Report NEP-RMG-2024-05-20

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:

• Richard Ostrander, 2024. "The Legal Function’s Role in the Risk Management Framework: Jack-of-All-Trades, Cog in the Machine, or Misfit Toy?," Speech 98149, Federal Reserve Bank of New York.
• Abdulnasser Hatemi-J, 2024. "On the Asymmetric Volatility Connectedness," Papers 2404.12997, arXiv.org, revised May 2024.
• Hałaj, Grzegorz & Hipp, Ruben, 2024. "Decomposing systemic risk: the roles of contagion and common exposures," Working Paper Series 2929, European Central Bank.
• Yanwei Jia, 2024. "Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty," Papers 2404.12598, arXiv.org.
• Rei Iwafuchi & Yasumasa Matsuda, 2024. "Deep learning for multivariate volatility forecasting in high-dimensional financial time series," DSSR Discussion Papers 141, Graduate School of Economics and Management, Tohoku University.
• Victor Cardenas, 2024. "Financial climate risk: a review of recent advances and key challenges," Papers 2404.07331, arXiv.org.
• Yuliyan Mitkov & Ulrich Schüwer, 2024. "On the Relationship between Borrower and Bank risk," ECONtribute Discussion Papers Series 294, University of Bonn and University of Cologne, Germany.
• Masanori Hirano, 2024. "Experimental Analysis of Deep Hedging Using Artificial Market Simulations for Underlying Asset Simulators," Papers 2404.09462, arXiv.org.
• Tommaso Proietti, 2024. "Ups and (Draw)Downs," CEIS Research Paper 576, Tor Vergata University, CEIS, revised 03 May 2024.
• Ragnar Enger Juelsrud & Ella Getz Wold, 2023. "The importance of unemployment risk for individual savings," Working Papers 06/2023, Centre for Household Finance and Macroeconomic Research (HOFIMAR), BI Norwegian Business School.
• Javier Gil-Bazo & Raffaele Santioni, 2024. "Geographic Shareholder Dispersion and Mutual Fund Flow Risk," Working Papers 1440, Barcelona School of Economics.
• Claudia Ceci & Alessandra Cretarola, 2024. "Optimal reinsurance in a dynamic contagion model: comparing self-exciting and externally-exciting risks," Papers 2404.11482, arXiv.org, revised Sep 2024.
• Graziano, Marco & Habib, Maurizio Michael, 2024. "Mutual funds and safe government bonds: do returns matter?," Working Paper Series 2931, European Central Bank.