Report NEP-RMG-2024-12-16

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:

• Xianhua Peng & Xiang Zhou & Bo Xiao & Yi Wu, 2024. "A Risk Sensitive Contract-unified Reinforcement Learning Approach for Option Hedging," Papers 2411.09659, arXiv.org.
• Tiantian Mao & Gilles Stupfler & Fan Yang, 2024. "Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks," Papers 2411.07212, arXiv.org.
• Christina Brinkmann, 2024. "Do Firms Hedge Human Capital?," ECONtribute Discussion Papers Series 343, University of Bonn and University of Cologne, Germany.
• Alfred Muller, 2024. "Some remarks on the effect of risk sharing and diversification for infinite mean risks," Papers 2411.10139, arXiv.org.
• Kenjiro Oya, 2024. "Deep Hedging Bermudan Swaptions," Papers 2411.10079, arXiv.org.
• Hengxin Cui & Ken Seng Tan & Fan Yang, 2024. "Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation," Papers 2411.06640, arXiv.org.
• Kamil Fortuna & Janusz Szwabi'nski, 2024. "The role of debt valuation factors in systemic risk assessment," Papers 2411.10386, arXiv.org, revised Nov 2024.
• Saija Toivonen, 2024. "Navigating Uncertainty: Exploring black swan events and their possible impacts on the real estate market environment," ERES eres2024-256, European Real Estate Society (ERES).
• Sayyed Faraz Mohseni & Hamid R. Arian & Jean-Franc{c}ois B'egin, 2024. "The lexical ratio: A new perspective on portfolio diversification," Papers 2411.06080, arXiv.org.
• Sydow, Matthias & Fukker, Gábor & Dubiel-Teleszynski, Tomasz & Franch, Fabio & Gründl, Helmut & Miccio, Debora & Pellegrino, Michela & Gallet, Sébastien & Kotronis, Stelios & Schlütter, Sebastian & So, 2024. "Banks and non-banks stressed: liquidity shocks and the mitigating role of insurance companies," Working Paper Series 3000, European Central Bank.
• Jan Dhaene & Rodrigue Kazzi & Emiliano A. Valdez, 2024. "Axiomatic characterizations of some simple risk-sharing rules," Papers 2411.06240, arXiv.org, revised Nov 2024.
• Sergio A. Correia & Stephan Luck & Emil Verner, 2024. "Why Do Banks Fail? The Predictability of Bank Failures," Liberty Street Economics 20241122, Federal Reserve Bank of New York.
• Alhassan S. Yasin & Prabdeep S. Gill, 2024. "Reinforcement Learning Framework for Quantitative Trading," Papers 2411.07585, arXiv.org.
• Jihyun Park & Andrey Sarantsev, 2024. "The VIX as Stochastic Volatility for Corporate Bonds," Papers 2410.22498, arXiv.org, revised Jan 2025.
• Kristina Trajkovic, 2023. "Risk management and money laundering supervision of virtual currency service providers," Working Papers Bulletin 17, National Bank of Serbia.
• Graham L. Giller, 2024. "Isotropic Correlation Models for the Cross-Section of Equity Returns," Papers 2411.08864, arXiv.org, revised Nov 2024.
• Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant & Julien Guilbert, 2024. "Automated Market Making: the case of Pegged Assets," Papers 2411.08145, arXiv.org.
• Maximilian Grimm, 2024. "The Effect of Monetary Policy on Systemic Bank Funding Stability," ECONtribute Discussion Papers Series 341, University of Bonn and University of Cologne, Germany.
• Hao Qin & Charlie Che & Ruozhong Yang & Liming Feng, 2024. "Robust and Fast Bass local volatility," Papers 2411.04321, arXiv.org.
• Sergio A. Correia & Stephan Luck & Emil Verner, 2024. "Why Do Banks Fail? Three Facts About Failing Banks," Liberty Street Economics 20241121, Federal Reserve Bank of New York.
• Bindseil, Ulrich & Marrazzo, Marco & Sauer, Stephan, 2024. "The impact of central bank digital currency on central bank profitability, risk-taking and capital," Occasional Paper Series 360, European Central Bank.