Report NEP-RMG-2024-10-21

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:

• E. Ruben van Beesten, 2024. "Quantifying the degree of risk aversion of spectral risk measures," Papers 2408.15675, arXiv.org, revised Aug 2024.
• L. Ponta & A. Carbone, 2024. "Kullback-Leibler cluster entropy to quantify volatility correlation and risk diversity," Papers 2409.10543, arXiv.org.
• Anthony Coache & Sebastian Jaimungal, 2024. "Robust Reinforcement Learning with Dynamic Distortion Risk Measures," Papers 2409.10096, arXiv.org.
• John Armstrong & Cristin Buescu & James Dalby, 2024. "Optimal post-retirement investment under longevity risk in collective funds," Papers 2409.15325, arXiv.org.
• Andres Fernandez & Martin Hiti & Asani Sarkar, 2024. "Are Nonbank Financial Institutions Systemic?," Liberty Street Economics 20241001, Federal Reserve Bank of New York.
• Zhengyang Chi & Junbin Gao & Chao Wang, 2024. "Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days," Papers 2409.15320, arXiv.org, revised Sep 2024.
• Elie Bouri & Oguzhan Cepni & Rangan Gupta & Ruipeng Liu, 2024. "Supply Chain Constraints and the Predictability of the Conditional Distribution of International Stock Market Returns and Volatility," Working Papers 202440, University of Pretoria, Department of Economics.
• Bradley, Richard, 2024. "Catastrophe insurance decision making when the science is uncertain," LSE Research Online Documents on Economics 122508, London School of Economics and Political Science, LSE Library.
• Zhang, Pengcheng & Chen, Zezhun & Tzougas, George & Calderín–Ojeda, Enrique & Dassios, Angelos & Wu, Xueyuan, 2024. "Multivariate zero-inflated INAR(1) model with an application in automobile insurance," LSE Research Online Documents on Economics 124317, London School of Economics and Political Science, LSE Library.
• Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Andrei Shleifer, 2024. "Finance Without Exotic Risk," NBER Working Papers 33004, National Bureau of Economic Research, Inc.
• Thiago Trafane Oliveira Santos & Daniel Oliveira Cajueiro, 2024. "Why you should also use OLS estimation of tail exponents," Papers 2409.10448, arXiv.org, revised Sep 2024.