Report NEP-RMG-2024-11-25

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:

• González Ayestarán, Rodrigo & Garcia Fronti, Javier Ignacio, 2024. "Gestión del Riesgo en YPF (2007-2019) [Risk Management in YPF (2007-2019)]," MPRA Paper 122540, University Library of Munich, Germany.
• Andrew Fleck & Edward Furman & Yang Shen, 2024. "Risk Aggregation and Allocation in the Presence of Systematic Risk via Stable Laws," Papers 2410.14984, arXiv.org.
• de Oliveira Souza, Thiago, 2024. "Model risk pricing and hedging," MPRA Paper 121827, University Library of Munich, Germany.
• Caio Almeida & Maria Grith & Ratmir Miftachov & Zijin Wang, 2024. "Risk Premia in the Bitcoin Market," Papers 2410.15195, arXiv.org.
• Lukas Gonon & Thilo Meyer-Brandis & Niklas Weber, 2024. "Computing Systemic Risk Measures with Graph Neural Networks," Papers 2410.07222, arXiv.org.
• Guibril Zerbo, 2024. "Arbitrage entre assurance et auto-assurance contre les risques naturels," EconomiX Working Papers 2024-30, University of Paris Nanterre, EconomiX.
• Gulliksson, Mårten & Mazur, Stepan & Oleynik, Anna, 2024. "Minimum VaR and minimum CVaR optimal portfolios: The case of singular covariance matrix," Working Papers 2024:9, Örebro University, School of Business.
• Masahiro Kato, 2024. "Conformal Predictive Portfolio Selection," Papers 2410.16333, arXiv.org.
• Cisil Sarisoy, 2024. "Drivers of Option-Implied Interest Rate Volatility," FEDS Notes 2024-10-24, Board of Governors of the Federal Reserve System (U.S.).
• Hennessy, David & Lapan, Harvey, 2006. "On the Nature of Certainty Equivalent Functionals," ISU General Staff Papers 202410291658110000, Iowa State University, Department of Economics.
• Kira Henshaw & Cedric H. A. Koffi & Olivier Menoukeu Pamen & Raghid Zeineddine, 2024. "On the valuation of life insurance policies for dependent coupled lives," Papers 2410.11849, arXiv.org.
• J'er^ome Lelong & V'eronique Maume-Deschamps & William Thevenot, 2024. "Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context," Papers 2410.10239, arXiv.org.
• Luca Vincenzo Ballestra & Enzo D'Innocenzo & Christian Tezza, 2024. "A GARCH model with two volatility components and two driving factors," Papers 2410.14585, arXiv.org.
• Emmanuel Gnabeyeu & Omar Karkar & Imad Idboufous, 2024. "Solving The Dynamic Volatility Fitting Problem: A Deep Reinforcement Learning Approach," Papers 2410.11789, arXiv.org.
• Andrew Fleck & Edward Furman & Yang Shen, 2024. "Stochastic Loss Reserving: Dependence and Estimation," Papers 2410.14985, arXiv.org.
• Chaudhari, Saurav L., 2024. "Enhancing Portfolio Rebalancing Efficiency Using Binomial Distribution: A Case Study of Beating the Nifty Index with good CAGR," OSF Preprints u5q97, Center for Open Science.
• Tsiflikidou, Ioanna-Maria & METAXAS, THEODORE, 2023. "Economic Crises in the 20th century: Brief Review and Comparison," MPRA Paper 122466, University Library of Munich, Germany.