Report NEP-RMG-2023-08-21

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:

• Pawe{l} Sakowski & Rafa{l} Sieradzki & Robert 'Slepaczuk, 2023. "Systemic risk indicator based on implied and realized volatility," Papers 2307.05719, arXiv.org.
• Apostolos Ampountolas, 2023. "The Effect of COVID-19 on Cryptocurrencies and the Stock Market Volatility -- A Two-Stage DCC-EGARCH Model Analysis," Papers 2307.09137, arXiv.org.
• Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2023. "Financial Stress and Realized Volatility: The Case of Agricultural Commodities," Working Papers 202320, University of Pretoria, Department of Economics.
• Paulo M.M. Rodrigues & Gabriel Zsurkis, 2023. "First passage times in portfolio optimization: a novel nonparametric approach," Working Papers w202309, Banco de Portugal, Economics and Research Department.
• Nie, Georege Yulin, 2023. "Address Challenges Markowitz (1952) Faces: A New Measure of Asset Risk," SocArXiv tgvb2, Center for Open Science.
• Martin Herdegen & Cosimo Munari, 2023. "An elementary proof of the dual representation of Expected Shortfall," Papers 2306.14506, arXiv.org.
• Martin Bodenstein & Pablo A. Cuba-Borda & Albert Queraltó, 2023. "The Transmission of Global Risk," FEDS Notes 2023-06-27, Board of Governors of the Federal Reserve System (U.S.).
• Guillaume Chevalier & Guillaume Coqueret & Thomas Raffinot, 2022. "Supervised portfolios," Post-Print hal-04144588, HAL.
• Christina Brinkmann, 2023. "Differentiation in Risk Profiles," CRC TR 224 Discussion Paper Series crctr224_2023_444, University of Bonn and University of Mannheim, Germany.
• Lilit Popoyan & Mauro Napoletano & Andrea Roventini, 2023. "Systemically important banks - emerging risk and policy responses: An agent-based investigation," LEM Papers Series 2023/30, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Valérie Mignon & Jamel Saadaoui, 2023. "How political tensions and geopolitical risks impact oil prices?," Working Papers 2023.07, International Network for Economic Research - INFER.
• Sedar Olmez & Akhil Ahmed & Keith Kam & Zhe Feng & Alan Tua, 2023. "Exploring the Dynamics of the Specialty Insurance Market Using a Novel Discrete Event Simulation Framework: a Lloyd's of London Case Study," Papers 2307.05581, arXiv.org.
• Laura Alfaro & Mauricio Calani & Liliana Varela, 2023. "Granular Corporate Hedging Under Dominant Currency," Discussion Papers 2315, Centre for Macroeconomics (CFM).
• Xiyue Han & Alexander Schied, 2023. "Estimating the roughness exponent of stochastic volatility from discrete observations of the realized variance," Papers 2307.02582, arXiv.org, revised Aug 2023.
• Alexander Braun & Niklas Häusle & Paul D. Thistle, 2023. "Risk Classification with On-Demand Insurance," Swiss Finance Institute Research Paper Series 23-49, Swiss Finance Institute.
• Jarrod Burgh & Emerson Melo, 2023. "Wishful Thinking is Risky Thinking," Papers 2307.02422, arXiv.org, revised Feb 2024.
• Levon Barseghyan & Francesca Molinari, 2023. "Risk Preference Types, Limited Consideration, and Welfare," Papers 2307.09411, arXiv.org.
• Marcel Nutz & Andr'es Riveros Valdevenito, 2023. "On the Guyon-Lekeufack Volatility Model," Papers 2307.01319, arXiv.org, revised Jul 2024.
• Lucas Avezum, 2023. "To use or not to use? Capital buffers and lending during a crisis," Working Papers w202308, Banco de Portugal, Economics and Research Department.
• Peter Bank & Christian Bayer & Peter K. Friz & Luca Pelizzari, 2023. "Rough PDEs for local stochastic volatility models," Papers 2307.09216, arXiv.org.
• Bahaj, Saleem & Czech, Robert & Ding, Sitong & Reis, Ricardo, 2023. "The market for inflation risk," Bank of England working papers 1028, Bank of England.
• Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2023. ""Generalized Extreme Value Approximation to the CUMSUMQ Test for Constant Unconditional Variance in Heavy-Tailed Time Series"," IREA Working Papers 202309, University of Barcelona, Research Institute of Applied Economics, revised Jul 2023.
• Valentin Lourme, 2023. "analysis of the predictor of a volatility surface by machine learning [Analyse de la prédiction d'une nappe de volatilité par Machine Learning]," Post-Print hal-04151604, HAL.
• Item repec:cte:wsrepe:37973 is not listed on IDEAS anymore

• Laurens Van Mieghem & Antonis Papapantoleon & Jonas Papazoglou-Hennig, 2023. "Machine learning for option pricing: an empirical investigation of network architectures," Papers 2307.07657, arXiv.org.