Report NEP-RMG-2023-09-25

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:

• Herbertsson, Alexander, 2023. "Risk management of stock portfolios with jumps at exogenous default events," Working Papers in Economics 836, University of Gothenburg, Department of Economics.
• Matthew Stuart & Cindy Yu & David A. Hennessy, 2023. "The Impact of Stocks on Correlations between Crop Yields and Prices and on Revenue Insurance Premiums using Semiparametric Quantile Regression," Papers 2308.11805, arXiv.org, revised Jun 2024.
• Marlon Moresco & M'elina Mailhot & Silvana M. Pesenti, 2023. "Uncertainty Propagation and Dynamic Robust Risk Measures," Papers 2308.12856, arXiv.org, revised Feb 2024.
• Olkhov, Victor, 2023. "Economic complexity limits accuracy of price probability predictions by gaussian distributions," MPRA Paper 118373, University Library of Munich, Germany.
• Marc Atkins & Christian Peitz, 2023. "The world's largest free trade agreement RCEP and its financial markets - A perspective on volatility and risk," Working Papers Dissertations 113, Paderborn University, Faculty of Business Administration and Economics.
• Juan Jose Francisco Miguelez & Cristin Buescu, 2023. "Analytical valuation of vulnerable derivative claims with bilateral cash flows under credit, funding and wrong-way risk," Papers 2308.10568, arXiv.org, revised Mar 2024.
• Giovanni Federico & Pablo Martinelli Lasheras, 2023. "Risk Management in Traditional Agriculture: Intercropping in Italian Wine Production," Working Papers 0233, European Historical Economics Society (EHES).
• Haiyan Liu & Bin Wang & Ruodu Wang & Sheng Chao Zhuang, 2023. "Distorted optimal transport," Papers 2308.11238, arXiv.org.
• Emma Kroell & Sebastian Jaimungal & Silvana M. Pesenti, 2023. "Optimal Robust Reinsurance with Multiple Insurers," Papers 2308.11828, arXiv.org, revised Oct 2024.
• Philipp Otto & Osman Dou{g}an & Suleyman Tac{s}p{i}nar & Wolfgang Schmid & Anil K. Bera, 2023. "Spatial and Spatiotemporal Volatility Models: A Review," Papers 2308.13061, arXiv.org.
• José E. Gutiérrez, 2023. "Optimal regulation of credit lines," Working Papers 2323, Banco de España.
• Nuno Cassola & Claudio Morana & Elisa Ossola, 2023. "Green risk in Europe," Working Paper series 23-14, Rimini Centre for Economic Analysis, revised Jun 2024.