Report NEP-RMG-2024-07-29

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:

• Fantazzini, Dean, 2024. "Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets," MPRA Paper 121214, University Library of Munich, Germany.
• Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta, 2024. "Geopolitical Risks and Oil Returns Volatility: A GARCH-MIDAS Approach," Working Papers 202429, University of Pretoria, Department of Economics.
• H'el`ene Cossette & Etienne Marceau & Alessandro Mutti & Patrizia Semeraro, 2024. "Generalized FGM dependence: Geometrical representation and convex bounds on sums," Papers 2406.10648, arXiv.org, revised Oct 2024.
• Marcelo Righi, 2024. "Optimal hedging with variational preferences under convex risk measures," Papers 2407.03431, arXiv.org, revised Oct 2024.
• Franco Da Silveira, Rodrigo Lanna & Davoli Alvarenga, Mayara & Luna, Ivette & Coltri, Priscila Pereira & Gonçalves, Renata Ribeiro Do Valle & Torres, Guilherme Almussa Leite, 2024. "The Role Of Risk Perceptions And Risk Attitudes On Hedging Decisions: Evidence From Coffee Farmers," 2024 Annual Meeting, July 28-30, New Orleans, LA 343570, Agricultural and Applied Economics Association.
• Turner, Dylan & Tsiboe, Francis & Baldwin, Katherine L. & Dong, Fengxia, 2024. "The Role of Policy Uncertainty in Producer Risk Management Decisions," 2024 Annual Meeting, July 28-30, New Orleans, LA 343841, Agricultural and Applied Economics Association.
• Thomas Cook & Patrick Flaherty, 2024. "Hedging in Sequential Experiments," Papers 2406.15867, arXiv.org.
• Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Sisa Shiba, 2024. "Energy Market Uncertainties and Gold Return Volatility: A GARCH-MIDAS Approach," Working Papers 202431, University of Pretoria, Department of Economics.
• Xia Han & Peng Liu, 2024. "Robust Lambda-quantiles and extreme probabilities," Papers 2406.13539, arXiv.org.
• Keyu Wu & Ernst Fehr & Sean Hofland & Martin Schonger, 2024. "On the Psychological Foundations of Ambiguity and Compound Risk Aversion," CESifo Working Paper Series 11150, CESifo.
• Zachary Feinstein & Grzegorz Halaj & Andreas Sojmark, 2024. "The not-so-hidden risks of 'hidden-to-maturity' accounting: on depositor runs and bank resilience," Papers 2407.03285, arXiv.org.
• H. Peter Boswijk & Jun Yu & Yang Zu, 2024. "Testing for an Explosive Bubble using High-Frequency Volatility," Working Papers 202402, University of Macau, Faculty of Business Administration.
• Philipp Wirth & Francesca Medda & Thomas Schroder, 2024. "Longitudinal market structure detection using a dynamic modularity-spectral algorithm," Papers 2407.04500, arXiv.org.
• Sokolov, Yuri I., 2024. "Bridging the Risk Management Gap: Adopting the Factor Endogenous Behaviour Aggregation (FEBA) Approach Beyond Banking," MPRA Paper 121188, University Library of Munich, Germany.
• Oriol Zamora Font, 2024. "Pricing VIX options under the Heston-Hawkes stochastic volatility model," Papers 2406.13508, arXiv.org.
• Sabrina Khurshid & Mohammed Shahid Abdulla & Gourab Ghatak, 2024. "Optimizing Sharpe Ratio: Risk-Adjusted Decision-Making in Multi-Armed Bandits," Papers 2406.06552, arXiv.org.
• Wahdat, Ahmad Z. & Bryant, Elijah H. & Hubbell, Caitlinn B. & Balagtas, Joseph V., 2024. "Risk Preference, Risk Perceptions, and Risky Food Behavior in the U.S," 2024 Annual Meeting, July 28-30, New Orleans, LA 343899, Agricultural and Applied Economics Association.
• Navarini, Lorenzo & Verhaest, Dieter, 2024. "Returns to Education and Overeducation Risk: A Dynamic Model," GLO Discussion Paper Series 1456, Global Labor Organization (GLO).
• Boyer, Christopher N. & DeLong, Karen L. & Griffith, Andrew P. & Martinez, Charles, 2024. "Examining how Risk Preferences and Information Affect Livestock Risk Protection Use," 2024 Annual Meeting, July 28-30, New Orleans, LA 343568, Agricultural and Applied Economics Association.
• Liran Einav & Amy Finkelstein & Pietro Tebaldi, 2024. "Market Design in Regulated Health Insurance Markets: Risk Adjustment vs. Subsidies," NBER Working Papers 32586, National Bureau of Economic Research, Inc.
• Rao, Xudong & Wang, Xingguo & Turvey, Calum G. & Zhang, Yuehua, 2024. "Agricultural Insurance and Use of Livestock Antibiotics – A Field Experiment Among Hog Farms in China," 2024 Annual Meeting, July 28-30, New Orleans, LA 343709, Agricultural and Applied Economics Association.
• Will Hicks, 2024. "Modelling Uncertain Volatility Using Quantum Stochastic Calculus: Unitary vs Non-Unitary Time Evolution," Papers 2407.04520, arXiv.org.
• Söhnke M. Bartram & Gregory W. Brown & René M. Stulz, 2024. "Creative Destruction, Stock Return Volatility, and the Number of Listed Firms," NBER Working Papers 32568, National Bureau of Economic Research, Inc.
• Scander Mustapha, 2024. "Strong existence and uniqueness of a calibrated local stochastic volatility model," Papers 2406.14074, arXiv.org.
• Rudiger Frey & Theresa Traxler, 2024. "Playing with Fire? A Mean Field Game Analysis of Fire Sales and Systemic Risk under Regulatory Capital Constraints," Papers 2406.17528, arXiv.org.
• Fernando Acebes & M Pereda & David Poza & Javier Pajares & Jose M Galan, 2024. "Stochastic Earned Value Analysis using Monte Carlo Simulation and Statistical Learning Techniques," Papers 2406.02589, arXiv.org.
• Emily Quiroga & Michael Tanner, 2024. "Revealing risk preferences Evidence from Turkeys 2023 Earthquake," Papers 2406.15905, arXiv.org.
• Ndwiga, David, 2024. "Monetary policy risk-taking transmission channel: A case of banking industry in Kenya," KBA Centre for Research on Financial Markets and Policy Working Paper Series 78, Kenya Bankers Association (KBA).
• Guillaume Roussellet, 2024. "Exploring the TIPS‑Treasury Valuation Puzzle," Liberty Street Economics 20240701, Federal Reserve Bank of New York.
• Nicola F. Zaugg & Lech A. Grzelak, 2024. "Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement," Papers 2407.02901, arXiv.org.
• William G. Morrison & Bradley J. Ruffle, 2024. "Do higher insurance premiums provoke larger reported losses? An experimental study," Department of Economics Working Papers 2024-05, McMaster University.
• Zuzanna Kostecka & Robert 'Slepaczuk, 2024. "Improving Realized LGD Approximation: A Novel Framework with XGBoost for Handling Missing Cash-Flow Data," Papers 2406.17308, arXiv.org.
• Holloway, Samuel, 2024. "Enhancing Marketing Effectiveness through Supply Chain Collaboration," OSF Preprints zp7fw, Center for Open Science.
• Timothy Riffe & Iñaki Permanyer & Rustam Tursun-Zade & Magdalena Muszynska-Spielauer, 2024. "Calculating the joint distribution of years lived in good and poor health," MPIDR Working Papers WP-2024-013, Max Planck Institute for Demographic Research, Rostock, Germany.