Report NEP-RMG-2024-01-29

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:

• Peter Christensen, 2024. "Roughness Signature Functions," Papers 2401.02819, arXiv.org.
• Jalal Etesami & Ali Habibnia & Negar Kiyavash, 2023. "Modeling Systemic Risk: A Time-Varying Nonparametric Causal Inference Framework," Papers 2312.16707, arXiv.org.
• Haochun Ma & Davide Prosperino & Alexander Haluszczynski & Christoph Rath, 2023. "Linear and nonlinear causality in financial markets," Papers 2312.16185, arXiv.org.
• Martin Keller-Ressel & Martin Larsson & Sergio Pulido, 2023. "Rough affine models," Post-Print hal-02265210, HAL.
• Alessandra Mainini & Enrico Moretto & Daniela Visetti, 2024. "Displaying risk in mergers: a diagrammatic approach for exchange ratio determination," Papers 2401.02681, arXiv.org.
• Albert Dorador, 2024. "Constrained Max Drawdown: a Fast and Robust Portfolio Optimization Approach," Papers 2401.02601, arXiv.org.
• Bruno Feunou & James Kyeong, 2023. "Finding the balance—measuring risks to inflation and to GDP growth," Staff Analytical Notes 2023-18, Bank of Canada.
• Liu, Jia & Maheu, John M & Song, Yong, 2023. "Identification and Forecasting of Bull and Bear Markets using Multivariate Returns," MPRA Paper 119515, University Library of Munich, Germany.
• Carlo Boselli & Stefano Costa & Marco Rinaldi & Claudio Vicarelli, 2023. "The Covid-19 crisis was different:Assessing the Italian firms in trouble through a new indicator of financial solidity," Working Papers LuissLab 23159, Dipartimento di Economia e Finanza, LUISS Guido Carli.
• Taisuke Nakata & Daisuke Fujii & Takeshi Ojima, 2023. "Heterogeneous Risk Attitudes and Waves of Infection," Working Papers e192, Tokyo Center for Economic Research.