Report NEP-RMG-2024-04-29

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:

• Ofelia Bonesini & Antoine Jacquier & Aitor Muguruza, 2024. "Risk premium and rough volatility," Papers 2403.11897, arXiv.org.
• Killian Pluzanski & Jean-Luc Prigent, 2023. "Risk management of margin based portfolio strategies for dynamic portfolio insurance with minimum market exposure," THEMA Working Papers 2023-22, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
• Christopher Chambers & Alan Miller & Ruodu Wang & Qinyu Wu, 2024. "Max-stability under first-order stochastic dominance," Papers 2403.13138, arXiv.org.
• Yuyu Chen & Paul Embrechts & Ruodu Wang, 2024. "Risk exchange under infinite-mean Pareto models," Papers 2403.20171, arXiv.org.
• Gasparini, Tommaso & Lewis, Vivien & Moyen, Stéphane & Villa, Stefania, 2024. "Risky firms and fragile banks: Implications for macroprudential policy," Discussion Papers 10/2024, Deutsche Bundesbank.
• João Granja & Erica Xuewei Jiang & Gregor Matvos & Tomasz Piskorski & Amit Seru, 2024. "Book Value Risk Management of Banks: Limited Hedging, HTM Accounting, and Rising Interest Rates," NBER Working Papers 32293, National Bureau of Economic Research, Inc.
• Boyi Li & Weixuan Xia, 2024. "Crypto Inverse-Power Options and Fractional Stochastic Volatility," Papers 2403.16006, arXiv.org, revised Sep 2024.
• Shige Peng & Shuzhen Yang & Wenqing Zhang, 2024. "Uncertainty in the financial market and application to forecastabnormal financial fluctuations," Papers 2403.12647, arXiv.org.
• Yun-Shi Dai & Peng-Fei Dai & Wei-Xing Zhou, 2024. "The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model," Papers 2404.01641, arXiv.org.
• Muzi Chen & Nan Li & Lifen Zheng & Difang Huang & Boyao Wu, 2024. "Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price," Papers 2403.19363, arXiv.org.
• Guohui Guan & Lin He & Zongxia Liang & Litian Zhang, 2024. "Optimal VPPI strategy under Omega ratio with stochastic benchmark," Papers 2403.13388, arXiv.org.
• Mikkel Bennedsen & Kim Christensen & Peter Christensen, 2024. "Composite likelihood estimation of stationary Gaussian processes with a view toward stochastic volatility," Papers 2403.12653, arXiv.org.
• Yaacov Kopeliovich & Michael Pokojovy & Julia Bernatska, 2024. "On Merton's Optimal Portfolio Problem with Sporadic Bankruptcy for Isoelastic Utility," Papers 2403.15923, arXiv.org, revised Nov 2024.
• Takuma Kunieda & Akihisa Shibata, 2024. "Insurance against Aggregate Shocks," ISER Discussion Paper 1239, Institute of Social and Economic Research, Osaka University.
• Takuma Kunieda & Akihisa Shibata, 2024. "Insurance against Aggregate Shocks," Discussion Paper Series 267, School of Economics, Kwansei Gakuin University.
• T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2024. "On the Hull-White model with volatility smile for Valuation Adjustments," Papers 2403.14841, arXiv.org.
• Jose-Miguel Benavente & Claudio Bravo-Ortega & Pablo Egaña-delSol & Bronwyn H. Hall, 2024. "How Does Expropriation Risk Affect Innovation?," NBER Working Papers 32288, National Bureau of Economic Research, Inc.