Report NEP-RMG-2024-09-02

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:

• Parley R Yang & Alexander Y Shestopaloff, 2024. "Low Volatility Stock Portfolio Through High Dimensional Bayesian Cointegration," Papers 2407.10175, arXiv.org.
• Ravi Kashyap, 2024. "The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments," Papers 2407.09536, arXiv.org.
• Paolo Bartesaghi & Fernando Diaz-Diaz & Rosanna Grassi & Pierpaolo Uberti, 2024. "Global Balance and Systemic Risk in Financial Correlation Networks," Papers 2407.14272, arXiv.org.
• Pascal Franc{c}ois & Genevi`eve Gauthier & Fr'ed'eric Godin & Carlos Octavio P'erez Mendoza, 2024. "Is the difference between deep hedging and delta hedging a statistical arbitrage?," Papers 2407.14736, arXiv.org, revised Oct 2024.
• c{C}au{g}{i}n Ararat & Zachary Feinstein, 2024. "On the Separability of Vector-Valued Risk Measures," Papers 2407.16878, arXiv.org.
• Liyang Wang & Yu Cheng & Xingxin Gu & Zhizhong Wu, 2024. "Design and Optimization of Big Data and Machine Learning-Based Risk Monitoring System in Financial Markets," Papers 2407.19352, arXiv.org.
• Yannick Becker & Pascal Halffmann & Anita Schobel, 2024. "Risk management in multi-objective portfolio optimization under uncertainty," Papers 2407.19936, arXiv.org.
• Maciej Wysocki & Robert 'Slepaczuk, 2024. "Construction and Hedging of Equity Index Options Portfolios," Papers 2407.13908, arXiv.org.
• Aditya Saxena & Dr Parizad Dungore, 2024. "Credit Risk Assessment Model for UAE Commercial Banks: A Machine Learning Approach," Papers 2407.12044, arXiv.org.
• Hurlin, Christophe & Pérignon, Christophe, 2023. "Machine Learning and IRB Capital Requirements: Advantages, Risks, and Recommendations," HEC Research Papers Series 1480, HEC Paris.
• Chunhui Qiao & Xiangwei Wan, 2024. "Enhancing Black-Scholes Delta Hedging via Deep Learning," Papers 2407.19367, arXiv.org, revised Aug 2024.
• Elie Bouri & Rangan Gupta & Christian Pierdzioch & Onur Polat, 2024. "Forecasting U.S. Recessions Using Over 150 Years of Data: Stock-Market Moments versus Oil-Market Moments," Working Papers 202435, University of Pretoria, Department of Economics.
• Hamdi Ben-Nasr & Sabri Boubaker, 2024. "Government debt and stock price crash risk: International Evidence," Post-Print hal-04648524, HAL.
• Dangxing Chen & Yuan Gao, 2024. "Attribution Methods in Asset Pricing: Do They Account for Risk?," Papers 2407.08953, arXiv.org.
• Feinstein, Zachary & Hałaj, Grzegorz & Søjmark, Andreas, 2024. "The not-so-hidden risks of ‘hidden-to-maturity’ accounting: on depositor runs and bank resilience," Working Paper Series 2970, European Central Bank.
• Xiaobai Zhu & Kenneth Q. Zhou & Zijia Wang, 2024. "A new paradigm of mortality modeling via individual vitality dynamics," Papers 2407.15388, arXiv.org, revised Oct 2024.
• Felix Fie{ss}inger & Mitja Stadje, 2024. "Mean-Variance Optimization for Participating Life Insurance Contracts," Papers 2407.11761, arXiv.org.
• Nacira Agram & Bernt {O}ksendal & Jan Rems, 2024. "Deep learning for quadratic hedging in incomplete jump market," Papers 2407.13688, arXiv.org.
• Brignone, Davide & Gambetti, Luca & Ricci, Martino, 2024. "Geopolitical risk shocks: when the size matters," Working Paper Series 2972, European Central Bank.
• Vania Stavrakeva & Jenny Tang, 2024. "Explaining the Great Moderation Exchange Rate Volatility Puzzle," Working Papers 24-9, Federal Reserve Bank of Boston.
• António Afonso & José Alves & Sofia Monteiro, 2024. "Echoes of Instability: How Geopolitical Risks Shape Government Debt Holdings," CESifo Working Paper Series 11235, CESifo.
• Herv'e Andr`es & Benjamin Jourdain, 2024. "Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels," Papers 2408.02477, arXiv.org.
• Digvijay S. Negi & Christopher B. Barrett, 2024. "Consumption Smoothing, Commodity Markets, and Informal Transfers," Working Papers 116, Ashoka University, Department of Economics.
• Yuxin Liu & Jimin Lin & Achintya Gopal, 2024. "NeuralBeta: Estimating Beta Using Deep Learning," Papers 2408.01387, arXiv.org, revised Oct 2024.