Report NEP-RMG-2024-05-13

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-RMG

The following items were announced in this report:

• Benjamin A. Jansen, 2024. "Risk is not Sufficient to Generate a Return on Investment," Working Papers 202401, Middle Tennessee State University, Department of Economics and Finance.
• Nichanan Sakolvieng, 2024. "Optimizing Cryptocurrency Portfolios: A Comparative Study of Rebalancing Strategies," GATR Journals jfbr220, Global Academy of Training and Research (GATR) Enterprise.
• Rene Schwaiger & Markus Strucks & Stefan Zeisberger, 2024. "The Consequences of Narrow Framing for Risk-Taking: A Stress Test of Myopic Loss Aversion," Working Papers 2024-05, Faculty of Economics and Statistics, Universität Innsbruck.
• Zhaolin Li & Artem Prokhorov, 2024. "Improved Semi-Parametric Bounds for Tail Probability and Expected Loss: Theory and Applications," Papers 2404.02400, arXiv.org, revised May 2024.
• Baptiste Lefort & Eric Benhamou & Jean-Jacques Ohana & David Saltiel & Beatrice Guez & Thomas Jacquot, 2024. "Stress index strategy enhanced with financial news sentiment analysis for the equity markets," Papers 2404.00012, arXiv.org.
• Rodriguez, Harold & Colombo, Jefferson, 2024. "Is bitcoin an inflation hedge?," MPRA Paper 120477, University Library of Munich, Germany.
• Thorsten Hens & Trine Nordlie, 2024. "How good are LLMs in risk profiling?," KIER Working Papers 1103, Kyoto University, Institute of Economic Research.
• Yupeng Cao & Zhi Chen & Qingyun Pei & Fabrizio Dimino & Lorenzo Ausiello & Prashant Kumar & K. P. Subbalakshmi & Papa Momar Ndiaye, 2024. "RiskLabs: Predicting Financial Risk Using Large Language Model Based on Multi-Sources Data," Papers 2404.07452, arXiv.org.
• Serena Merrino & Ilias Chondrogiannis, 2024. "Did Basel III reduce bank spillovers in South Africa," Working Papers 11060, South African Reserve Bank.
• Hirbod Assa & Peng Liu, 2024. "Factor risk measures," Papers 2404.08475, arXiv.org.
• David Xiao, 2024. "Hedge Fund Index Rules and Construction," Papers 2403.15925, arXiv.org.
• Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Qiang Ji, 2024. "Energy Market Uncertainties and Exchange Rate Volatility: A GARCH-MIDAS Approach," Working Papers 202418, University of Pretoria, Department of Economics.
• Cañon, Carlos & Gerba, Eddie & Pambira, Alberto & Stoja, Evarist, 2024. "An unconventional FX tail risk story," Bank of England working papers 1068, Bank of England.
• Ariel Neufeld & Julian Sester, 2024. "Non-concave distributionally robust stochastic control in a discrete time finite horizon setting," Papers 2404.05230, arXiv.org.
• Onur Polat & Rangan Gupta & Oguzhan Cepni & Qiang Ji, 2024. "Can Municipal Bonds Hedge US State-Level Climate Risks?," Working Papers 202419, University of Pretoria, Department of Economics.
• Vassilios Babalos & Elie Bouri & Rangan Gupta, 2024. "Does the Introduction of US Spot Bitcoin ETFs Affect Spot Returns and Volatility of Major Cryptocurrencies?," Working Papers 202416, University of Pretoria, Department of Economics.
• rao, amar & Dagar, Vishal & dagher, leila & Shobande, Olatunji, 2024. "Uncertainty and Risk in Cryptocurrency Markets: Evidence of Time-frequency Connectedness," MPRA Paper 120582, University Library of Munich, Germany.
• Nikitas Stamatopoulos & B. David Clader & Stefan Woerner & William J. Zeng, 2024. "Quantum Risk Analysis of Financial Derivatives," Papers 2404.10088, arXiv.org.
• Stefano Colonnello & Giuliano Curatola & Shuo Xia, 2024. "When Does Linking Pay to Default Reduce Bank Risk?," Working Papers 2024: 07, Department of Economics, University of Venice "Ca' Foscari".
• Simon Firestone & Nathan Y. Godin & Akos Horvath & Jacob Sagi, 2024. "Risk Perception and Loan Underwriting in Securitized Commercial Mortgages," Finance and Economics Discussion Series 2024-019, Board of Governors of the Federal Reserve System (U.S.).