Report NEP-RMG-2024-01-15

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:

• Ruipeng Liu & Mawuli Segnon & Oguzhan Cepni & Rangan Gupta, 2023. "Forecasting Volatility of Commodity, Currency, and Stock Markets: Evidence from Markov Switching Multifractal Models," Working Papers 202340, University of Pretoria, Department of Economics.
• Herv'e Andr`es & Alexandre Boumezoued & Benjamin Jourdain, 2023. "Implied volatility (also) is path-dependent," Papers 2312.15950, arXiv.org, revised Jun 2024.
• Tim J. Boonen & Xia Han, 2023. "Optimal insurance with mean-deviation measures," Papers 2312.01813, arXiv.org.
• B. Bruno & I. Marino & G. Nocera, 2023. "Internal Ratings and Bank Opacity: Evidence from Analysts’ Forecasts," Post-Print hal-04322520, HAL.
• Xia Han & Ruodu Wang & Qinyu Wu, 2023. "Monotonic mean-deviation risk measures," Papers 2312.01034, arXiv.org, revised Aug 2024.
• Beatrice Acciaio & Antonio Marini & Gudmund Pammer, 2023. "Calibration of the Bass Local Volatility model," Papers 2311.14567, arXiv.org.
• Allen N. Berger & Filippo Curti & Nika Lazaryan & Atanas Mihov & Raluca A. Roman, 2023. "Climate Risks in the U.S. Banking Sector: Evidence from Operational Losses and Extreme Storms," Working Papers 21-31, Federal Reserve Bank of Philadelphia.
• Roger J. A. Laeven & Mitja Stadje, 2023. "A Rank-Dependent Theory for Decision under Risk and Ambiguity," Papers 2312.05977, arXiv.org, revised Jul 2024.
• An Chen & Giorgio Ferrari & Shihao Zhu, 2023. "Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning," Papers 2312.02943, arXiv.org.
• Yu-Jui Huang & Li-Hsien Sun, 2023. "Partial Information in a Mean-Variance Portfolio Selection Game," Papers 2312.04045, arXiv.org, revised Jan 2025.
• Turan G. Bali & Heiner Beckmeyer & Amit Goyal, 2023. "A Joint Factor Model for Bonds, Stocks, and Options," Swiss Finance Institute Research Paper Series 23-106, Swiss Finance Institute.
• Mishari Al-Foraih & Jan Posp'iv{s}il & Josep Vives, 2023. "Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach," Papers 2312.00405, arXiv.org.
• Denitsa Angelova & Andrea Bigano & Francesco Bosello & Shouro Dasgupta & Silvio Giove, 2023. "Assessing systemic climate change risk by country. Reflections from the use of composite indicators," Working Papers 2023: 28, Department of Economics, University of Venice "Ca' Foscari".
• Jørgen Vitting Andersen & Roy Cerqueti & Jessica Riccioni, 2023. "Rational expectations as a tool for predicting failure of weighted k-out-of-n reliability systems," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03634370, HAL.
• Alexis Anagnostakis, 2023. "Pricing and hedging for a sticky diffusion," Papers 2311.17011, arXiv.org, revised Oct 2024.
• Maarten Meeuwis & Dimitris Papanikolaou & Jonathan L. Rothbaum & Lawrence D.W. Schmidt, 2023. "Time-Varying Risk Premia, Labor Market Dynamics, and Income Risk," NBER Working Papers 31968, National Bureau of Economic Research, Inc.