Report NEP-RMG-2024-12-30

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:

• Xia Han & Liyuan Lin & Hao Wang & Ruodu Wang, 2024, "Diversification quotient based on expectiles," Papers, arXiv.org, number 2411.14646, Nov, revised Nov 2024.
• Limin Wen & Junxue Li & Tong Pu & Yiying Zhang, 2024, "On multivariate contribution measures of systemic risk with applications in cryptocurrency market," Papers, arXiv.org, number 2411.13384, Nov, revised Mar 2025.
• Tsogt-Ochir Enkhbayar, 2024, "A New Way: Kronecker-Factored Approximate Curvature Deep Hedging and its Benefits," Papers, arXiv.org, number 2411.15002, Nov.
• Revant Nayar & Raphael Douady, 2024, "Multiscale Markowitz," Papers, arXiv.org, number 2411.13792, Nov.
• Fan Yang & Yi Zhang, 2024, "Asymptotics of Sum of Heavy-tailed Risks with Copulas," Papers, arXiv.org, number 2411.09657, Nov.
• Martin Arnaiz Iglesias & Adil Rengim Cetingoz & Noufel Frikha, 2024, "Mirror Descent Algorithms for Risk Budgeting Portfolios," Papers, arXiv.org, number 2411.12323, Nov.
• Jonathan Ansari & Eva Lutkebohmert, 2024, "Robust Bernoulli Mixture Models for Credit Portfolio Risk," Papers, arXiv.org, number 2411.11522, Nov, revised Dec 2025.
• Peter Cotton, 2024, "Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios," Papers, arXiv.org, number 2411.05807, Oct.
• Wang, Shu, 2024, "Daily oil price shocks and their uncertainties," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 436.
• Issam Samiri, 2024, "Endogenous Defaults, Value-at-Risk and the Business Cycle (updated version)," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 562, Nov.
• Pierdomenico Duttilo, 2024, "Modelling financial returns with mixtures of generalized normal distributions," Papers, arXiv.org, number 2411.11847, Oct.
• Liang Hou & Hao Yu & Guosong Xu, 2024, "Risk-Neutral Pricing Model of Uniswap Liquidity Providing Position: A Stopping Time Approach," Papers, arXiv.org, number 2411.12375, Nov, revised Mar 2025.
• Josué Thélissaint, 2024, "Assessing Cryptomarket Risks: Macroeconomic Forces, Market Shocks and Behavioural Dynamics," Economics Working Paper Archive (University of Rennes & University of Caen), Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS, number 2024-14, Dec.
• Matteo Bonato & Rangan Gupta & Christian Pierdzioch, 2024, "Do Shortages Forecast Aggregate and Sectoral U.S. Stock Market Realized Variance? Evidence from a Century of Data," Working Papers, University of Pretoria, Department of Economics, number 202450, Nov.
• De Oliveira Amado, Cristina Alexandra & Garrón Vedia, Ignacio & Lopes Moreira da Veiga, María Helena, 2024, "On the relationship of country geopolitical risk on energy inflation," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 45113, Nov.
• Edward Honda & Keh-Kuan Sun, 2024, "Non-Allais Paradox and Context-Dependent Risk Attitudes," Papers, arXiv.org, number 2411.13823, Nov.
• Bublu Thakur-Weigold & Sébastien Miroudot, 2024, "Promoting resilience and preparedness in supply chains," OECD Trade Policy Papers, OECD Publishing, number 286, Nov, DOI: 10.1787/be692d01-en.
• Jose Barrales-Ruiz & Ivan Mendieta-Muñoz, 2024, "Changing dynamics and tail risks of aggregate demand and income distribution," Working Papers, New School for Social Research, Department of Economics, number 2414, Nov.
• Bernhard Mayr, 2024, "Broadening the scope of risk sharing through a European backstop for natural catastrophes," Discussion Papers, European Stability Mechanism, number 24, Nov, revised 27 Nov 2024.