Report NEP-RMG-2024-05-27

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:

• Tobias Fissler & Fangda Liu & Ruodu Wang & Linxiao Wei, 2024. "Elicitability and identifiability of tail risk measures," Papers 2404.14136, arXiv.org, revised Jun 2024.
• Battulga Gankhuu, 2024. "Derivatives of Risk Measures," Papers 2404.09646, arXiv.org, revised Aug 2024.
• Shahed Ahmmed & Shohana Siddique, 2022. "Efficient Diversification Strategies: Mitigating Unsystematic Risk with DS-30 Stocks," Post-Print hal-04547688, HAL.
• Luis Férnandez Lafuerza & Jorge E. Galán, 2024. "Should macroprudential policy target corporate lending? Evidence from credit standards and defaults," Working Papers 2413, Banco de España.
• Romero, Eva, 2024. "A stochastic volatility model for volatility asymmetry and propagation," DES - Working Papers. Statistics and Econometrics. WS 43887, Universidad Carlos III de Madrid. Departamento de Estadística.
• Francesco Lancia & Alessia Russo & Tim Worrall, 2024. "Intergenerational Insurance," Papers 2404.10090, arXiv.org.
• Horvath, Blanka & Jacquier, Antoine & Muguruza, Aitor & Søjmark, Andreas, 2024. "Functional central limit theorems for rough volatility," LSE Research Online Documents on Economics 122848, London School of Economics and Political Science, LSE Library.
• Joaquin Vespignani & Russell Smyth, 2024. "Artificial intelligence investments reduce risks to critical mineral supply," Monash Economics Working Papers 2024-08, Monash University, Department of Economics.
• Petkov, Ivan & Ortega, Francesc, 2024. "Flood Risk and Insurance Take-up in the Flood Zone and Its Periphery," IZA Discussion Papers 16922, Institute of Labor Economics (IZA).
• Jos'e Moran & Angelo Secchi & Jean-Philippe Bouchaud, 2024. "Revisiting Granular Models of Firm Growth," Papers 2404.15226, arXiv.org, revised Jun 2024.
• He, Yi & Einmahl, John, 2024. "Extreme Value Inference for General Heterogeneous Data," Other publications TiSEM 5d01cb7e-d528-406d-8c24-c, Tilburg University, School of Economics and Management.
• Perry Singleton, 2024. "Risk Perception, Dread, and the Value of Statistical Life: Evidence from Occupational Fatalities," Center for Policy Research Working Papers 263, Center for Policy Research, Maxwell School, Syracuse University.
• Márcio Mateus, 2023. "The determinants of the loss given default of residential mortgage loans in Portugal," Working Papers w202318, Banco de Portugal, Economics and Research Department.
• Giulio Cifarelli, 2023. "Commodity Pricing Volatility Shifts in a Highly Turbulent Time Period. A Time-varying Transition Probability Markov Switching Analysis," Working Papers - Economics wp2023_11.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
• E. Emanuel Rapsch, 2024. "Decision making in stochastic extensive form I: Stochastic decision forests," Papers 2404.12332, arXiv.org, revised Nov 2024.
• Manuel Amador & Javier Bianchi, 2024. "Bank Runs, Fragility, and Regulation," NBER Working Papers 32341, National Bureau of Economic Research, Inc.
• Carlos Cantú & Rocío Gondo & Berenice Martinez, 2024. "Reserve requirements as a financial stability instrument," BIS Working Papers 1182, Bank for International Settlements.