Report NEP-RMG-2024-04-01

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:

• Castro-Iragorri, Carlos & Gómez, Fabio & Quiceno, Nancy, 2024. "Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality," Documentos de Trabajo 21048, Universidad del Rosario.
• Vikranth Lokeshwar Dhandapani & Shashi Jain, 2024. "Neural Networks for Portfolio-Level Risk Management: Portfolio Compression, Static Hedging, Counterparty Credit Risk Exposures and Impact on Capital Requirement," Papers 2402.17941, arXiv.org.
• Mohamed Doukali & Xiaojun Song & Abderrahim Taamouti, 2022. "Value-at Risk under Measurement Error," Working Papers 202209, University of Liverpool, Department of Economics.
• Yuliya Mishura & Kostiantyn Ralchenko & Petro Zelenko & Volodymyr Zubchenko, 2024. "Properties of the entropic risk measure EVaR in relation to selected distributions," Papers 2403.01468, arXiv.org.
• Josef Sveda & Jiri Panos & Vojtech Siuda, 2024. "Modelling Risk-Weighted Assets: Looking Beyond Stress Tests," IHEID Working Papers 04-2024, Economics Section, The Graduate Institute of International Studies.
• Sung Hoon Choi & Donggyu Kim, 2024. "Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector," Papers 2403.02591, arXiv.org, revised Dec 2024.
• Pengfei Zhao & Haoren Zhu & Wilfred Siu Hung NG & Dik Lun Lee, 2024. "From GARCH to Neural Network for Volatility Forecast," Papers 2402.06642, arXiv.org.
• Vikranth Lokeshwar Dhandapani & Shashi Jain, 2024. "Optimizing Neural Networks for Bermudan Option Pricing: Convergence Acceleration, Future Exposure Evaluation and Interpolation in Counterparty Credit Risk," Papers 2402.15936, arXiv.org.
• Tim Leung & Matthew Lorig & Yoshihiro Shirai, 2024. "Optimal positioning in derivative securities in incomplete markets," Papers 2403.00139, arXiv.org.
• Han-Yu Zhu & Peng-Fei Dai & Wei-Xing Zhou, 2024. "Uncovering the Sino-US dynamic risk spillovers effects: Evidence from agricultural futures markets," Papers 2403.01745, arXiv.org.
• Michael S. Barr, 2024. "The Importance of Counterparty Credit Risk Management: A speech at," Speech 97858, Board of Governors of the Federal Reserve System (U.S.).
• Hafemann, Lucas, 2023. "A house prices at risk approach for the German residential real estate market," Technical Papers 07/2023, Deutsche Bundesbank.
• Chaimaa Achir & Aziz Douari, 2024. "Digitization of Non-Recovery Risk Management in Non-Financial Companies: A Qualitative Study of Risk Managers' Perceptions in Morocco [Digitalisation de la gestion des risques de non-recouvrement d," Post-Print hal-04463403, HAL.
• Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2022. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Working Papers 202212, University of Liverpool, Department of Economics.
• Alois Pichler, 2024. "Higher order measures of risk and stochastic dominance," Papers 2402.15387, arXiv.org.
• Hayden Brown, 2024. "Justifying the Volatility of S&P 500 Daily Returns," Papers 2403.01088, arXiv.org, revised Nov 2024.
• Qishuo Cheng & Le Yang & Jiajian Zheng & Miao Tian & Duan Xin, 2024. "Optimizing Portfolio Management and Risk Assessment in Digital Assets Using Deep Learning for Predictive Analysis," Papers 2402.15994, arXiv.org.
• Roland Füss & Thorsten Glück & Christian Koeppel & Felix Miebs, 2024. "An averaging framework for minimum-variance portfolios: Optimal rules for combining portfolio weights," Swiss Finance Institute Research Paper Series 24-10, Swiss Finance Institute.
• Carina Cavalcanti & Andreas Leibbrandt, 2024. "Do Positive Externalities Affect Risk Taking? Experimental Evidence on Gender and Group Membership," Monash Economics Working Papers 2024-05, Monash University, Department of Economics.
• Dr. Lukas Voellmy, 2024. "Decomposing liquidity risk in banking models," Working Papers 2024-03, Swiss National Bank.