Report NEP-RMG-2024-10-28

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:

• Bingzhen Geng & Yang Liu & Hongfu Wan, 2024. "Systemic Risk Asymptotics in a Renewal Model with Multiple Business Lines and Heterogeneous Claims," Papers 2410.00158, arXiv.org.
• Qian Hui & Tiandong Wang, 2024. "Mitigating Extremal Risks: A Network-Based Portfolio Strategy," Papers 2409.12208, arXiv.org.
• Jascha Alexander & Christian Laudag'e & Jorn Sass, 2024. "Risk measures based on target risk profiles," Papers 2409.17676, arXiv.org.
• Giampiero Gallo & Ostap Okhrin & Giuseppe Storti, 2024. "Dynamic tail risk forecasting: what do realized skewness and kurtosis add?," Papers 2409.13516, arXiv.org.
• Maysam Khodayari Gharanchaei & Reza Babazadeh, 2024. "Crisis Alpha: A High-Performance Trading Algorithm Tested in Market Downturns," Papers 2409.14510, arXiv.org.
• Brice Corgnet & Camille Cornand & Nobuyuki Hanaki, 2023. "Negative Tail Events, Emotions & Risk Taking," Post-Print hal-04228190, HAL.
• Krishan Mohan Nagpal, 2024. "Portfolio Stress Testing and Value at Risk (VaR) Incorporating Current Market Conditions," Papers 2409.18970, arXiv.org.
• Pascal Kundig & Fabio Sigrist, 2024. "A Spatio-Temporal Machine Learning Model for Mortgage Credit Risk: Default Probabilities and Loan Portfolios," Papers 2410.02846, arXiv.org.
• Roba Bairakdar & Debbie Dupuis & Melina Mailhot, 2024. "Deviance Voronoi Residuals for Space-Time Point Process Models: An Application to Earthquake Insurance Risk," Papers 2410.04369, arXiv.org.
• Zeda Xu & John Liechty & Sebastian Benthall & Nicholas Skar-Gislinge & Christopher McComb, 2024. "GARCH-Informed Neural Networks for Volatility Prediction in Financial Markets," Papers 2410.00288, arXiv.org.
• Mengshuo Zhao & Chuancun Yin, 2024. "Best- and worst-case Scenarios for GlueVaR distortion risk measure with Incomplete information," Papers 2409.19902, arXiv.org.
• Marek Rutkowski & Huansang Xu, 2024. "Pricing and Hedging Strategies for Cross-Currency Equity Protection Swaps," Papers 2409.19387, arXiv.org.
• Azhari Amine, 2024. "The Impact of Artificial Intelligence on Accounting: Enhancing the Quality of Financial Information through Financial Forecasting and Risk Management [L'impact de l'intelligence artificielle sur la," Post-Print hal-04694939, HAL.
• Bingyao Liu & Iris Li & Jianhua Yao & Yuan Chen & Guanming Huang & Jiajing Wang, 2024. "Unveiling the Potential of Graph Neural Networks in SME Credit Risk Assessment," Papers 2409.17909, arXiv.org.
• Diana Barro & Antonella Basso & Stefania Funari & Guglielmo Alessandro Visentin, 2023. "Portfolio Diversification Including Art as an Alternative Asset," Working Papers 06, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.
• John Armstrong & George Tatlow, 2024. "Deep Gamma Hedging," Papers 2409.13567, arXiv.org.
• Pradeep Dubey & Siddhartha Sahi & Guanyang Wang, 2024. "Putting all eggs in one basket: some insights from a correlation inequality," Papers 2403.15957, arXiv.org, revised Aug 2024.
• Shuaiyu Chen & T. Clifton Green & Huseyin Gulen & Dexin Zhou, 2024. "What Does ChatGPT Make of Historical Stock Returns? Extrapolation and Miscalibration in LLM Stock Return Forecasts," Papers 2409.11540, arXiv.org.
• Zhaobo Zhu & Licheng Sun, 2024. "When Buffett Meets Bollinger: An Integrated Approach to Fundamental and Technical Analysis," Post-Print hal-04703041, HAL.