Report NEP-RMG-2024-12-02

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:

• Pietro Bogani & Matteo Fontana & Luca Neri & Simone Vantini, 2024. "Calibrated quantile prediction for Growth-at-Risk," Papers 2411.00520, arXiv.org.
• Enzo D'Innocenzo & Andre Lucas & Bernd Schwaab & Xin Zhang, 2024. "Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter," Tinbergen Institute Discussion Papers 24-069/III, Tinbergen Institute.
• Livieri, Giulia & Radi, Davide & Smaniotto, Elia, 2024. "Pricing transition risk with a jump-diffusion credit risk model: evidences from the CDS market," LSE Research Online Documents on Economics 123650, London School of Economics and Political Science, LSE Library.
• Tahir Choulli & Ella Elazkany & Mich`ele Vanmaele, 2024. "Applications of the Second-Order Esscher Pricing in Risk Management," Papers 2410.21649, arXiv.org.
• Alex Li, 2024. "Volatility Forecasting in Global Financial Markets Using TimeMixer," Papers 2410.09062, arXiv.org.
• Tomas Espana & Victor Le Coz & Matteo Smerlak, 2024. "Kendall Correlation Coefficients for Portfolio Optimization," Papers 2410.17366, arXiv.org.
• Barr, Nicholas, 2024. "Risk-sharing in pension plans: multiple options," LSE Research Online Documents on Economics 125669, London School of Economics and Political Science, LSE Library.
• A. H Nzokem, 2024. "Fitting the seven-parameter Generalized Tempered Stable distribution to the financial data," Papers 2410.19751, arXiv.org.