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Report NEP-RMG-2025-01-06
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:
- Donggyu Kim & Minseog Oh, 2024, "Dynamic Realized Minimum Variance Portfolio Models," Working Papers, University of California at Riverside, Department of Economics, number 202421, Dec.
- Sung Hoon Choi & Donggyu Kim, 2024, "Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector," Working Papers, University of California at Riverside, Department of Economics, number 202423, Dec.
- Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2024, "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Post-Print, HAL, number hal-03902513, Nov.
- Einmahl, John & Peng, Liang, 2024, "Variance-Reduced Risk Inference in Semi-Supervised Settings," Other publications TiSEM, Tilburg University, School of Economics and Management, number 970231c1-c8e0-4f52-a0a4-f.
- Anusha Chari & Karlye Dilts Stedman & Christian T. Lundblad, 2024, "Risk-on/Risk-off: Measuring Shifts in Investor Sentiment," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 24-12, Nov, DOI: 10.18651/RWP2024-12.
- Jianqing Fan & Donggyu Kim & Minseok Shin, 2024, "Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data," Working Papers, University of California at Riverside, Department of Economics, number 202419, Dec.
- Leonie Bräuer & Harald Hau, 2024, "Fund-Level FX Hedging Redux," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-103, Nov.
- Christopher J. Neely, 2024, "What Happens to Expected Stock Volatility around Election Day?," On the Economy, Federal Reserve Bank of St. Louis, number 99209, Dec.
- Jianqing Fan & Donggyu Kim & Minseok Shin & Yazhen Wang, 2024, "Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data," Working Papers, University of California at Riverside, Department of Economics, number 202415, Dec.
- Azamat Abdymomunov & Zheng Duan & Anne Lundgaard Hansen & Ulas Misirli, 2024, "Designing Market Shock Scenarios," Working Paper, Federal Reserve Bank of Richmond, number 24-17, Dec, DOI: 10.21144/wp24-17.
- Federico Giorgi & Stefano Herzel & Paolo Pigato, 2024, "A Reinforcement Learning Algorithm For Option Hedging," CEIS Research Paper, Tor Vergata University, CEIS, number 586, Dec, revised 17 Dec 2024.
- Huixin Bi & Andrew Foerster & Nora Traum, 2024, "Asset Purchases in a Monetary Union with Default and Liquidity Risks," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 24-13, Dec, revised 07 May 2025, DOI: 10.18651/RWP2024-13.
- Natee Amornsiripanitch & Siddhartha Biswas & John Orellana & David Zink, 2024, "Flood Underinsurance," Working Papers, Federal Reserve Bank of Philadelphia, number 24-23, Dec, DOI: 10.21799/frbp.wp.2024.23.
- Sung Hoon Choi & Donggyu Kim, 2024, "Large Global Volatility Matrix Analysis Based on Observation Structural Information," Working Papers, University of California at Riverside, Department of Economics, number 202424, Dec.
- Einmahl, John & Peng, Liang, 2024, "Variance-Reduced Risk Inference in Semi-Supervised Settings," Discussion Paper, Tilburg University, Center for Economic Research, number 2024-024.
- Yalin Gündüz & Steven Ongena & Gunseli Tumer-Alkan & Yuejuan Yu, 2024, "CDS and Credit: The Effect of the Bangs on Credit Insurance, Lending and Hedging," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-83, May.
- Bouwhuis, Dirck & Hendrickx, Ruud & Herings, P.J.J., 2024, "Negotiation In Bankruptcy Problems," Other publications TiSEM, Tilburg University, School of Economics and Management, number c8fb20e1-4ce9-4779-bacd-0.