Report NEP-RMG-2024-08-26

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:

• Shafique Ur Rehman & Touqeer Ahmad & Wu Dash Desheng & Amirhossein Karamoozian, 2024. "Analyzing selected cryptocurrencies spillover effects on global financial indices: Comparing risk measures using conventional and eGARCH-EVT-Copula approaches," Papers 2407.15766, arXiv.org.
• Natalia Roszyk & Robert 'Slepaczuk, 2024. "The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models," Papers 2407.16780, arXiv.org.
• Couaillier, Cyril & Scalone, Valerio, 2024. "Risk-to buffer: setting cyclical and structural banks capital requirements through stress test," Working Paper Series 2966, European Central Bank.
• Abdulnasser Hatemi-J, 2024. "Testing for the Asymmetric Optimal Hedge Ratios: With an Application to Bitcoin," Papers 2407.19932, arXiv.org, revised Aug 2024.
• Sourish Das, 2024. "Risk Analysis of Passive Portfolios," Papers 2407.08332, arXiv.org.
• Marcelo Righi & Eduardo Horta & Marlon Moresco, 2024. "Set risk measures," Papers 2407.18687, arXiv.org.
• St'ephane Cr'epey & Botao Li & Hoang Nguyen & Bouazza Saadeddine, 2024. "CVA Sensitivities, Hedging and Risk," Papers 2407.18583, arXiv.org.
• Jacob Boudoukh & Yukun Liu & Tobias J. Moskowitz & Matthew P. Richardson, 2024. "Identifying Shocks to Systematic Risk in Times of Crisis," NBER Working Papers 32693, National Bureau of Economic Research, Inc.
• Oecd, 2023. "Common guideposts to promote interoperability in AI risk management," OECD Artificial Intelligence Papers 5, OECD Publishing.
• Berg, Tobias & Heider, Florian, 2024. "Leverage and risk-taking in a dynamic model," SAFE Working Paper Series 423, Leibniz Institute for Financial Research SAFE.
• Benjamin Knox & Jakob Ahm Sørensen, 2024. "Insurers’ Investments and Insurance Prices," Finance and Economics Discussion Series 2024-058, Board of Governors of the Federal Reserve System (U.S.).
• Mario Ghossoub & Qinghua Ren & Ruodu Wang, 2024. "Counter-monotonic risk allocations and distortion risk measures," Papers 2407.16099, arXiv.org.
• Tiago Monteiro, 2024. "AI-Powered Energy Algorithmic Trading: Integrating Hidden Markov Models with Neural Networks," Papers 2407.19858, arXiv.org, revised Aug 2024.
• Bertolozzi-Caredio, Daniele & Soriano, Barbara & Urquhart, Julie & Vigani, Mauro, 2024. "Farmers’ learning preferences and risk management choices," IAAE 2024 Conference, August 2-7, 2024, New Delhi, India 344372, International Association of Agricultural Economists (IAAE).
• Arnone, Massimo & Laureti, Lucio & Costantiello, Alberto & Anobile, Fabio & Leogrande, Angelo, 2024. "The Access to Credit in the Context of the ESG Framework at Global Level," SocArXiv aetb9, Center for Open Science.
• Ali, Waqar, 2023. "The Differential Impact of Financial Reporting Complexity on Public and Private Debt Contracting: Evidence from ASU 2017-12," HEC Research Papers Series 1494, HEC Paris.
• Oecd, 2023. "Stocktaking for the development of an AI incident definition," OECD Artificial Intelligence Papers 4, OECD Publishing.