Report NEP-RMG-2024-07-15

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:

• Qiqin Zhou, 2024. "Portfolio Optimization with Robust Covariance and Conditional Value-at-Risk Constraints," Papers 2406.00610, arXiv.org.
• Alessandra Amendola & Vincenzo Candila & Antonio Naimoli & Giuseppe Storti, 2024. "Adaptive combinations of tail-risk forecasts," Papers 2406.06235, arXiv.org.
• Walter Farkas & Patrick Lucescu, 2024. "Modelling risk sharing and impact on systemic risk," Swiss Finance Institute Research Paper Series 24-32, Swiss Finance Institute.
• Mr. Jorge A Chan-Lau & Ruofei Hu & Luca Mungo & Ritong Qu & Weining Xin & Cheng Zhong, 2024. "Monitoring Privately-held Firms' Default Risk in Real Time: A Signal-Knowledge Transfer Learning Model," IMF Working Papers 2024/115, International Monetary Fund.
• Guido Gazzani & Julien Guyon, 2024. "Pricing and calibration in the 4-factor path-dependent volatility model," Papers 2406.02319, arXiv.org.
• Jan Muckenhaupt & Martin Hoesli & Bing Zhu, 2024. "U.S. and European Listed Real Estate as an Inflation Hedge," Swiss Finance Institute Research Paper Series 24-34, Swiss Finance Institute.
• Stark, Oded & Wlodarczyk, Julia, 2024. "Rank, Stress, and Risk: A Conjecture," IZA Discussion Papers 17044, Institute of Labor Economics (IZA).
• Ortega, Francesc & Petkov, Ivan, 2024. "To Improve Is to Change? The Effects of Risk Rating 2.0 on Flood Insurance Demand," IZA Discussion Papers 17021, Institute of Labor Economics (IZA).
• Maximilian Schroder, 2024. "Mixing it up: Inflation at risk," Papers 2405.17237, arXiv.org, revised May 2024.
• Seulki Chung, 2024. "Modelling and Forecasting Energy Market Volatility Using GARCH and Machine Learning Approach," Papers 2405.19849, arXiv.org.
• Mauricio Elizalde & Stephan Sturm, 2024. "Intertemporal Cost-efficient Consumption," Papers 2405.16336, arXiv.org.
• Niushan Gao & Foivos Xanthos, 2024. "A note on continuity and asymptotic consistency of measures of risk and variability," Papers 2405.09766, arXiv.org, revised Oct 2024.
• Massimo Motta & Volker Nocke & Martin Peitz, 2024. "Geopolitical Risks and Prudential Merger Control," CRC TR 224 Discussion Paper Series crctr224_2024_568, University of Bonn and University of Mannheim, Germany.
• Valérie Bertrand & Virginie Cartier, 2023. "How could vulnerability be assessed as a source of managerial innovation? [Comment valoriser la vulnérabilité comme source d’innovation managériale ?]," Post-Print hal-04578251, HAL.
• Daniele Maria Di Nosse & Federico Gatta, 2024. "A Multi-step Approach for Minimizing Risk in Decentralized Exchanges," Papers 2406.07200, arXiv.org, revised Jun 2024.
• Item repec:boa:wpaper:2024 is not listed on IDEAS anymore

• Francesco Audrino & Jonathan Chassot, 2024. "HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning," Papers 2406.08041, arXiv.org.
• Luiz de Mello & Teresa Ter-Minassian, 2024. "Managing rising subnational fiscal risks," OECD Working Papers on Fiscal Federalism 46, OECD Publishing.