Report NEP-RMG-2024-11-04

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:

• Ahnert, Toni & Bertsch, Christoph & Leonello, Agnese & Marquez, Robert, 2024. "Bank fragility and the incentives to manage risk," Working Paper Series 441, Sveriges Riksbank (Central Bank of Sweden).
• G.M. Gallo & O. Okhrin & G. Storti, 2024. "Dynamic tail risk forecasting: what do realized skewness and kurtosis add?," Working Paper CRENoS 202416, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
• Anna Kiriliouk & Chen Zhou, 2024. "Tail Risk Analysis for Financial Time Series," Papers 2409.18643, arXiv.org.
• Matteo Malavasi & Gareth W. Peters & Stefan Treuck & Pavel V. Shevchenko & Jiwook Jang & Georgy Sofronov, 2024. "Cyber Risk Taxonomies: Statistical Analysis of Cybersecurity Risk Classifications," Papers 2410.05297, arXiv.org.
• Jun Cai & Zhanyi Jiao & Tiantian Mao, 2024. "Worst-case values of target semi-variances with applications to robust portfolio selection," Papers 2410.01732, arXiv.org, revised Oct 2024.
• Vanderveken, Rodolphe & Lassance, Nathan & Vrins, Frédéric, 2024. "Optimal Portfolio Size under Parameter Uncertainty," LIDAM Discussion Papers LFIN 2024004, Université catholique de Louvain, Louvain Finance (LFIN).
• Peijun Liu, 2024. "Managerial Ownership, Modification of Business Risk Disclosure and Investors Risk Perception: Evidence from Japan," Discussion Papers in Economics and Business 24-11, Osaka University, Graduate School of Economics.
• Afees A. Salisu & Ahamuefula E. Ogbonna & Elie Bouri & Rangan Gupta, 2024. "Economic Policy Uncertainty and Bank-Level Stock Returns Volatility of the United States: A Mixed-Frequency Perspective," Working Papers 202444, University of Pretoria, Department of Economics.
• Simon Levy & Maxime L. D. Nicolas, 2024. "Modern Portfolio Diversification with Arte-Blue Chip Index," Papers 2409.18816, arXiv.org.
• Clements, Adam & Vasnev, Andrey L., 2023. "Combining simple multivariate HAR-like models for portfolio construction," Working Papers BAWP-2023-03, University of Sydney Business School, Discipline of Business Analytics.
• Luigi Guiso & Tullio Jappelli, 2024. "Anatomy of Consumption Risk," CSEF Working Papers 732, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
• Cai, Zhaokun & Cui, Zhenyu & Lassance, Nathan & Simaan, Majeed, 2024. "The Economic Value of Mean Squared Error: Evidence from Portfolio Selection," LIDAM Discussion Papers LFIN 2024003, Université catholique de Louvain, Louvain Finance (LFIN).
• Sanjay Sathish & Charu C Sharma, 2024. "Leveraging RNNs and LSTMs for Synchronization Analysis in the Indian Stock Market: A Threshold-Based Classification Approach," Papers 2409.06728, arXiv.org.
• Hang Gao & Shuohua Yang & Xinli Liu, 2024. "Managing Basis Risks in Weather Parametric Insurance: A Quantitative Study of Diversification and Key Influencing Factors," Papers 2409.16599, arXiv.org.
• Hendrik Jenett & Maximilian Nagl & Cathrine Nagl & McKay Price & Wolfgang Schäfers, 2024. "Dynamics of REIT Returns and Volatility: Analyzing Time-Varying Drivers Using an Explainable Machine Learning Approach," ERES eres2024-107, European Real Estate Society (ERES).
• Xialu Liu & John Guerard & Rong Chen & Ruey Tsay, 2024. "Improving Estimation of Portfolio Risk Using New Statistical Factors," Papers 2409.17182, arXiv.org.
• Hayley Clatterbuck & Clinton Castro & Arvo Mu~noz Mor'an, 2024. "Risk Alignment in Agentic AI Systems," Papers 2410.01927, arXiv.org.
• Daniel Huerta & Chris Mothorpe, 2024. "The impact of international diversification on U.S. Equity REIT performance," ERES eres2024-117, European Real Estate Society (ERES).