Report NEP-RMG-2024-12-30

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:

• Xia Han & Liyuan Lin & Hao Wang & Ruodu Wang, 2024. "Diversification quotient based on expectiles," Papers 2411.14646, arXiv.org, revised Nov 2024.
• Limin Wen & Junxue Li & Tong Pu & Yiying Zhang, 2024. "Comparisons of multivariate contribution measures of risk contagion and their applications in cryptocurrency market," Papers 2411.13384, arXiv.org.
• Tsogt-Ochir Enkhbayar, 2024. "A New Way: Kronecker-Factored Approximate Curvature Deep Hedging and its Benefits," Papers 2411.15002, arXiv.org.
• Revant Nayar & Raphael Douady, 2024. "Multiscale Markowitz," Papers 2411.13792, arXiv.org.
• Fan Yang & Yi Zhang, 2024. "Asymptotics of Sum of Heavy-tailed Risks with Copulas," Papers 2411.09657, arXiv.org.
• Martin Arnaiz Iglesias & Adil Rengim Cetingoz & Noufel Frikha, 2024. "Mirror Descent Algorithms for Risk Budgeting Portfolios," Papers 2411.12323, arXiv.org.
• Jonathan Ansari & Eva Lutkebohmert, 2024. "Robust Bernoulli mixture models for credit portfolio risk," Papers 2411.11522, arXiv.org.
• Peter Cotton, 2024. "Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios," Papers 2411.05807, arXiv.org.
• Wang, Shu, 2024. "Daily oil price shocks and their uncertainties," University of Göttingen Working Papers in Economics 436, University of Goettingen, Department of Economics.
• Issam Samiri, 2024. "Endogenous Defaults, Value-at-Risk and the Business Cycle (updated version)," National Institute of Economic and Social Research (NIESR) Discussion Papers 562, National Institute of Economic and Social Research.
• Pierdomenico Duttilo, 2024. "Modelling financial returns with mixtures of generalized normal distributions," Papers 2411.11847, arXiv.org.
• Liang Hou & Hao Yu & Guosong Xu, 2024. "Risk-Neutral Pricing Model of Uniswap Liquidity Providing Position: A Stopping Time Approach," Papers 2411.12375, arXiv.org, revised Dec 2024.
• Josué Thélissaint, 2024. "Assessing Cryptomarket Risks: Macroeconomic Forces, Market Shocks and Behavioural Dynamics," Economics Working Paper Archive (University of Rennes & University of Caen) 2024-14, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
• Matteo Bonato & Rangan Gupta & Christian Pierdzioch, 2024. "Do Shortages Forecast Aggregate and Sectoral U.S. Stock Market Realized Variance? Evidence from a Century of Data," Working Papers 202450, University of Pretoria, Department of Economics.
• De Oliveira Amado, Cristina Alexandra & Garrón Vedia, Ignacio & Lopes Moreira da Veiga, María Helena, 2024. "On the relationship of country geopolitical risk on energy inflation," DES - Working Papers. Statistics and Econometrics. WS 45113, Universidad Carlos III de Madrid. Departamento de Estadística.
• Edward Honda & Keh-Kuan Sun, 2024. "Non-Allais Paradox and Context-Dependent Risk Attitudes," Papers 2411.13823, arXiv.org.
• Bublu Thakur-Weigold & Sébastien Miroudot, 2024. "Promoting resilience and preparedness in supply chains," OECD Trade Policy Papers 286, OECD Publishing.
• Jose Barrales-Ruiz & Ivan Mendieta-Muñoz, 2024. "Changing dynamics and tail risks of aggregate demand and income distribution," Working Papers 2414, New School for Social Research, Department of Economics.
• Bernhard Mayr, 2024. "Broadening the scope of risk sharing through a European backstop for natural catastrophes," Discussion Papers 24, European Stability Mechanism, revised 27 Nov 2024.