Report NEP-RMG-2025-01-13

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley 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:

• Hansjoerg Albrecher & Michel M. Dacorogna, 2024, "Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-73, Feb.
• Peng Liu & Tiantian Mao & Ruodu Wang, 2024, "Quantiles under ambiguity and risk sharing," Papers, arXiv.org, number 2412.19546, Dec.
• Gauch, Kevin, 2024, "Risk Disclosure and Related Assurance Services," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 150929, Dec.
• Nico Herrig, 2025, "Risk forecasting using Long Short-Term Memory Mixture Density Networks," Papers, arXiv.org, number 2501.01278, Jan.
• Lorenzo Frattarolo, 2024, "Copula Central Asymmetry of Equity Portfolios," Papers, arXiv.org, number 2501.00634, Dec, revised Jan 2025.
• Jie Cao & Amit Goyal & Yajing (Stella) Wang & Xintong Zhan & Weiming Elaine Zhang, 2024, "Opioid Crisis and Firm Downside Tail Risks: Evidence from the Option Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-74, Oct.
• Wenjie Lan, 2024, "A Dynamic Spillover Effect Investigation on Cryptocurrency Market Before and After Pandemic," Papers, arXiv.org, number 2412.19983, Dec.
• Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2024, "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-03902513, Nov.
• Radoslav Raykov, 2024, "Is This Normal? The Cost of Assuming that Derivatives Have Normal Returns," Staff Working Papers, Bank of Canada, number 24-46, Nov, DOI: 10.34989/swp-2024-46.
• Kagerer, B., 2024, "Geopolitics and corporate risk: Evidence from EU-Russia conflict shocks," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2471, Dec.
• Chengyue Huang & Yahe Yang, 2024, "Time Series Feature Redundancy Paradox: An Empirical Study Based on Mortgage Default Prediction," Papers, arXiv.org, number 2501.00034, Dec.
• Xu, Yongdeng, 2024, "Extended multivariate EGARCH model: A model for zero†return and negative spillovers," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2024/24, Dec.
• Daniel Barth & Phillip J. Monin & Emil N. Siriwardane & Adi Sunderam, 2024, "Hidden Risk," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2024-098, Dec, DOI: 10.17016/FEDS.2024.098.
• Laura Alfaro & Saleem Bahaj & Robert Czech & Jonathon Hazell & Ioana Neamtu, 2024, "LASH risk and Interest Rates," Discussion Papers, Centre for Macroeconomics (CFM), number 2443, Dec.
• Mukashov, A., 2023, "Parameter uncertainty in policy planning models: Using portfolio management methods to choose optimal policies under world market volatility," Open Access Publications from Kiel Institute for the World Economy, Kiel Institute for the World Economy (IfW Kiel), number 307023.
• Matias Quiroz & Laleh Tafakori & Hans Manner, 2024, "Forecasting Realized Covariances Using HAR-Type Models," Graz Economics Papers, University of Graz, Department of Economics, number 2024-20, Dec.
• Fulvia Fringuellotti & Thomas Kroen, 2025, "Do Payout Restrictions Reduce Bank Risk?," Liberty Street Economics, Federal Reserve Bank of New York, number 20250108, Jan.
• Isaak, Niklas & Jessen, Robin, 2024, "Moderation in Higher-Order Earnings Risk? Evidence from German Cohorts," IZA Discussion Papers, Institute of Labor Economics (IZA), number 17568, Dec.
• Ofelia Bonesini & Emilio Ferrucci & Ioannis Gasteratos & Antoine Jacquier, 2024, "Rough differential equations for volatility," Papers, arXiv.org, number 2412.21192, Dec.
• Lee, Heungmin, 2025, "Unleashing the Potential of Large Language Models in the Finance Industry," OSF Preprints, Center for Open Science, number ahkd3, Jan, DOI: 10.31219/osf.io/ahkd3.
• Fengler, Matthias & Koeniger, Winfried & Minger, Stephan, 2025, "The Transmission of Monetary Policy to the Cost of Hedging," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 2501, Jan.
