Report NEP-RMG-2023-10-23

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:

• Paul Alexander Bilokon, 2023. "Implementing portfolio risk management and hedging in practice," Papers 2309.15767, arXiv.org.
• Bikramjit Das & Vicky Fasen-Hartmann, 2023. "Measuring risk contagion in financial networks with CoVaR," Papers 2309.15511, arXiv.org, revised Jun 2024.
• Ghosh, Anisha & Theloudis, Alexandros, 2023. "Consumption Partial Insurance in the Presence of Tail Income Risk," Other publications TiSEM c8da0a17-57cb-40bf-ab61-6, Tilburg University, School of Economics and Management.
• Ben S. Meiselman & Stefan Nagel & Amiyatosh Purnanandam, 2023. "Judging Banks’ Risk by the Profits They Report," NBER Working Papers 31635, National Bureau of Economic Research, Inc.
• Martin Birn & Renzo Corrias & Christian Schmieder & Nikola Tarashev, 2023. "Banks' credit loss forecasts: lessons from supervisory data," BIS Working Papers 1125, Bank for International Settlements.
• Li, Chenxing & Zhang, Zehua & Zhao, Ran, 2023. "Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?," MPRA Paper 118459, University Library of Munich, Germany.
• Michel Alexandre & Thiago Christiano Silva, 2023. "Labor Market and Systemic Risk: a network-based approach," Working Papers Series 584, Central Bank of Brazil, Research Department.
• Lee, Taehyun & Moutzouris, Ioannis C & Papapostolou, Nikos C & Fatouh, Mahmoud, 2023. "Foreign exchange hedging using regime-switching models: the case of pound sterling," Bank of England working papers 1042, Bank of England.
• Alexander Copestake & Mr. Divya Kirti & Yang Liu, 2023. "Banks’ Joint Exposure to Market and Run Risk," IMF Working Papers 2023/200, International Monetary Fund.
• Paul Glasserman & Harry Mamaysky & Jimmy Qin, 2023. "New News is Bad News," Papers 2309.05560, arXiv.org.
• Tae-Hwy Lee & Ekaterina Seregina & Yaojue Xu, 2023. "Elicitability and Encompassing for Volatility Forecasts by Bregman Functions," Working Papers 202311, University of California at Riverside, Department of Economics.
• Romain Bocher, 2022. "VIX Fractal Compression Pattern and Markets Vulnerability: An Interdisciplinary Approach," Post-Print hal-04188990, HAL.
• Federico, Salvatore & Ferrari, Giorgio & Torrente, Maria Laura, 2023. "Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost," Center for Mathematical Economics Working Papers 682, Center for Mathematical Economics, Bielefeld University.
• Mr. Dimitrios Laliotis & Sujan Lamichhane, 2023. "Delays in Climate Transition Can Increase Financial Tail Risks: A Global Lesson from a Study in Mexico," IMF Working Papers 2023/175, International Monetary Fund.
• John Armstrong & Andrei Ionescu, 2023. "Gamma Hedging and Rough Paths," Papers 2309.05054, arXiv.org, revised Mar 2024.
• Jakub Micha'nk'ow & Pawe{l} Sakowski & Robert 'Slepaczuk, 2023. "Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies," Papers 2309.10546, arXiv.org.
• Jakub Micha'nk'ow & Pawe{l} Sakowski & Robert 'Slepaczuk, 2023. "Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices," Papers 2309.15640, arXiv.org.
• Wenting Liu & Zhaozhong Gui & Guilin Jiang & Lihua Tang & Lichun Zhou & Wan Leng & Xulong Zhang & Yujiang Liu, 2023. "Stock Volatility Prediction Based on Transformer Model Using Mixed-Frequency Data," Papers 2309.16196, arXiv.org.
• Ayelen Banegas & Phillip J. Monin, 2023. "Hedge Fund Treasury Exposures, Repo, and Margining," FEDS Notes 2023-09-08-3, Board of Governors of the Federal Reserve System (U.S.).