crctr224_2023_431v2, May, 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, International Monetary Fund, number 2024/114, May.
• Joaquin Garcia-Cabo & Rocio Madera, 2024, "Does Self-Employment Pay? The Role of Unemployment and Earnings Risk," CESifo Working Paper Series, CESifo, number 11136.
• Pana Alves & Carmen Broto & María Gil & Matías Lamas, 2023, "Risk and vulnerability indicators for the spanish housing market," Occasional Papers, Banco de España, number 2314, Jul, DOI: https://doi.org/10.53479/36275.
• Heitor Almeida & Murillo Campello & Luciano I. de Castro & Antonio F. Galvao Jr, 2024, "A Quantile Model of Firm Investment," NBER Working Papers, National Bureau of Economic Research, Inc, number 32498, May.
• Hakan Yilmazkuday, 2024, "Geopolitical Risk and Stock Prices," Working Papers, Florida International University, Department of Economics, number 2407, Jun.
• Rangan Gupta & Christian Pierdzioch, 2024, "Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices," Working Papers, University of Pretoria, Department of Economics, number 202423, Jun.
• Roberto Leon-Gonzalez & Blessings Majon, 2024, "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 24-03, Apr.
• Zongxia Liang & Qi Ye, 2024, "Optimal information acquisition for eliminating estimation risk," Papers, arXiv.org, number 2405.09339, May.
• Yury Lebedev & Arunava Banerjee, 2024, "Gaussian Recombining Split Tree," Papers, arXiv.org, number 2405.16333, May.
• Roberto Leon-Gonzalez & Blessings Majoni, 2023, "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 23-07, Jun.
• Henri Fraisse & Christophe Hurlin, 2024, "Modèles internes des banques pour le calcul du capital réglementaire (IRB) et intelligence artificielle," Débats Economiques et financiers, Banque de France, number 44.
• Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2024, "Geometric BSDEs," Papers, arXiv.org, number 2405.09260, May, revised Sep 2025.
• Samuel Forbes, 2024, "The $\kappa$-generalised Distribution for Stock Returns," Papers, arXiv.org, number 2405.09929, May.
• Shumiao Ouyang & Hayong Yun & Xingjian Zheng, 2024, "AI as Decision-Maker: Ethics and Risk Preferences of LLMs," Papers, arXiv.org, number 2406.01168, Jun, revised Jun 2025.
• Joebges, Heike & Herr, Hansjörg & Kellermann, Christian, 2024, "Crypto assets as a threat to financial market stability," IPE Working Papers, Berlin School of Economics and Law, Institute for International Political Economy (IPE), number 233/2024.
• Wu, Keyu & Fehr, Ernst & Hofland, Sean & Schonger, Martin, 2024, "On the Psychological Foundations of Ambiguity and Compound Risk Aversion," IZA Discussion Papers, Institute of Labor Economics (IZA), number 17032, May.
• Skjold, Benjamin & Steinkamp, Simon Richard & Connaughton, Colm & Hulme, Oliver J & Peters, Ole, 2024, "Ergodicity transformations predict human decision-making under risk," OSF Preprints, Center for Open Science, number c96yd, May, DOI: 10.31219/osf.io/c96yd.
• 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, arXiv.org, number 2405.16052, May.
• Accominotti, Olivier & Albers, Thilo & Oosterlinck, Kim, 2024, "Selective default expectations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 120657, Jun.

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. 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: