Report NEP-RMG-2024-12-23

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:

• Tong Pu & Yunran Wei & Yiying Zhang, 2024. "On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market," Papers 2411.09676, arXiv.org.
• Albrecher, Hansjörg & Dacorogna, Michel M, 2024. "Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks," MPRA Paper 122323, University Library of Munich, Germany.
• Christian Laudag'e & Felix-Benedikt Liebrich & Jorn Sass, 2024. "Multi-asset return risk measures," Papers 2411.08763, arXiv.org.
• Haoyu Chen & Tiantian Mao & Fan Yang, 2024. "Estimation of the Adjusted Standard-deviatile for Extreme Risks," Papers 2411.07203, arXiv.org.
• Chang, Kuo-Ping, 2023. "Measuring Risk Structures of Assets: P-index and C-index," MPRA Paper 122653, University Library of Munich, Germany.
• Anika Tahsin Meem, 2024. "A Deep Learning Approach to Predict the Fall [of Price] of Cryptocurrency Long Before its Actual Fall," Papers 2411.13615, arXiv.org, revised Nov 2024.
• Jihyun Park & Andrey Sarantsev, 2024. "Zero-Coupon Treasury Rates and Returns using the Volatility Index," Papers 2411.03699, arXiv.org, revised Jan 2025.
• Aleksandr Simonyan, 2024. "BreakGPT: Leveraging Large Language Models for Predicting Asset Price Surges," Papers 2411.06076, arXiv.org.
• Graham L. Giller, 2024. "An Analytic Solution for Asset Allocation with a Multivariate Laplace Distribution," Papers 2411.08967, arXiv.org.