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Report NEP-RMG-2024-11-18
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:
- Stulz, Rene M., 2024, "Risk, the Limits of Financial Risk Management, and Corporate Resilience," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2024-15, Aug.
- John Armstrong & James Dalby, 2024, "Optimal mutual insurance against systematic longevity risk," Papers, arXiv.org, number 2410.07749, Oct.
- Pulikandala Nithish Kumar & Nneka Umeorah & Alex Alochukwu, 2024, "Dynamic graph neural networks for enhanced volatility prediction in financial markets," Papers, arXiv.org, number 2410.16858, Oct.
- Laabidi Khalid & Mohamed EL Aallaoui, 2024, "Analyzing VaR: The Case for Wavelet Methods in the Moroccan Food Industry
[Analyse de la VaR : le cas des méthodes d'ondelettes dans l'industrie alimentaire marocaine]," Post-Print, HAL, number hal-04713310, Aug, DOI: 10.57109/232. - Bao, Jack & Hou, Kewei & Taoushianis, Zenon, 2024, "Default Risk Shocks of Financial Institutions as a Systemic Risk Indicator," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2024-16, Aug.
- Kola Akinsomi & Afees Salisu & Ametefe Frank & Hammed Yinka, 2024, "Gold market volatility and REITs' returns during tranquil and turbulent episodes," ERES, European Real Estate Society (ERES), number eres2024-222, Jan.
- Luca Vincenzo Ballestra & Enzo D'Innocenzo & Christian Tezza, 2024, "GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance," Papers, arXiv.org, number 2410.14513, Oct.
- Nathan Sauldubois & Nizar Touzi, 2024, "First order Martingale model risk and semi-static hedging," Papers, arXiv.org, number 2410.06906, Oct, revised Nov 2025.
- Heidi Falkenbach & Islam Ibrahim, 2024, "Flight-to-Diversification: The Effect of Diversification for REITs At Times of High Market Volatility," ERES, European Real Estate Society (ERES), number eres2024-083, Jan.
- Asuamah Yeboah, Samuel & Mogre, Diana & Nartey Menzo, Benjamin Prince, 2024, "Beyond the Numbers: Social Factors in Credit Risk," MPRA Paper, University Library of Munich, Germany, number 122363, Jul, revised 20 Aug 2024.
- Alain Coen & Aurelie Desfleurs, 2024, "Geopolitical Risk and the Dynamics of REITs Returns," ERES, European Real Estate Society (ERES), number eres2024-138, Jan.
- Couts, Spencer J. & Goncalves, Andrei S. & Liu, Yicheng & Loudis, Johnathan, 2024, "Institutional Investors' Subjective Risk Premia: Time Variation and Disagreement," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2024-17, Aug.
- Lukas Petrasek & Jiri Kukacka, 2024, "US Equity Announcement Risk Premia," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2024/38, Oct, revised Oct 2024.
- Yannick Hoga, 2024, "Persistence-Robust Break Detection in Predictive Quantile and CoVaR Regressions," Papers, arXiv.org, number 2410.05861, Oct.
- Bauwens, Luc & Dzuverovic, Emilija & Hafner, Christian, 2024, "Asymmetric Models for Realized Covariances," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2024024, Oct.
- Anubha Goel & Puneet Pasricha & Juho Kanniainen, 2024, "Time-Series Foundation AI Model for Value-at-Risk Forecasting," Papers, arXiv.org, number 2410.11773, Oct, revised May 2025.
- Francesco Audrino & Jessica Gentner & Simon Stalder, 2024, "Quantifying uncertainty: a new era of measurement through large language models," Working Papers, Swiss National Bank, number 2024-12.