Report NEP-RMG-2023-11-20

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:

• Jungjun Park & Andrew L. Nguyen, 2023. "Black-Litterman Asset Allocation under Hidden Truncation Distribution," Papers 2310.12333, arXiv.org.
• Eric Ghysels & Jack Morgan & Hamed Mohammadbagherpoor, 2023. "Quantum Computational Algorithms for Derivative Pricing and Credit Risk in a Regime Switching Economy," Papers 2311.00825, arXiv.org.
• Alex Kim & Maximilian Muhn & Valeri Nikolaev, 2023. "From Transcripts to Insights: Uncovering Corporate Risks Using Generative AI," Papers 2310.17721, arXiv.org.
• Minglian Lin & Indranil SenGupta & William Wilson, 2023. "Estimation of VaR with jump process: application in corn and soybean markets," Papers 2311.00832, arXiv.org, revised Jun 2024.
• Giulia Di Nunno & Anton Yurchenko-Tytarenko, 2023. "Power law in Sandwiched Volterra Volatility model," Papers 2311.01228, arXiv.org.
• Ms. Burcu Hacibedel & Hector Perez-Saiz, 2023. "Assessing Macrofinancial Risks from Crypto Assets," IMF Working Papers 2023/214, International Monetary Fund.
• Carl White, 2023. "Managing Liquidity Risk and the Importance of Bank Contingency Funding Plans," On the Economy 97023, Federal Reserve Bank of St. Louis.
• Roshan Iyer & Ms. Adina Popescu, 2023. "New Evidence on Spillovers Between Crypto Assets and Financial Markets," IMF Working Papers 2023/213, International Monetary Fund.
• Kunal Rajesh Lahoti & Shivani Hanji & Pratik Kamble & Kavita Vemuri, 2023. "Impact of Loss-Framing and Risk Attitudes on Insurance Purchase: Insights from a Game-like Interface Study," Papers 2310.13300, arXiv.org.
• Donggyu Kim & Minseog Oh, 2023. "Dynamic Realized Minimum Variance Portfolio Models," Papers 2310.13511, arXiv.org.
• Dionne, Georges, 2023. "Causality in empirical analyses with emphasis on asymmetric information and risk management," Working Papers 23-4, HEC Montreal, Canada Research Chair in Risk Management.
• Albert S. (Pete) & Karamfil Todorov, 2023. "The cumulant risk premium," BIS Working Papers 1128, Bank for International Settlements.
• Victor Olkhov, 2023. "Theoretical Economics as Successive Approximations of Statistical Moments," Papers 2310.05971, arXiv.org, revised Apr 2024.
• Celso Brunetti & Nathan Foley-Fisher & Stéphane Verani, 2023. "Measuring Interest Rate Risk Management by Financial Institutions," Finance and Economics Discussion Series 2023-067, Board of Governors of the Federal Reserve System (U.S.).
• Shi, Yue & Punzo, Antonio & Otneim, Håkon & Maruotti, Antonello, 2023. "Hidden semi-Markov models for rainfall-related insurance claims," Discussion Papers 2023/17, Norwegian School of Economics, Department of Business and Management Science.
• Adnan M. S. Fakir & Yiwei Qian & Naveen Sunder, 2023. "Gender Differences in Preference for Non-pecuniary Benefits in the Labour Market. Experimental Evidence from an Online Freelancing Platform.," Working Paper Series 0623, Department of Economics, University of Sussex Business School.
• Shijia Song & Handong Li, 2023. "Unveiling Early Warning Signals of Systemic Risks in Banks: A Recurrence Network-Based Approach," Papers 2310.10283, arXiv.org.
• Xin Du & Kai Moriyama & Kumiko Tanaka-Ishii, 2023. "Co-Training Realized Volatility Prediction Model with Neural Distributional Transformation," Papers 2310.14536, arXiv.org.
• Jaydip Sen & Arup Dasgupta & Partha Pratim Sengupta & Sayantani Roy Choudhury, 2023. "A Comparative Study of Portfolio Optimization Methods for the Indian Stock Market," Papers 2310.14748, arXiv.org.
• Elene Nikuradze & Salome Tvalodze, 2023. "Biodiversity-related Financial Risks - why it matters and how can we measure them?," NBG Working Papers 02/2023, National Bank of Georgia.
• Sangyup Choi & Jiri Havel, 2023. "Geopolitical Risk and Foreign Portfolio Investment: A Tale of Advanced and Emerging Markets," Working papers 2023rwp-221, Yonsei University, Yonsei Economics Research Institute.
• Patrice Loisel & Marielle Brunette & Stéphane Couture, 2023. "Ambiguity, value of information and forest rotation decision under storm risk," Post-Print hal-04236386, HAL.
• António Afonso & José Alves & Sofia Monteiro, 2023. "Banks’ Portfolio of Government Debt and Sovereign Risk," CESifo Working Paper Series 10692, CESifo.
• Jaydip Sen & Arup Dasgupta & Subhasis Dasgupta & Sayantani Roychoudhury, 2023. "A Portfolio Rebalancing Approach for the Indian Stock Market," Papers 2310.09770, arXiv.org.
• Julio Gálvez, 2023. "Household portfolio choices under (non-)linear income risk: an empirical framework," Working Papers 2327, Banco de España.
• Døskeland, Trond & Kværner, Jens, 2022. "Cancer and portfolio choice: Evidence from Norwegian register data," Other publications TiSEM 9efe1b52-789e-496a-84de-4, Tilburg University, School of Economics and Management.
• Damien Ackerer & Julien Hugonnier & Urban Jermann, 2023. "Perpetual Futures Pricing," Papers 2310.11771, arXiv.org, revised Sep 2024.