Report NEP-RMG-2025-01-27

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:

• Guanyu Jin & Roger J. A. Laeven & Dick den Hertog & Aharon Ben-Tal, 2024, "Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $\phi$-Divergences Approach to Combat Tail Uncertainty," Papers, arXiv.org, number 2412.05234, Dec.
• Zong Ke & Yuchen Yin, 2024, "Tail Risk Alert Based on Conditional Autoregressive VaR by Regression Quantiles and Machine Learning Algorithms," Papers, arXiv.org, number 2412.06193, Dec, revised Aug 2025.
• Viral V. Acharya & Markus K. Brunnermeier & Diane Pierret, 2024, "Systemic Risk Measures: From the Panic of 1907 to the Banking Stress of 2023," NBER Working Papers, National Bureau of Economic Research, Inc, number 33211, Nov.
• Fu Lei & Ge Shi, 2024, "Research on Financial Multi-Asset Portfolio Risk Prediction Model Based on Convolutional Neural Networks and Image Processing," Papers, arXiv.org, number 2412.03618, Dec, revised Feb 2025.
• Andr'es Garc'ia-Medina, 2024, "High-dimensional covariance matrix estimators on simulated portfolios with complex structures," Papers, arXiv.org, number 2412.08756, Dec.
• Howard Caulfield & James P. Gleeson, 2024, "Systematic comparison of deep generative models applied to multivariate financial time series," Papers, arXiv.org, number 2412.06417, Dec.
• Guohui Guan & Zongxia Liang & Yi Xia, 2024, "Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets," Papers, arXiv.org, number 2412.09157, Dec.
• Zong Ke & Jingyu Xu & Zizhou Zhang & Yu Cheng & Wenjun Wu, 2024, "A Consolidated Volatility Prediction with Back Propagation Neural Network and Genetic Algorithm," Papers, arXiv.org, number 2412.07223, Dec, revised Aug 2025.
• Kasper Johansson & Stephen Boyd, 2024, "Simple and Effective Portfolio Construction with Crypto Assets," Papers, arXiv.org, number 2412.02654, Dec.
• Sahar Yarmohammadtoosky Dinesh Chowdary Attota, 2024, "Optimizing Fintech Marketing: A Comparative Study of Logistic Regression and XGBoost," Papers, arXiv.org, number 2412.16333, Dec.
• Yuhan Wang & Zhen Xu & Yue Yao & Jinsong Liu & Jiating Lin, 2024, "Leveraging Convolutional Neural Network-Transformer Synergy for Predictive Modeling in Risk-Based Applications," Papers, arXiv.org, number 2412.18222, Dec.
• Rik Ghosh & Arka Datta & Vidhi Aggarwal & Sudipan Sinha & Rajdeep Sengupta, 2024, "On-Chain Credit Risk Score in Decentralized Finance," Papers, arXiv.org, number 2412.00710, Dec, revised Mar 2025.
• Liwei Deng & Tianfu Wang & Yan Zhao & Kai Zheng, 2024, "MILLION: A General Multi-Objective Framework with Controllable Risk for Portfolio Management," Papers, arXiv.org, number 2412.03038, Dec.
• Sung Hoon Choi & Donggyu Kim, 2024, "Large Volatility Matrix Prediction using Tensor Factor Structure," Papers, arXiv.org, number 2412.04293, Dec, revised May 2025.
• Ulrich Horst & Wei Xu & Rouyi Zhang, 2024, "Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures," Papers, arXiv.org, number 2412.16436, Dec.
• Aurélien Alfonsi & Nerea Vadillo, 2023, "Risk valuation of quanto derivatives on temperature and electricity," Post-Print, HAL, number hal-04358505, DOI: 10.1080/1350486X.2024.2356554.
• Thomas F Epper & Helga Fehr-Duda, 2024, "RISK IN TIME: The Intertwined Nature of Risk Taking and Time Discounting," Post-Print, HAL, number hal-03473431, Feb, DOI: 10.1093/jeea/jvad041.
• Ziyue Shi & David Landriault & Fangda Liu, 2024, "Performance-based variable premium scheme and reinsurance design," Papers, arXiv.org, number 2412.01704, Dec, revised Jul 2025.
• Guohui Guan & Zongxia Liang & Yi Xia, 2024, "Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty," Papers, arXiv.org, number 2412.09171, Dec.
• Wenying Sun & Zhen Xu & Wenqing Zhang & Kunyuan Ma & You Wu & Mengfang Sun, 2024, "Advanced Risk Prediction and Stability Assessment of Banks Using Time Series Transformer Models," Papers, arXiv.org, number 2412.03606, Dec.
• Igor L. R. Azevedo & Toyotaro Suzumura, 2024, "From Votes to Volatility Predicting the Stock Market on Election Day," Papers, arXiv.org, number 2412.11192, Dec.
• Matias Quiroz & Laleh Tafakori & Hans Manner, 2024, "Forecasting realized covariances using HAR-type models," Papers, arXiv.org, number 2412.10791, Dec.
• Ruodu Wang & Qinyu Wu, 2024, "Prudence and higher-order risk attitudes in the rank-dependent utility model," Papers, arXiv.org, number 2412.15350, Dec, revised Sep 2025.
• Maria Teresa Medeiros Garcia & Carolina e Silva Correia de Carvalho, 2025, "Measuring Sentiment: The Impact on Financial Markets Volatility," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2025/0365, Jan.
• Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024, "Multivariate Rough Volatility," Papers, arXiv.org, number 2412.14353, Dec, revised Aug 2025.
• Zheng Cao & Helyette Geman, 2024, "A Hype-Adjusted Probability Measure for NLP Stock Return Forecasting," Papers, arXiv.org, number 2412.07587, Dec, revised Feb 2025.
• Kasper Johansson & Thomas Schmelzer & Stephen Boyd, 2024, "A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages," Papers, arXiv.org, number 2412.02660, Dec.
• Fengpei Li & Haoxian Chen & Jiahe Lin & Arkin Gupta & Xiaowei Tan & Honglei Zhao & Gang Xu & Yuriy Nevmyvaka & Agostino Capponi & Henry Lam, 2024, "Prediction-Enhanced Monte Carlo: A Machine Learning View on Control Variate," Papers, arXiv.org, number 2412.11257, Dec, revised Jun 2025.
• You Wu & Mengfang Sun & Hongye Zheng & Jinxin Hu & Yingbin Liang & Zhenghao Lin, 2024, "Integrative Analysis of Financial Market Sentiment Using CNN and GRU for Risk Prediction and Alert Systems," Papers, arXiv.org, number 2412.10199, Dec.
• Svetlana Boyarchenko & Sergei Levendorskiv{i}, 2024, "Correct implied volatility shapes and reliable pricing in the rough Heston model," Papers, arXiv.org, number 2412.16067, Dec.
• A. V. Kuliga & I. N. Shnurnikov, 2024, "Turnover of investment portfolio via covariance matrix of returns," Papers, arXiv.org, number 2412.03305, Dec.
• Ken-ichi Hashimoto & Ryonghun Im & Takuma Kunieda & Akihisa Shibata, 2025, "Relative Risk Aversion and Business Fluctuations," Discussion Paper Series, School of Economics, Kwansei Gakuin University, number 285, Jan.
• Siqiao Zhao & Dan Wang & Raphael Douady, 2024, "PolyModel for Hedge Funds' Portfolio Construction Using Machine Learning," Papers, arXiv.org, number 2412.11019, Dec.

Report NEP-RMG-2025-01-27

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: