Report NEP-RMG-2021-11-01

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:

• Marcelo Brutti Righi, 2021. "Star-shaped acceptability indexes," Papers 2110.08630, arXiv.org, revised May 2024.
• Sartja Duangchaiyoosook & Weerachart Kilenthong, 2021. "Long Run Risk Model and Equity Premium Puzzle in Thailand," PIER Discussion Papers 150, Puey Ungphakorn Institute for Economic Research.
• c{C}au{g}{i}n Ararat & Francesco Cesarone & Mustafa c{C}elebi P{i}nar & Jacopo Maria Ricci, 2021. "MAD Risk Parity Portfolios," Papers 2110.12282, arXiv.org, revised Jan 2024.
• Luca Rossi, 2021. "Revisiting the Case for a Fiscal Union: the Federal Fiscal Channel of Downside-Risk Sharing in the United States," Temi di discussione (Economic working papers) 1351, Bank of Italy, Economic Research and International Relations Area.
• Douglas Castilho & Tharsis T. P. Souza & Soong Moon Kang & Jo~ao Gama & Andr'e C. P. L. F. de Carvalho, 2021. "Forecasting Financial Market Structure from Network Features using Machine Learning," Papers 2110.11751, arXiv.org.
• Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021. "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," Finance and Economics Discussion Series 2021-063, Board of Governors of the Federal Reserve System (U.S.).
• Jiqian Wang & Rangan Gupta & Oguzhan Cepni & Feng Ma, 2021. "Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty," Working Papers 202173, University of Pretoria, Department of Economics.
• Mathias S. Kruttli & Brigitte Roth Tran & Sumudu W. Watugala, 2021. "Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics," Working Paper Series 2021-23, Federal Reserve Bank of San Francisco.
• Yang Shen & Bin Zou, 2021. "Mean-Variance Portfolio Selection in Contagious Markets," Papers 2110.09417, arXiv.org.
• Caroline Hillairet & Olivier Lopez & Louise d'Oultremont & Brieuc Spoorenberg, 2021. "Cyber contagion: impact of the network structure on the losses of an insurance portfolio," Working Papers hal-03388840, HAL.
• Matteo Michielon & Asma Khedher & Peter Spreij, 2021. "Liquidity-free implied volatilities: an approach using conic finance," Papers 2110.11718, arXiv.org.
• Maneerat Gongsiang & Pongpitch Amatyakul, 2021. "Inflation at Risk in Thailand," PIER Discussion Papers 151, Puey Ungphakorn Institute for Economic Research.
• Hyeyoon Jung, 2021. "Real Consequences of Shocks to Intermediaries Supplying Corporate Hedging Instruments," Staff Reports 989, Federal Reserve Bank of New York.