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Report NEP-RMG-2024-12-16
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:
- Xianhua Peng & Xiang Zhou & Bo Xiao & Yi Wu, 2024, "A Risk Sensitive Contract-unified Reinforcement Learning Approach for Option Hedging," Papers, arXiv.org, number 2411.09659, Nov.
- Tiantian Mao & Gilles Stupfler & Fan Yang, 2024, "Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks," Papers, arXiv.org, number 2411.07212, Nov.
- Christina Brinkmann, 2024, "Do Firms Hedge Human Capital?," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 343, Nov.
- Alfred Muller, 2024, "Some remarks on the effect of risk sharing and diversification for infinite mean risks," Papers, arXiv.org, number 2411.10139, Nov, revised Mar 2025.
- Kenjiro Oya, 2024, "Deep Hedging Bermudan Swaptions," Papers, arXiv.org, number 2411.10079, Nov.
- Hengxin Cui & Ken Seng Tan & Fan Yang, 2024, "Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation," Papers, arXiv.org, number 2411.06640, Nov.
- Kamil Fortuna & Janusz Szwabi'nski, 2024, "The role of debt valuation factors in systemic risk assessment," Papers, arXiv.org, number 2411.10386, Nov, revised Nov 2024.
- Saija Toivonen, 2024, "Navigating Uncertainty: Exploring black swan events and their possible impacts on the real estate market environment," ERES, European Real Estate Society (ERES), number eres2024-256, Jan.
- Sayyed Faraz Mohseni & Hamid R. Arian & Jean-Franc{c}ois B'egin, 2024, "The lexical ratio: A new perspective on portfolio diversification," Papers, arXiv.org, number 2411.06080, Nov.
- Sydow, Matthias & Fukker, Gábor & Dubiel-Teleszynski, Tomasz & Franch, Fabio & Gründl, Helmut & Miccio, Debora & Pellegrino, Michela & Gallet, Sébastien & Kotronis, Stelios & Schlütter, Sebastian & So, 2024, "Banks and non-banks stressed: liquidity shocks and the mitigating role of insurance companies," Working Paper Series, European Central Bank, number 3000, Nov.
- Jan Dhaene & Rodrigue Kazzi & Emiliano A. Valdez, 2024, "Axiomatic characterizations of some simple risk-sharing rules," Papers, arXiv.org, number 2411.06240, Nov, revised Nov 2024.
- Sergio A. Correia & Stephan Luck & Emil Verner, 2024, "Why Do Banks Fail? The Predictability of Bank Failures," Liberty Street Economics, Federal Reserve Bank of New York, number 20241122, Nov.
- Alhassan S. Yasin & Prabdeep S. Gill, 2024, "Reinforcement Learning Framework for Quantitative Trading," Papers, arXiv.org, number 2411.07585, Nov.
- Jihyun Park & Andrey Sarantsev, 2024, "The VIX as Stochastic Volatility for Corporate Bonds," Papers, arXiv.org, number 2410.22498, Oct, revised Jan 2025.
- Kristina Trajkovic, 2023, "Risk management and money laundering supervision of virtual currency service providers," Working Papers Bulletin, National Bank of Serbia, number 17, Sep.
- Graham L. Giller, 2024, "Isotropic Correlation Models for the Cross-Section of Equity Returns," Papers, arXiv.org, number 2411.08864, Nov, revised Jul 2025.
- Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant & Julien Guilbert, 2024, "Automated Market Making: the case of Pegged Assets," Papers, arXiv.org, number 2411.08145, Nov.
- Maximilian Grimm, 2024, "The Effect of Monetary Policy on Systemic Bank Funding Stability," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 341, Nov.
- Hao Qin & Charlie Che & Ruozhong Yang & Liming Feng, 2024, "Robust and Fast Bass local volatility," Papers, arXiv.org, number 2411.04321, Nov, revised May 2025.
- Sergio A. Correia & Stephan Luck & Emil Verner, 2024, "Why Do Banks Fail? Three Facts About Failing Banks," Liberty Street Economics, Federal Reserve Bank of New York, number 20241121, Nov.
- Bindseil, Ulrich & Marrazzo, Marco & Sauer, Stephan, 2024, "The impact of central bank digital currency on central bank profitability, risk-taking and capital," Occasional Paper Series, European Central Bank, number 360, Nov.