Report NEP-RMG-2023-12-11

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:

• Caio Almeida & Gustavo Freire & René Garcia & Rodrigo Hizmeri, 2023. "Tail Risk and Asset Prices in the Short-term," Working Papers 2023-06, Princeton University. Economics Department..
• James B. Bullard, 2021. "A Risk Management Approach to Monetary Policy," On the Economy 94051, Federal Reserve Bank of St. Louis.
• Christian Conrad & Julius Theodor Schoelkopf & Nikoleta Tushteva, 2023. "Long-Term Volatility Shapes the Stock Market’s Sensitivity to News," Working Paper series 23-16, Rimini Centre for Economic Analysis.
• Siu Hin Tang & Mathieu Rosenbaum & Chao Zhou, 2023. "Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter," Papers 2311.04727, arXiv.org, revised Feb 2024.
• Ian Dew-Becker & Stefano Giglio, 2023. "Recent Developments in Financial Risk and the Real Economy," NBER Working Papers 31878, National Bureau of Economic Research, Inc.
• Jan Muckenhaupt & Martin Hoesli & Bing Zhu, 2023. "Listed Real Estate as an Inflation Hedge across Regimes," ERES eres2023_56, European Real Estate Society (ERES).
• Chen, Ying & Grith, Maria & Lai, Hannah L. H., 2023. "Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach," MPRA Paper 119022, University Library of Munich, Germany.
• Alain Coen & Philippe Guardiola, 2023. "Common Risk Factors of REITs Returns Revisited," ERES eres2023_249, European Real Estate Society (ERES).
• Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2023. "Law-Invariant Return and Star-Shaped Risk Measures," Papers 2310.19552, arXiv.org.
• Savchuk, Vladimir, 2023. "Bayesian Risk Assessment Technique for Economic Stress-Strength Models," MPRA Paper 119078, University Library of Munich, Germany, revised 15 Oct 2023.
• Aya Nasreddine & Yasmine Essafi Zouari, 2023. "Housing in the Greater Paris Area as an Inflation Hedge?," ERES eres2023_11, European Real Estate Society (ERES).
• Wenxin Du & Alessandro Fontana & Petr Jakubik & Ralph S J Koijen & Hyun Song Shin, 2023. "International portfolio frictions," BIS Working Papers 1137, Bank for International Settlements.
• Keisuke Kizaki & Taiga Saito & Akihiko Takahashi, 2023. "A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment (Forthcoming in "Insurance: Mathematics and Economics")," CARF F-Series CARF-F-576, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Martín Fuentes, Natalia & Born, Alexandra & Bremus, Franziska & Kastelein, Wieger & Lambert, Claudia, 2023. "A deep dive into the capital channel of risk sharing in the euro area," Working Paper Series 2864, European Central Bank.
• Bing Zhu & Franz Fuerst, 2023. "Natural Hazard Exposure and REIT Equity Risk," ERES eres2023_64, European Real Estate Society (ERES).
• Marilyn Pease & Mark Whitmeyer, 2023. "Safety, in Numbers," Papers 2310.17517, arXiv.org, revised Feb 2024.
• Peter Reinhard Hansen & Yiyao Luo, 2023. "Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas," Papers 2310.19992, arXiv.org.
• Hansjoerg Albrecher & Pablo Azcue & Nora Muler, 2023. "Optimal dividend strategies for a catastrophe insurer," Papers 2311.05781, arXiv.org.
• Yalin Gündüz & Steven Ongena & Gunseli Tumer-Alkan & Yuejuan Yu, 2023. "CDS and Credit: The Effect of the Bangs on Credit Insurance, Lending and Hedging," Swiss Finance Institute Research Paper Series 23-102, Swiss Finance Institute.
• Karlsson, Martin & Wang, Yulong & Ziebarth, Nicolas R., 2023. "Getting the Right Tail Right: Modeling tails of health expenditure distributions," ZEW Discussion Papers 23-045, ZEW - Leibniz Centre for European Economic Research.
• Matteo Crosignani & Thomas M. Eisenbach & Fulvia Fringuellotti, 2023. "Banking System Vulnerability: 2023 Update," Liberty Street Economics 20231106, Federal Reserve Bank of New York.
• Allaire, Nolwenn & Breckenfelder, Johannes & Hoerova, Marie, 2023. "Fund fragility: the role of investor base," Working Paper Series 2874, European Central Bank.