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Report NEP-RMG-2024-12-02
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:
- Pietro Bogani & Matteo Fontana & Luca Neri & Simone Vantini, 2024, "Calibrated quantile prediction for Growth-at-Risk," Papers, arXiv.org, number 2411.00520, Nov.
- Enzo D'Innocenzo & Andre Lucas & Bernd Schwaab & Xin Zhang, 2024, "Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-069/III, Nov.
- Livieri, Giulia & Radi, Davide & Smaniotto, Elia, 2024, "Pricing transition risk with a jump-diffusion credit risk model: evidences from the CDS market," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123650, Apr.
- Tahir Choulli & Ella Elazkany & Mich`ele Vanmaele, 2024, "Applications of the Second-Order Esscher Pricing in Risk Management," Papers, arXiv.org, number 2410.21649, Oct.
- Alex Li, 2024, "Volatility Forecasting in Global Financial Markets Using TimeMixer," Papers, arXiv.org, number 2410.09062, Sep.
- Tomas Espana & Victor Le Coz & Matteo Smerlak, 2024, "Kendall Correlation Coefficients for Portfolio Optimization," Papers, arXiv.org, number 2410.17366, Oct.
- Barr, Nicholas, 2025, "Risk-sharing in pension plans: multiple options," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 125669, Mar.
- Aubain Nzokem & Daniel Maposa, 2024, "Fitting the seven-parameter Generalized Tempered Stable distribution to the financial data," Papers, arXiv.org, number 2410.19751, Oct, revised Jan 2025.