Printed from https://ideas.repec.org/n/nep-rmg/2024-11-04.html
Report NEP-RMG-2024-11-04
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:
- Ahnert, Toni & Bertsch, Christoph & Leonello, Agnese & Marquez, Robert, 2024, "Bank fragility and risk management," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 441, Sep, revised 01 Dec 2025.
- G.M. Gallo & O. Okhrin & G. Storti, 2024, "Dynamic tail risk forecasting: what do realized skewness and kurtosis add?," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 202416.
- Anna Kiriliouk & Chen Zhou, 2024, "Tail Risk Analysis for Financial Time Series," Papers, arXiv.org, number 2409.18643, Sep.
- Matteo Malavasi & Gareth W. Peters & Stefan Treuck & Pavel V. Shevchenko & Jiwook Jang & Georgy Sofronov, 2024, "Cyber Risk Taxonomies: Statistical Analysis of Cybersecurity Risk Classifications," Papers, arXiv.org, number 2410.05297, Oct.
- Jun Cai & Zhanyi Jiao & Tiantian Mao, 2024, "Worst-case values of target semi-variances with applications to robust portfolio selection," Papers, arXiv.org, number 2410.01732, Oct, revised Oct 2024.
- Vanderveken, Rodolphe & Lassance, Nathan & Vrins, Frédéric, 2024, "Optimal Portfolio Size under Parameter Uncertainty," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2024004, Jul.
- Peijun Liu, 2024, "Managerial Ownership, Modification of Business Risk Disclosure and Investors Risk Perception: Evidence from Japan," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 24-11, Oct.
- Afees A. Salisu & Ahamuefula E. Ogbonna & Elie Bouri & Rangan Gupta, 2024, "Economic Policy Uncertainty and Bank-Level Stock Returns Volatility of the United States: A Mixed-Frequency Perspective," Working Papers, University of Pretoria, Department of Economics, number 202444, Oct.
- Simon Levy & Maxime L. D. Nicolas, 2024, "Modern Portfolio Diversification with Arte-Blue Chip Index," Papers, arXiv.org, number 2409.18816, Sep.
- Clements, Adam & Vasnev, Andrey L., 2023, "Combining simple multivariate HAR-like models for portfolio construction," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2023-03, Nov.
- Luigi Guiso & Tullio Jappelli, 2024, "Anatomy of Consumption Risk," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 732, Jul.
- Cai, Zhaokun & Cui, Zhenyu & Lassance, Nathan & Simaan, Majeed, 2024, "The Economic Value of Mean Squared Error: Evidence from Portfolio Selection," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2024003, Jun.
- Sanjay Sathish & Charu C Sharma, 2024, "Leveraging RNNs and LSTMs for Synchronization Analysis in the Indian Stock Market: A Threshold-Based Classification Approach," Papers, arXiv.org, number 2409.06728, Aug.
- Hang Gao & Shuohua Yang & Xinli Liu, 2024, "Managing Basis Risks in Weather Parametric Insurance: A Quantitative Study of Diversification and Key Influencing Factors," Papers, arXiv.org, number 2409.16599, Sep.
- Hendrik Jenett & Maximilian Nagl & Cathrine Nagl & McKay Price & Wolfgang Schäfers, 2024, "Dynamics of REIT Returns and Volatility: Analyzing Time-Varying Drivers Using an Explainable Machine Learning Approach," ERES, European Real Estate Society (ERES), number eres2024-107, Jan.
- Xialu Liu & John Guerard & Rong Chen & Ruey Tsay, 2024, "Improving Estimation of Portfolio Risk Using New Statistical Factors," Papers, arXiv.org, number 2409.17182, Sep.
- Hayley Clatterbuck & Clinton Castro & Arvo Mu~noz Mor'an, 2024, "Risk Alignment in Agentic AI Systems," Papers, arXiv.org, number 2410.01927, Oct.
- Daniel Huerta & Chris Mothorpe, 2024, "The impact of international diversification on U.S. Equity REIT performance," ERES, European Real Estate Society (ERES), number eres2024-117, Jan.