Report NEP-RMG-2025-03-24

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:

• Lei Zhao & Lin Cai & Wu-Sheng Lu, 2025. "Adaptive Nesterov Accelerated Distributional Deep Hedging for Efficient Volatility Risk Management," Papers 2502.17777, arXiv.org.
• Balint Negyesi & Cornelis W. Oosterlee, 2025. "A deep BSDE approach for the simultaneous pricing and delta-gamma hedging of large portfolios consisting of high-dimensional multi-asset Bermudan options," Papers 2502.11706, arXiv.org.
• Peter A. Forsyth & Yuying Li, 2025. "Risk Measures for DC Pension Plan Decumulation," Papers 2502.16364, arXiv.org.
• Yasmine Zouari & Aya Nasreddine, 2023. "Housing in the Greater Paris Area as an Inflation Hedge?," Post-Print hal-04956272, HAL.
• Item repec:osf:osfxxx:2u4jb_v1 is not listed on IDEAS anymore

• Lei Zhao & Lin Cai, 2025. "Robust and Efficient Deep Hedging via Linearized Objective Neural Network," Papers 2502.17757, arXiv.org.
• Cyril Bénézet & Stéphane Crépey, 2024. "Handling model risk with XVAs," Post-Print hal-03675291, HAL.
• Guanyu Jin & Roger J. A. Laeven & Dick den Hertog, 2025. "Robust Optimization of Rank-Dependent Models with Uncertain Probabilities," Papers 2502.11780, arXiv.org, revised Apr 2025.
• Item repec:osf:osfxxx:ahkd3_v1 is not listed on IDEAS anymore

• Arno Botha & Tanja Verster & Roland Breedt, 2025. "Modelling the term-structure of default risk under IFRS 9 within a multistate regression framework," Papers 2502.14479, arXiv.org, revised May 2025.
• Item repec:osf:osfxxx:h2yja_v1 is not listed on IDEAS anymore

• Yan Dolinksy & Xin Zhang, 2025. "Scaling Limits for Exponential Hedging in the Brownian Framework," Papers 2502.17186, arXiv.org.
• Item repec:osf:osfxxx:u5q97_v1 is not listed on IDEAS anymore

• Luiz Tavares & Jose Mazzon & Francisco Paletta & Fabio Barros, 2025. "Bankruptcy analysis using images and convolutional neural networks (CNN)," Papers 2502.15726, arXiv.org.
• Item repec:osf:osfxxx:sxmq2_v1 is not listed on IDEAS anymore

• Kristoffer Andersson & Alessandro Gnoatto, 2025. "Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis," Papers 2502.14766, arXiv.org, revised Feb 2025.
• Guanyuan Yu & Qing Li & Yu Zhao & Jun Wang & YiJun Chen & Shaolei Chen, 2025. "Utilizing Effective Dynamic Graph Learning to Shield Financial Stability from Risk Propagation," Papers 2502.13979, arXiv.org.
• Yan Zhang & Lin Chen & Yixiang Tian, 2025. "A Method for Evaluating the Interpretability of Machine Learning Models in Predicting Bond Default Risk Based on LIME and SHAP," Papers 2502.19615, arXiv.org.
• Enoch H. Kang & Hema Yoganarasimhan & Lalit Jain, 2025. "An Empirical Risk Minimization Approach for Offline Inverse RL and Dynamic Discrete Choice Model," Papers 2502.14131, arXiv.org, revised May 2025.
• Zheli Xiong, 2025. "Ensemble RL through Classifier Models: Enhancing Risk-Return Trade-offs in Trading Strategies," Papers 2502.17518, arXiv.org.
• Item repec:osf:osfxxx:8t7rx_v1 is not listed on IDEAS anymore

• Xiangyu Li & Yawen Zeng & Xiaofen Xing & Jin Xu & Xiangmin Xu, 2025. "HedgeAgents: A Balanced-aware Multi-agent Financial Trading System," Papers 2502.13165, arXiv.org.