Report NEP-RMG-2024-07-22

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.

Subscribe to this report: email, RSS, or Mastodon.

Other reports in NEP-RMG

The following items were announced in this report:

• Mahmood Alaghmandan & Olga Streltchenko, 2024. "Lessons From Model Risk Management in Financial Institutions for Academic Research," Papers 2406.14776, arXiv.org.
• Liyang Wang & Yu Cheng & Ao Xiang & Jingyu Zhang & Haowei Yang, 2024. "Application of Natural Language Processing in Financial Risk Detection," Papers 2406.09765, arXiv.org, revised Jun 2024.
• Nguyen, Quang Khai, 2024. "How Does Financial Flexibility Strategy Impact on Risk Management Effectiveness?," MPRA Paper 121162, University Library of Munich, Germany.
• Natalia Roszyk & Robert Ślepaczuk, 2024. "The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models," Working Papers 2024-13, Faculty of Economic Sciences, University of Warsaw.
• Mihaela Nistor, 2024. "Risk Management in a Complex and Interconnected World," Speech 98431, Federal Reserve Bank of New York.
• Fernando Acebes & Javier Pajares & Jose M Gonzalez-Varona & Adolfo Lopez-Paredes, 2024. "Project Risk Management from the bottom-up: Activity Risk Index," Papers 2406.00078, arXiv.org.
• Viral V. Acharya & Nicola Cetorelli & Bruce Tuckman, 2024. "The Growing Risk of Spillovers and Spillbacks in the Bank‑NBFI Nexus," Liberty Street Economics 20240620, Federal Reserve Bank of New York.
• Lukas Gonon & Antoine Jacquier & Ruben Wiedemann, 2024. "Operator Deep Smoothing for Implied Volatility," Papers 2406.11520, arXiv.org, revised Oct 2024.
• Siema Hashemi, 2024. "Banking on Resolution: Portfolio Effects of Bail-in vs. Bailout," Working Papers wp2024_2410, CEMFI.
• Behn, Markus & Cornacchia, Wanda & Forletta, Marco & Jarmulska, Barbara & Perales, Cristian & Ryan, Ellen & Serra, Diogo & Tereanu, Eugen & Tumino, Marcello & Abreu, Daniel & Ciampi, Francesco & Ciocc, 2024. "The sectoral systemic risk buffer: general issues and application to residential real estate-related risks," Occasional Paper Series 352, European Central Bank.
• Nie, George Y., 2024. "The Missing Dimension of Risk: Evidence from Inside Debt Maturity and Acquisition Choices," SocArXiv jd3c2, Center for Open Science.
• Schick, Manuel, 2024. "Real-time Nowcasting Growth-at-Risk using the Survey of Professional Forecasters," Working Papers 0750, University of Heidelberg, Department of Economics.
• Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024. "Cluster GARCH," Papers 2406.06860, arXiv.org.
• Kejin Wu & Sayar Karmakar & Rangan Gupta, 2024. "GARCHX-NoVaS: A Model-Free Approach to Incorporate Exogenous Variables," Working Papers 202425, University of Pretoria, Department of Economics.
• Benjamin J. Keys & Philip Mulder, 2024. "Property Insurance and Disaster Risk: New Evidence from Mortgage Escrow Data," NBER Working Papers 32579, National Bureau of Economic Research, Inc.
• Nie, George Y., 2024. "The True Risk-free Rate: A Gateway to Bond Risk," SocArXiv 2dazg, Center for Open Science.
• William N. Goetzmann & Dasol Kim & Robert J. Shiller, 2024. "Emotions and Subjective Crash Beliefs," NBER Working Papers 32589, National Bureau of Economic Research, Inc.
• Whelan, Karl, 2024. "Samuelson's Fallacy of Large Numbers With Decreasing Absolute Risk Aversion," MPRA Paper 121384, University Library of Munich, Germany.