Report NEP-RMG-2023-07-31

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were announced in this report:

• Andrea Renzetti, 2023. "Modelling and Forecasting Macroeconomic Risk with Time Varying Skewness Stochastic Volatility Models," Papers 2306.09287, arXiv.org, revised Nov 2023.
• Marcos Escobar-Anel & Michel Kschonnek & Rudi Zagst, 2023. "Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model," Papers 2306.11158, arXiv.org.
• Alessandro Doldi & Marco Frittelli & Emanuela Rosazza Gianin, 2023. "Are Shortfall Systemic Risk Measures One Dimensional?," Papers 2306.10752, arXiv.org.
• Anton Malandii & Siddhartha Gupte & Cheng Peng & Stan Uryasev, 2023. "Divergence Based Quadrangle and Applications," Papers 2306.16525, arXiv.org, revised Jul 2023.
• Joel Ong & Dorien Herremans, 2023. "Constructing Time-Series Momentum Portfolios with Deep Multi-Task Learning," Papers 2306.13661, arXiv.org.
• Jules Sadefo Kamdem, 2023. "Risk-Adjusted Performance And Semi-Moments Of Non-Gaussian Portfolio Returns Distributions," Working Papers hal-04134833, HAL.
• Alexander N. Bogin & LaRhonda Ealey & Kirsten Landeryou & Scott Smith & Andrew Tsai, 2023. "Geographic Disaggregation of House Price Stress Paths: Implications for Single-Family Credit Risk Measurement," FHFA Staff Working Papers 23-02, Federal Housing Finance Agency.
• Tongseok Lim, 2023. "Replication of financial derivatives under extreme market models given marginals," Papers 2307.00807, arXiv.org.
• Item repec:ags:aaea22:335789 is not listed on IDEAS anymore

• Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2023. "Dynamic Return and Star-Shaped Risk Measures via BSDEs," Papers 2307.03447, arXiv.org, revised Jul 2023.
• Sander Barendse, 2023. "Expected Shortfall LASSO," Papers 2307.01033, arXiv.org, revised Jan 2024.
• Yanqin Fan & Hyeonseok Park & Gaoqian Xu, 2023. "Quantifying Distributional Model Risk in Marginal Problems via Optimal Transport," Papers 2307.00779, arXiv.org.
• Item repec:ags:aaea22:335770 is not listed on IDEAS anymore

• Wenbo Ge & Pooia Lalbakhsh & Leigh Isai & Artem Lensky & Hanna Suominen, 2023. "Comparing Deep Learning Models for the Task of Volatility Prediction Using Multivariate Data," Papers 2306.12446, arXiv.org, revised Jun 2023.
• Abramov Alexander & Radygin Alexander & Chernova Maria, 2023. "Russian financial market in 2022," Published Papers ppaper-2023-1275, Gaidar Institute for Economic Policy, revised 2023.
• Lorenzo Stanca, 2023. "Recursive Preferences, Correlation Aversion, and the Temporal Resolution of Uncertainty," Carlo Alberto Notebooks 693 JEL Classification: C, Collegio Carlo Alberto.
• Ostry, D. A., 2023. "Tails of Foreign Exchange-at-Risk (FEaR)," Cambridge Working Papers in Economics 2343, Faculty of Economics, University of Cambridge.
• Chiara Scotti, 2023. "Financial Shocks in an Uncertain Economy," Working Papers 2308, Federal Reserve Bank of Dallas.
• Lee, David, 2023. "An Analytic Solution for Valuing Guaranteed Equity Securities," MPRA Paper 117775, University Library of Munich, Germany.
• Item repec:ags:aaea22:335978 is not listed on IDEAS anymore

• Hermanns, Benedicta & Kairies-Schwarz, Nadja & Kokot, Johanna & Vomhof, Markus, 2023. "Heterogeneity in health insurance choice: An experimental investigation of consumer choice and feature preferences," hche Research Papers 29, University of Hamburg, Hamburg Center for Health Economics (hche).
• Jiafa He & Cong Zheng & Can Yang, 2023. "Integrating Tick-level Data and Periodical Signal for High-frequency Market Making," Papers 2306.17179, arXiv.org.
• Jiong Liu & M. Dashti Moghaddam & R. A. Serota, 2023. "Are there Dragon Kings in the Stock Market?," Papers 2307.03693, arXiv.org.
• Berg, Tobias & Carletti, Elena & Claessens, Stijn & Krahnen, Jan Pieter & Monasterolo, Irene & Pagano, Marco, 2023. "Climate regulation and financial risk: The challenge of policy uncertainty," SAFE Policy Letters 100, Leibniz Institute for Financial Research SAFE.
• Carol Bertaut & Valentina Bruno & Hyun Song Shin, 2023. "Original sin redux: role of duration risk," BIS Working Papers 1109, Bank for International Settlements.
• Thomas N. Cintra & Maxwell P. Holloway, 2023. "Detecting Depegs: Towards Safer Passive Liquidity Provision on Curve Finance," Papers 2306.10612, arXiv.org.
• Andrea Ugolini & Juan C. Reboredo & Javier Ojea Ferreiro, 2023. "Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps," Staff Working Papers 23-38, Bank of Canada.
• Richard Dewey & Craig Newbold, 2023. "The Pricing And Hedging Of Constant Function Market Makers," Papers 2306.11580, arXiv.org.