Report NEP-RMG-2024-06-17

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:

• Tong Pu & Yifei Zhang & Yiying Zhang, 2024. "On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures," Papers 2405.07549, arXiv.org.
• Sullivan Hu'e & Christophe Hurlin & Yang Lu, 2024. "Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials," Papers 2405.02012, arXiv.org, revised May 2024.
• Emmanuel Lepinette & Duc Thinh Vu, 2024. "Coherent Risk Measure on $L^0$: NA Condition, Pricing and Dual Representation," Papers 2405.06764, arXiv.org.
• Thanoj K. Muddana & Komal S.R. Bhimireddy & Anandamayee Majumdar & Rangan Gupta, 2024. "Forecasting Gold Returns Volatility Over 1258-2023: The Role of Moments," Working Papers 202421, University of Pretoria, Department of Economics.
• Zhiyu Cao & Zachary Feinstein, 2024. "Large Language Model in Financial Regulatory Interpretation," Papers 2405.06808, arXiv.org, revised Jul 2024.
• Tian Tian & Ricky Cooper & Jiahao Deng & Qingquan Zhang, 2024. "Transforming Investment Strategies and Strategic Decision-Making: Unveiling a Novel Methodology for Enhanced Performance and Risk Management in Financial Markets," Papers 2405.01892, arXiv.org.
• Aur'elien Alfonsi & Ahmed Kebaier & J'er^ome Lelong, 2024. "A pure dual approach for hedging Bermudan options," Papers 2404.18761, arXiv.org, revised Oct 2024.
• Xue Wen Tan & Stanley Kok, 2024. "Explainable Risk Classification in Financial Reports," Papers 2405.01881, arXiv.org, revised May 2024.
• Aikman, David & Angotti, Romain & Budnik, Katarzyna, 2024. "Stress testing with multiple scenarios: a tale on tails and reverse stress scenarios," Working Paper Series 2941, European Central Bank.
• Ernest Aboagye & Vali Asimit & Tsz Chai Fung & Liang Peng & Qiuqi Wang, 2024. "A Revisit of the Optimal Excess-of-Loss Contract," Papers 2405.00188, arXiv.org.
• Thorsten Hens & Trine Nordlie, 2024. "How good are LLMs in risk profiling?," Swiss Finance Institute Research Paper Series 24-30, Swiss Finance Institute.
• Taha Choukhmane & Tim de Silva, 2024. "What Drives Investors' Portfolio Choices? Separating Risk Preferences from Frictions," NBER Working Papers 32476, National Bureau of Economic Research, Inc.
• Reilly Pickard & Finn Wredenhagen & Julio DeJesus & Mario Schlener & Yuri Lawryshyn, 2024. "Hedging American Put Options with Deep Reinforcement Learning," Papers 2405.06774, arXiv.org.
• H. Peter Boswijk & Jun Yu & Yang Zu, 2024. "Testing for an Explosive Bubble using High-Frequency Volatility," Papers 2405.02087, arXiv.org.