Report NEP-RMG-2024-10-14

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:

• Robert Taylor, 2024. "Evaluating Credit VIX (CDS IV) Prediction Methods with Incremental Batch Learning," Papers 2408.15404, arXiv.org.
• Mario Ghossoub & Michael B. Zhu & Wing Fung Chong, 2024. "Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures," Papers 2409.05103, arXiv.org.
• Kubitza, Christian, 2024. "Tackling the volatility paradox: spillover persistence and systemic risk," Working Paper Series 2981, European Central Bank.
• Vasily Melnikov, 2024. "Risk measures on incomplete markets: a new non-solid paradigm," Papers 2409.05194, arXiv.org.
• Zian Wang & Xinyi Lu, 2024. "COMEX Copper Futures Volatility Forecasting: Econometric Models and Deep Learning," Papers 2409.08356, arXiv.org.
• Di Wu, 2024. "The effects of data preprocessing on probability of default model fairness," Papers 2408.15452, arXiv.org.
• Sario, Azhar ul Haque, 2024. "Advanced Financial Modeling for Stock Price Prediction: A Quantitative Methods," OSF Preprints pk7w3, Center for Open Science.
• Di Wu, 2024. "Bitcoin ETF: Opportunities and risk," Papers 2409.00270, arXiv.org.
• Giraldo, Carlos & Giraldo, Iader & Huertas, Cristian & Sánchez, Juan Camilo, 2024. "Determinants of Financial Hedging Strategies among Commodity Producer Firms in Latin America," Documentos de trabajo 21196, FLAR.
• Shuochen Bi & Yufan Lian & Ziyue Wang, 2024. "Research and Design of a Financial Intelligent Risk Control Platform Based on Big Data Analysis and Deep Machine Learning," Papers 2409.10331, arXiv.org.
• Loic Mar'echal & Nathan Monnet, 2024. "Disentangling the sources of cyber risk premia," Papers 2409.08728, arXiv.org.
• Camélia Sehaqui & Mohamed Haissoune, 2024. "Challenges and prospects of Artificial Intelligence: Case of participatory banks in Morocco [dans la gestion du risque de contrepartie : Défis et perspectives pour les banques participatives au Mar," Post-Print hal-04690166, HAL.
• David Landriault & Bin Li & Hong Li & Yuanyuan Zhang, 2024. "Contract Structure and Risk Aversion in Longevity Risk Transfers," Papers 2409.08914, arXiv.org.
• Fredy Gamboa-Estrada & José Vicente Romero, 2024. "Geopolitical Risk and Emerging Markets Sovereign Risk Premia," Borradores de Economia 1282, Banco de la Republica de Colombia.
• Soumil Hooda & Shubham Sharma & Kunal Bansal, 2024. "Quantifying Seasonal Weather Risk in Indian Markets: Stochastic Model for Risk-Averse State-Specific Temperature Derivative Pricing," Papers 2409.04541, arXiv.org, revised Sep 2024.