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Report NEP-RMG-2024-10-28
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:
- Bingzhen Geng & Yang Liu & Hongfu Wan, 2024, "Asymptotics of Systemic Risk in a Renewal Model with Multiple Business Lines and Heterogeneous Claims," Papers, arXiv.org, number 2410.00158, Sep, revised Dec 2025.
- Qian Hui & Tiandong Wang, 2024, "Mitigating Extremal Risks: A Network-Based Portfolio Strategy," Papers, arXiv.org, number 2409.12208, Sep.
- Jascha Alexander & Christian Laudag'e & Jorn Sass, 2024, "Risk measures based on target risk profiles," Papers, arXiv.org, number 2409.17676, Sep, revised Apr 2025.
- Giampiero Gallo & Ostap Okhrin & Giuseppe Storti, 2024, "Dynamic tail risk forecasting: what do realized skewness and kurtosis add?," Papers, arXiv.org, number 2409.13516, Sep.
- Maysam Khodayari Gharanchaei & Reza Babazadeh, 2024, "Crisis Alpha: A High-Performance Trading Algorithm Tested in Market Downturns," Papers, arXiv.org, number 2409.14510, Aug.
- Brice Corgnet & Camille Cornand & Nobuyuki Hanaki, 2024, "Negative Tail Events, Emotions and Risk Taking," Post-Print, HAL, number hal-04228190, Feb, DOI: 10.1093/ej/uead080.
- Krishan Mohan Nagpal, 2024, "Portfolio Stress Testing and Value at Risk (VaR) Incorporating Current Market Conditions," Papers, arXiv.org, number 2409.18970, Sep.
- Pascal Kundig & Fabio Sigrist, 2024, "A Spatio-Temporal Machine Learning Model for Mortgage Credit Risk: Default Probabilities and Loan Portfolios," Papers, arXiv.org, number 2410.02846, Oct, revised Dec 2025.
- Roba Bairakdar & Debbie Dupuis & Melina Mailhot, 2024, "Deviance Voronoi Residuals for Space-Time Point Process Models: An Application to Earthquake Insurance Risk," Papers, arXiv.org, number 2410.04369, Oct.
- Zeda Xu & John Liechty & Sebastian Benthall & Nicholas Skar-Gislinge & Christopher McComb, 2024, "GARCH-Informed Neural Networks for Volatility Prediction in Financial Markets," Papers, arXiv.org, number 2410.00288, Sep.
- Mengshuo Zhao & Chuancun Yin, 2024, "Best- and worst-case Scenarios for GlueVaR distortion risk measure with Incomplete information," Papers, arXiv.org, number 2409.19902, Sep.
- Marek Rutkowski & Huansang Xu, 2024, "Pricing and Hedging Strategies for Cross-Currency Equity Protection Swaps," Papers, arXiv.org, number 2409.19387, Sep.
- Azhari Amine, 2024, "The Impact of Artificial Intelligence on Accounting: Enhancing the Quality of Financial Information through Financial Forecasting and Risk Management
[L'impact de l'intelligence artificielle sur la," Post-Print, HAL, number hal-04694939, DOI: 10.5281/zenodo.13366626. - Bingyao Liu & Iris Li & Jianhua Yao & Yuan Chen & Guanming Huang & Jiajing Wang, 2024, "Unveiling the Potential of Graph Neural Networks in SME Credit Risk Assessment," Papers, arXiv.org, number 2409.17909, Sep.
- Diana Barro & Antonella Basso & Stefania Funari & Guglielmo Alessandro Visentin, 2023, "Portfolio Diversification Including Art as an Alternative Asset," Working Papers, Venice School of Management - Department of Management, Università Ca' Foscari Venezia, number 06, Oct.
- John Armstrong & George Tatlow, 2024, "Deep Gamma Hedging," Papers, arXiv.org, number 2409.13567, Sep.
- Pradeep Dubey & Siddhartha Sahi & Guanyang Wang, 2024, "Putting all eggs in one basket: some insights from a correlation inequality," Papers, arXiv.org, number 2403.15957, Mar, revised Aug 2024.
- Shuaiyu Chen & T. Clifton Green & Huseyin Gulen & Dexin Zhou, 2024, "What Does ChatGPT Make of Historical Stock Returns? Extrapolation and Miscalibration in LLM Stock Return Forecasts," Papers, arXiv.org, number 2409.11540, Sep.
- Zhaobo Zhu & Licheng Sun, 2024, "When Buffett Meets Bollinger: An Integrated Approach to Fundamental and Technical Analysis," Post-Print, HAL, number hal-04703041, Sep.