• Francesco Audrino & Jessica Gentner & Simon Stalder, 2024, "Quantifying Uncertainty: A New Era of Measurement through Large Language Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-68, Aug.
• Herbst, Tobias & Plaasch, Jannick & Stammwitz, Florian, 2024, "A price-at-risk approach for the German commercial real estate market," Technical Papers, Deutsche Bundesbank, number 08/2024.
• Lorenzo Bretscher & Aytek Malkhozov & Andrea Tamoni & Haoxi Yang, 2024, "Distorted Beliefs and Asset Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-66, Oct.
• Jens Hilscher & Alon Raviv & Ricardo Reis, 2024, "How likely is an inflation disaster?," Discussion Papers, Centre for Macroeconomics (CFM), number 2437, Sep.
• Carol C. Bertaut & Stephanie E. Curcuru & Ester Faia & Pierre-Olivier Gourinchas, 2024, "New Evidence on the US Excess Return on Foreign Portfolios," IMF Working Papers, International Monetary Fund, number 2024/241, Nov.
• Wolf Wagner & Jing Zeng, 2024, "Too-Many-To-Fail and the Design of Bailout Regimes," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2024_613, Nov.
• Abdollah Rida, 2024, "Machine and Deep Learning for Credit Scoring: A compliant approach," Papers, arXiv.org, number 2412.20225, Dec.
• Tomer Ifergane, 2024, "Concentrated Risk: Misallocation and Granular Business Cycles," Discussion Papers, Centre for Macroeconomics (CFM), number 2438, Sep.
• Yijia Xiao & Edward Sun & Di Luo & Wei Wang, 2024, "TradingAgents: Multi-Agents LLM Financial Trading Framework," Papers, arXiv.org, number 2412.20138, Dec, revised Jun 2025.
• Bernardus Van Doornik & Armando Gomes & David Schoenherr & Janis Skrastins, 2024, "Savings-and-Credit Contracts," Working Papers Series, Central Bank of Brazil, Research Department, number 610, Dec.
• Jorge P. Zubelli & Kuldeep Singh & Vinicius Albani & Ioannis Kourakis, 2024, "Travelling wave solutions of an equation of Harry Dym type arising in the Black-Scholes framework," Papers, arXiv.org, number 2412.19020, Dec, revised May 2025.
• Ponthiere, Gregory, 2024, "Higher Education Subsidies and the Universal Insurance against a Short Life," GLO Discussion Paper Series, Global Labor Organization (GLO), number 1528.
• Paulo M.M. Rodrigues & Nicolau João, 2024, "A simple but powerful tail index regression," Working Papers, Banco de Portugal, Economics and Research Department, number w202412.
• De Polis, Andrea & Melosi, Leonardo & Petrella, Ivan, 2024, "The Taming of the Skew : Asymmetric Inflation Risk and Monetary Policy," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 1530.
• Dan Li & Phillip J. Monin & Lubomir Petrasek, 2024, "Credit Supply and Hedge Fund Performance: Evidence from Prime Broker Surveys," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2024-089, Nov, DOI: 10.17016/FEDS.2024.089.
• Kramer, Berber & Pattnaik, Subhransu & Ward, Patrick S. & Xu, Yingchen, 2024, "Impacts of an innovative credit + insurance bundle for marginalized farmers: Evidence from a cluster randomized trial in Odisha, India," IFPRI discussion papers, International Food Policy Research Institute (IFPRI), number 2288.
• Denisa Millo & Blerina Vika & Nevila Baci, 2024, "Integrating Natural Language Processing Techniques of Text Mining Into Financial System: Applications and Limitations," Papers, arXiv.org, number 2412.20438, Dec.
• Gordon Anderson & Oliver Linton, 2024, "Should Expected or Most Likely Returns be the Focus in Investment Decisions? Introducing “Most Likely†Versions of Sharpe and Sortino Ratios," Working Papers, University of Toronto, Department of Economics, number tecipa-787, Dec.
• Jourdan, Sara, 2024, "From Assistance to Empowerment: Human-AI Collaboration in High-Risk Decision Making," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 150768, Nov.

Report NEP-RMG-2025-01-13

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-RMG

The following items were announced in this report: