Report NEP-RMG-2024-01-01

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:

• Matteo Foglia & Vasilios Plakandaras & Rangan Gupta & Elie Bouri, 2023. "Multi-Layer Spillovers between Volatility and Skewness in International Stock Markets Over a Century of Data: The Role of Disaster Risks," Working Papers 202337, University of Pretoria, Department of Economics.
• Anusha Chari & Karlye Dilts Stedman & Christian Lundblad, 2023. "Risk-On Risk-Off: A Multifaceted Approach to Measuring Global Investor Risk Aversion," NBER Working Papers 31907, National Bureau of Economic Research, Inc.
• Wolf, Elias, 2023. "Estimating Growth at Risk with Skewed Stochastic Volatility Models," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277696, Verein für Socialpolitik / German Economic Association.
• Glück, Thorsten & Adams, Zeno, 2023. "Systemic Risk of Commodity Traders," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277600, Verein für Socialpolitik / German Economic Association.
• Wang, Ke, 2023. "Essays in corporate risk," Other publications TiSEM 8c076f0d-2c02-40a4-b6d7-e, Tilburg University, School of Economics and Management.
• Stéphane Crépey & Noufel Frikha & Azar Louzi & Gilles Pagès, 2023. "Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-04304985, HAL.
• Conrad, Christian & Schoelkopf, Julius Theodor & Tushteva, Nikoleta, 2023. "Long-Term Volatility Shapes the Stock Market’s Sensitivity to News," Working Papers 0739, University of Heidelberg, Department of Economics.
• Maxime Markov & Vladimir Markov, 2023. "Optimal portfolio allocation with uncertain covariance matrix," Papers 2311.07478, arXiv.org.
• Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Elie Bouri, 2023. "Energy-Related Uncertainty and International Stock Market Volatility," Working Papers 202336, University of Pretoria, Department of Economics.
• Nicole Bauerle & Anna Ja'skiewicz, 2023. "Markov Decision Processes with Risk-Sensitive Criteria: An Overview," Papers 2311.06896, arXiv.org.
• Rangan Gupta & Damien Moodley, 2023. "Housing Search Activity and Quantiles-Based Predictability of Housing Price Movements in the United States," Working Papers 202335, University of Pretoria, Department of Economics.
• Jiaer He & Roberto Rivera, 2023. "A Modeling Approach of Return and Volatility of Structured Investment Products with Caps and Floors," Papers 2311.06282, arXiv.org.
• Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2023. "“Generalized Extreme Value Approximation to the CUMSUMQ Test for Constant Unconditional Variance in Heavy-Tailed Time Series”," AQR Working Papers 202305, University of Barcelona, Regional Quantitative Analysis Group, revised Jul 2023.
• Jacob Smith, 2023. "Considering Risk Aversion in Economic Evaluation: A Rank Dependent Approach," Papers 2311.07905, arXiv.org, revised Jan 2024.
• Nitzan, Jonathan & Bichler, Shimshon, 2023. "הקפיטליזציה של סרטי הקולנוע (The Capitalization of Movies)," EconStor Preprints 280112, ZBW - Leibniz Information Centre for Economics.
• Alexandre Pannier, 2023. "Path-dependent PDEs for volatility derivatives," Papers 2311.08289, arXiv.org, revised Jan 2024.
• Chen, An & Ferrari, Giorgio & Zhu, Shihao, 2023. "Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning," Center for Mathematical Economics Working Papers 684, Center for Mathematical Economics, Bielefeld University.
• Viral V. Acharya & Maximilian Jager & Sascha Steffen, 2023. "Contingent Credit Under Stress," NBER Working Papers 31909, National Bureau of Economic Research, Inc.
• Joseph S. Briggs & David Cesarini & Sean Chanwook Lee & Erik Lindqvist & Robert Östling, 2023. "Financial Windfalls, Portfolio Allocations, and Risk Preferences," NBER Working Papers 31864, National Bureau of Economic Research, Inc.
• Garbarino, Nicola & Lee, Jonathan & Guin, Benjamin, 2023. "The Effects of Subsidized Flood Insurance on Real Estate Markets," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277665, Verein für Socialpolitik / German Economic Association.
• Yoshiki Ando & Dirk Krueger & Harald Uhlig, 2023. "One-Sided Limited Commitment and Aggregate Risk," NBER Working Papers 31903, National Bureau of Economic Research, Inc.
• Thomas Chalaux & David Turner, 2023. "Doombot: a machine learning algorithm for predicting downturns in OECD countries," OECD Economics Department Working Papers 1780, OECD Publishing.
• Fiedler, Jakob & Schorn, André & Herstatt, Cornelius, 2023. "The influence of risk classification and community affiliation on the acceptance of user-innovated medical devices," Working Papers 115, Hamburg University of Technology (TUHH), Institute for Technology and Innovation Management.
• Ngai, L. Rachel & Sheedy, Kevin D., 2023. "The Ins and Outs of Selling Houses: Understanding Housing-Market Volatility," IZA Discussion Papers 16603, Institute of Labor Economics (IZA).
• Pablo Garcia-Sanchez & Olivier Pierrard, 2023. "Uncertain lifetime, health investment and welfare," BCL working papers 178, Central Bank of Luxembourg.