Printed from https://ideas.repec.org/n/nep-rmg/2024-07-29.html
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. 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:
- Fantazzini, Dean, 2024, "Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets," MPRA Paper, University Library of Munich, Germany, number 121214.
- Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta, 2024, "Geopolitical Risks and Oil Returns Volatility: A GARCH-MIDAS Approach," Working Papers, University of Pretoria, Department of Economics, number 202429, Jun.
- H'el`ene Cossette & Etienne Marceau & Alessandro Mutti & Patrizia Semeraro, 2024, "Generalized FGM dependence: Geometrical representation and convex bounds on sums," Papers, arXiv.org, number 2406.10648, Jun, revised Oct 2024.
- Marcelo Righi, 2024, "Optimal hedging with variational preferences under convex risk measures," Papers, arXiv.org, number 2407.03431, Jul, revised Oct 2024.
- Item repec:ags:aaea22:343570 is not listed on IDEAS anymore
- Item repec:ags:aaea22:343841 is not listed on IDEAS anymore
- Thomas Cook & Patrick Flaherty, 2024, "Hedging in Sequential Experiments," Papers, arXiv.org, number 2406.15867, Jun.
- Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Sisa Shiba, 2024, "Energy Market Uncertainties and Gold Return Volatility: A GARCH-MIDAS Approach," Working Papers, University of Pretoria, Department of Economics, number 202431, Jul.
- Xia Han & Peng Liu, 2024, "Robust Lambda-quantiles and extremal distributions," Papers, arXiv.org, number 2406.13539, Jun, revised May 2025.
- Keyu Wu & Ernst Fehr & Sean Hofland & Martin Schonger, 2024, "On the Psychological Foundations of Ambiguity and Compound Risk Aversion," CESifo Working Paper Series, CESifo, number 11150.
- Zachary Feinstein & Grzegorz Halaj & Andreas Sojmark, 2024, "The not-so-hidden risks of 'hidden-to-maturity' accounting: on depositor runs and bank resilience," Papers, arXiv.org, number 2407.03285, Jul, revised Feb 2025.
- H. Peter Boswijk & Jun Yu & Yang Zu, 2024, "Testing for an Explosive Bubble using High-Frequency Volatility," Working Papers, University of Macau, Faculty of Business Administration, number 202402, Jun.
- Philipp Wirth & Francesca Medda & Thomas Schroder, 2024, "Longitudinal market structure detection using a dynamic modularity-spectral algorithm," Papers, arXiv.org, number 2407.04500, Jul.
- Sokolov, Yuri I., 2024, "Bridging the Risk Management Gap: Adopting the Factor Endogenous Behaviour Aggregation (FEBA) Approach Beyond Banking," MPRA Paper, University Library of Munich, Germany, number 121188, Jun.
- Oriol Zamora Font, 2024, "Pricing VIX options under the Heston-Hawkes stochastic volatility model," Papers, arXiv.org, number 2406.13508, Jun.
- Sabrina Khurshid & Mohammed Shahid Abdulla & Gourab Ghatak, 2024, "Optimizing Sharpe Ratio: Risk-Adjusted Decision-Making in Multi-Armed Bandits," Papers, arXiv.org, number 2406.06552, May.
- Item repec:ags:aaea22:343899 is not listed on IDEAS anymore
- Navarini, Lorenzo & Verhaest, Dieter, 2024, "Returns to Education and Overeducation Risk: A Dynamic Model," GLO Discussion Paper Series, Global Labor Organization (GLO), number 1456.
- Item repec:ags:aaea22:343568 is not listed on IDEAS anymore
- Liran Einav & Amy Finkelstein & Pietro Tebaldi, 2024, "Market Design in Regulated Health Insurance Markets: Risk Adjustment vs. Subsidies," NBER Working Papers, National Bureau of Economic Research, Inc, number 32586, Jun.
- Item repec:ags:aaea22:343709 is not listed on IDEAS anymore
- Will Hicks, 2024, "Modelling Uncertain Volatility Using Quantum Stochastic Calculus: Unitary vs Non-Unitary Time Evolution," Papers, arXiv.org, number 2407.04520, Jul.
- Söhnke M. Bartram & Gregory W. Brown & René M. Stulz, 2024, "Creative Destruction, Stock Return Volatility, and the Number of Listed Firms," NBER Working Papers, National Bureau of Economic Research, Inc, number 32568, Jun.
- Scander Mustapha, 2024, "Strong existence and uniqueness of a calibrated local stochastic volatility model," Papers, arXiv.org, number 2406.14074, Jun.
- Rudiger Frey & Theresa Traxler, 2024, "Playing with Fire? A Mean Field Game Analysis of Fire Sales and Systemic Risk under Regulatory Capital Constraints," Papers, arXiv.org, number 2406.17528, Jun.
- 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, arXiv.org, number 2406.02589, May.
- Emily Quiroga & Michael Tanner, 2024, "Revealing risk preferences Evidence from Turkeys 2023 Earthquake," Papers, arXiv.org, number 2406.15905, Jun.
- 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, Kenya Bankers Association (KBA), number 78.
- Guillaume Roussellet, 2024, "Exploring the TIPS‑Treasury Valuation Puzzle," Liberty Street Economics, Federal Reserve Bank of New York, number 20240701, Jul.
- Nicola F. Zaugg & Lech A. Grzelak, 2024, "Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement," Papers, arXiv.org, number 2407.02901, Jul.
- William G. Morrison & Bradley J. Ruffle, 2024, "Do higher insurance premiums provoke larger reported losses? An experimental study," Department of Economics Working Papers, McMaster University, number 2024-05, Jun.
- Zuzanna Kostecka & Robert 'Slepaczuk, 2024, "Improving Realized LGD Approximation: A Novel Framework with XGBoost for Handling Missing Cash-Flow Data," Papers, arXiv.org, number 2406.17308, Jun.
- Holloway, Samuel, 2024, "Enhancing Marketing Effectiveness through Supply Chain Collaboration," OSF Preprints, Center for Open Science, number zp7fw, Jun, DOI: 10.31219/osf.io/zp7fw.
- Timothy Riffe & Iñaki Permanyer & Rustam Tursun-Zade & Magdalena Muszyńska-Spielauer, 2024, "Calculating the joint distribution of years lived in good and poor health," MPIDR Working Papers, Max Planck Institute for Demographic Research, Rostock, Germany, number WP-2024-013, DOI: 10.4054/MPIDR-WP-2024-013.