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Report NEP-RMG-2024-11-25
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:
- González Ayestarán, Rodrigo & Garcia Fronti, Javier Ignacio, 2024, "Gestión del Riesgo en YPF (2007-2019)
[Risk Management in YPF (2007-2019)]," MPRA Paper, University Library of Munich, Germany, number 122540, Oct. - Andrew Fleck & Edward Furman & Yang Shen, 2024, "Risk Aggregation and Allocation in the Presence of Systematic Risk via Stable Laws," Papers, arXiv.org, number 2410.14984, Oct.
- de Oliveira Souza, Thiago, 2024, "Model risk pricing and hedging," MPRA Paper, University Library of Munich, Germany, number 121827, Sep.
- Caio Almeida & Maria Grith & Ratmir Miftachov & Zijin Wang, 2024, "Risk Premia in the Bitcoin Market," Papers, arXiv.org, number 2410.15195, Oct, revised Aug 2025.
- Lukas Gonon & Thilo Meyer-Brandis & Niklas Weber, 2024, "Computing Systemic Risk Measures with Graph Neural Networks," Papers, arXiv.org, number 2410.07222, Sep, revised Oct 2025.
- Guibril Zerbo, 2024, "Arbitrage entre assurance et auto-assurance contre les risques naturels," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2024-30.
- Gulliksson, Mårten & Mazur, Stepan & Oleynik, Anna, 2024, "Minimum VaR and minimum CVaR optimal portfolios: The case of singular covariance matrix," Working Papers, Örebro University, School of Business, number 2024:9, Oct.
- Masahiro Kato, 2024, "Conformal Predictive Portfolio Selection," Papers, arXiv.org, number 2410.16333, Oct, revised Feb 2025.
- Cisil Sarisoy, 2024, "Drivers of Option-Implied Interest Rate Volatility," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2024-10-24, Oct, DOI: 10.17016/2380-7172.3572.
- Hennessy, David & Lapan, Harvey, 2006, "On the Nature of Certainty Equivalent Functionals," ISU General Staff Papers, Iowa State University, Department of Economics, number 202410291658110000, Mar.
- Kira Henshaw & Cedric H. A. Koffi & Olivier Menoukeu Pamen & Raghid Zeineddine, 2024, "On the valuation of life insurance policies for dependent coupled lives," Papers, arXiv.org, number 2410.11849, Oct.
- J'er^ome Lelong & V'eronique Maume-Deschamps & William Thevenot, 2024, "Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context," Papers, arXiv.org, number 2410.10239, Oct, revised May 2025.
- Luca Vincenzo Ballestra & Enzo D'Innocenzo & Christian Tezza, 2024, "A GARCH model with two volatility components and two driving factors," Papers, arXiv.org, number 2410.14585, Oct.
- Emmanuel Gnabeyeu & Omar Karkar & Imad Idboufous, 2024, "Solving The Dynamic Volatility Fitting Problem: A Deep Reinforcement Learning Approach," Papers, arXiv.org, number 2410.11789, Oct.
- Andrew Fleck & Edward Furman & Yang Shen, 2024, "Stochastic Loss Reserving: Dependence and Estimation," Papers, arXiv.org, number 2410.14985, Oct.
- Chaudhari, Saurav L., 2024, "Enhancing Portfolio Rebalancing Efficiency Using Binomial Distribution: A Case Study of Beating the Nifty Index with good CAGR," OSF Preprints, Center for Open Science, number u5q97, Oct, DOI: 10.31219/osf.io/u5q97.
- Tsiflikidou, Ioanna-Maria & METAXAS, THEODORE, 2023, "Economic Crises in the 20th century: Brief Review and Comparison," MPRA Paper, University Library of Munich, Germany, number 122466.