Report NEP-RMG-2025-05-05

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:

• Ana I. C. Pereda, 2025. "Systemic Risk and Default Cascades in Global Equity Markets: Extending the Gai-Kapadia Framework with Stochastic Simulations and Network Analysis," Papers 2504.01969, arXiv.org, revised Apr 2025.
• Amin Haeri & Jonathan Vitrano & Mahdi Ghelichi, 2025. "Generative AI Enhanced Financial Risk Management Information Retrieval," Papers 2504.06293, arXiv.org, revised Apr 2025.
• Travis Cable & Amir Mani & Wei Qi & Georgios Sotiropoulos & Yiyuan Xiong, 2025. "On the Efficacy of Shorting Corporate Bonds as a Tail Risk Hedging Solution," Papers 2504.06289, arXiv.org.
• Ojo, Marianne, 2025. "Financial regulation and risk management: addressing risk challenges in a changing financial environment," MPRA Paper 124358, University Library of Munich, Germany, revised Jun 2025.
• Emma Kroell & Sebastian Jaimungal & Silvana M. Pesenti, 2025. "Model Ambiguity in Risk Sharing with Monotone Mean-Variance," Papers 2504.02987, arXiv.org.
• Gita Gopinath & Josefin Meyer & Carmen Reinhart & Christoph Trebesch, 2025. "Sovereign vs. Corporate Debt and Default: More Similar than You Think," CESifo Working Paper Series 11799, CESifo.
• Item repec:osf:socarx:2dazg_v2 is not listed on IDEAS anymore

• Marco Migueis, 2025. "Outlining and Measuring the Benefits of Risk Sensitivity in Bank Capital Requirements," FEDS Notes 2025-03-28-3, Board of Governors of the Federal Reserve System (U.S.).
• Andrei Neagu & Fr'ed'eric Godin & Leila Kosseim, 2025. "Deep Reinforcement Learning Algorithms for Option Hedging," Papers 2504.05521, arXiv.org, revised Apr 2025.
• Chow, Nikolai Sheung-Chi, 2025. "Risk Measures and Portfolio Choices for Gain-Loss Dependent Objectives," MPRA Paper 124440, University Library of Munich, Germany.
• Claudia Kluppelberg & Mario Krali, 2025. "Causal analysis of extreme risk in a network of industry portfolios," Papers 2504.00523, arXiv.org.
• Alejandro Rodriguez Dominguez, 2025. "Causal Portfolio Optimization: Principles and Sensitivity-Based Solutions," Papers 2504.05743, arXiv.org, revised Apr 2025.
• Stéphane Crépey & Noufel Frikha & Azar Louzi & Gilles Pagès, 2023. "Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall," Post-Print hal-04304985, HAL.
• Markus Bibinger & Jun Yu & Chen Zhang, 2025. "Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion," Working Papers 202528, University of Macau, Faculty of Business Administration.
• Agustin Mu~noz Gonzalez & Juan Ignacio Sequeira & Ariel Dembling, 2025. "Pool Value Replication (CPM) and Impermanent Loss Hedging," Papers 2503.21967, arXiv.org.
• Mario Ghossoub & Bin Li & Benxuan Shi, 2025. "Optimal Insurance in a Monopoly: Dual Utilities with Hidden Risk Attitudes," Papers 2504.01095, arXiv.org.
• Stefan Avdjiev & Leonardo Gambacorta & Linda S Goldberg & Stefano Schiaffi, 2025. "The risk sensitivity of global liquidity flows: Heterogeneity, evolution and drivers," BIS Working Papers 1262, Bank for International Settlements.
• Buchetti, Bruno & Bouteska, Ahmed & Harasheh, Murad & Santoni, Alessandro, 2025. "Investor sentiment and dynamic connectedness in European markets: insights from the covid-19 and Russia-Ukraine conflict," Working Paper Series 3050, European Central Bank.
• Brewer, Mike & Cominetti, Nye & Jenkins, Stephen P., 2025. "What Do We Know About Income and Earnings Volatility?," IZA Discussion Papers 17808, Institute of Labor Economics (IZA).
• Hamed Farahani & R. A. Serota, 2025. "Asymmetry in Distributions of Accumulated Gains and Losses in Stock Returns," Papers 2503.24241, arXiv.org.
• Černý, Aleš & Czichowsky, Christoph, 2025. "The law of one price in quadratic hedging and mean–variance portfolio selection," LSE Research Online Documents on Economics 125805, London School of Economics and Political Science, LSE Library.
• Sydney Carlino & Nathan Foley-Fisher & Nathan Heinrich & Stéphane Verani, 2025. "Life Insurers’ Role in the Intermediation Chain of Public and Private Credit to Risky Firms," FEDS Notes 2025-03-21-1, Board of Governors of the Federal Reserve System (U.S.).
• Dzemski, Andreas & Farago, Adam & Hjalmarsson, Erik & Kiss, Tamas, 2025. "Long-Run Stock Return Distributions: Empirical Inference and Uncertainty," Working Papers in Economics 853, University of Gothenburg, Department of Economics.