Report NEP-RMG-2025-02-03

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:

• Qiqi Li & Wei Wang & Yiying Zhang, 2024, "Self-protection and insurance demand with convex premium principles," Papers, arXiv.org, number 2411.19436, Nov, revised Feb 2025.
• Ling Chen, 2024, "Risk Management with Feature-Enriched Generative Adversarial Networks (FE-GAN)," Papers, arXiv.org, number 2411.15519, Nov.
• Jiahao Zhu & Hengzhi Wu, 2024, "Dynamic ETF Portfolio Optimization Using enhanced Transformer-Based Models for Covariance and Semi-Covariance Prediction(Work in Progress)," Papers, arXiv.org, number 2411.19649, Nov.
• H'el`ene Cossette & Benjamin C^ot'e & Alexandre Dubeau & Etienne Marceau, 2024, "On a risk model with tree-structured Poisson Markov random field frequency, with application to rainfall events," Papers, arXiv.org, number 2412.00607, Nov, revised Sep 2025.
• Alessandro Bondi & Sergio Pulido & Simone Scotti, 2024, "The rough Hawkes Heston stochastic volatility model," Post-Print, HAL, number hal-03827332, Mar.
• Mario Ghossoub & Qinghua Ren & Ruodu Wang, 2024, "Counter-monotonic Risk Sharing with Heterogeneous Distortion Risk Measures," Papers, arXiv.org, number 2412.00655, Nov.
• Peter Albrecht & Evžen Kočenda, 2025, "Event-Driven Changes in Volatility Connectedness in Global Forex Markets," CESifo Working Paper Series, CESifo, number 11606.
• Bo Yuan & Damiano Brigo & Antoine Jacquier & Nicola Pede, 2024, "Deep learning interpretability for rough volatility," Papers, arXiv.org, number 2411.19317, Nov.
• Fengler, Matthias & Koeniger, Winfried & Minger, Stephan, 2024, "The transmission of monetary policy to the cost of hedging," CFS Working Paper Series, Center for Financial Studies (CFS), number 726.
• Kun Liu & Jin Zhao, 2024, "KACDP: A Highly Interpretable Credit Default Prediction Model," Papers, arXiv.org, number 2411.17783, Nov.
• Arnone, Massimo & Costantiello, Alberto & Leogrande, Angelo, 2025, "Analyzing Risk Exposure Determinants in European Banking: A Regulatory Perspective," OSF Preprints, Center for Open Science, number 2u4jb, Jan, DOI: 10.31219/osf.io/2u4jb.
• Chaitanya Joshi & Jinming Yang & Sergeja Slapnicar & Ryan K L Ko, 2024, "Contrasting the optimal resource allocation to cybersecurity and cyber insurance using prospect theory versus expected utility theory," Papers, arXiv.org, number 2411.18838, Nov.
• Qianli Zhao & Chao Wang & Richard Gerlach & Giuseppe Storti & Lingxiang Zhang, 2024, "Autoencoder Enhanced Realised GARCH on Volatility Forecasting," Papers, arXiv.org, number 2411.17136, Nov.
• Mr. Augusto Azael Pérez Azcárraga & José M García-Sanjinés & Rossana A San Juan & Selvin A Lemus & Philip R Wood & Mr. Robert Kokoli, 2025, "Developing a Risk-Based Compliance Improvement Plan for Customs Administrations," IMF Technical Notes and Manuals, International Monetary Fund, number 2025/002, Jan.
• Stella C. Dong & James R. Finlay, 2025, "A Hybrid Framework for Reinsurance Optimization: Integrating Generative Models and Reinforcement Learning," Papers, arXiv.org, number 2501.06404, Jan.
• Jialun Cao & David v{S}iv{s}ka, 2024, "Ergodic optimal liquidations in DeFi," Papers, arXiv.org, number 2411.19637, Nov.
• Abraham Atsiwo & Andrey Sarantsev, 2024, "Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index," Papers, arXiv.org, number 2411.19444, Nov, revised Dec 2024.
• Antony Millner, 2024, "Long Run Cost Benefit Rules," NBER Working Papers, National Bureau of Economic Research, Inc, number 33291, Dec.
• Pérez Velilla, Alejandro & Beheim, Bret & Smaldino, Paul E., 2025, "The Development of Risk Attitudes and their Cultural Transmission," SocArXiv, Center for Open Science, number 9yjes, Jan, DOI: 10.31219/osf.io/9yjes.
• Bernhard K Meister, 2024, "Application of the Kelly Criterion to Prediction Markets," Papers, arXiv.org, number 2412.14144, Dec.
• de Castro, Luciano & Frischtak, Claudio & Rodrigues, Arthur, 2025, "How to deal with exchange rate risk in infrastructure and other long-lived projects," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 126881, Feb.
• Florig, Michael & Gossner, Olivier, 2024, "Market equilibrium with management costs and implications for insurance accounting," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 125396, Dec.
• Igor Martins & Hedibert Freitas Lopes, 2024, "What events matter for exchange rate volatility ?," Papers, arXiv.org, number 2411.16244, Nov.
• Antonello Cirulli & Gianluca De Nard & Joshua Traut & Patrick Walker, 2025, "Low risk, high variability: practical guide for portfolio construction," ECON - Working Papers, Department of Economics - University of Zurich, number 463, Jan, revised Nov 2025.
• Samantha Ajovalasit & Andrea Consiglio & Giovanni Pagliardi & Stavros Zenios, 2025, "Are bad governments a threat to sovereign defaults? The effects of political risk on debt sustainability," Bruegel Working Papers, Bruegel, number node_10592, Jan.
• Ken-ichi Hashimoto & Ryonghun Im & Takuma Kunieda & Akihisa Shibata, 2025, "Relative Risk Aversion and Business Fluctuations," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 1272, Jan.
• Ms. Elena D'Agosto & Michael A Hardy & Stefano Pisani & Anthony Siouclis, 2025, "Using Top-Down Compliance Gap Techniques to Supplement the Compliance Risk Management Framework," IMF Technical Notes and Manuals, International Monetary Fund, number 2025/003, Jan.
• Olaniran, Abeeb & Akanni, Lateef & Salisu, Afees, 2024, "Migration fears and exchange rate volatility in France, Germany, and the UK: A GARCH-MIDAS framework," MPRA Paper, University Library of Munich, Germany, number 123196, Nov.
• José Andrée Camarena & Juan Pablo Medina & Daniel Riera-Crichton & Carlos A. Vegh & Guillermo Vuletin, 2025, "We Are Not in a Gaussian World Anymore: Implications for the Composition of Official Foreign Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 33366, Jan.
• Jingchu Zhang, 2025, "Empirical Study on the Factors Influencing Stock Market Volatility in China," Papers, arXiv.org, number 2501.08668, Jan.
• Huy N. Chau & Miklos Rasonyi, 2024, "A general framework for pricing and hedging under local viability," Papers, arXiv.org, number 2411.19206, Nov.
• Laura Recuero Virto & Adrien Comte & Linwood Pendleton, 2024, "In support of decision-making: Assessing and monitoring the social and ecological vulnerability of coral reef-dependent socio-ecosystems : policy brief
  [Aide à la prise de décision : évaluation et ," Post-Print, HAL, number hal-04851832, Nov.

Report NEP-RMG-2025-02-03

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: