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. 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:

• 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, arXiv.org, number 2504.01969, Mar, revised Apr 2025.
• Amin Haeri & Jonathan Vitrano & Mahdi Ghelichi, 2025, "Generative AI Enhanced Financial Risk Management Information Retrieval," Papers, arXiv.org, number 2504.06293, Apr, 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, arXiv.org, number 2504.06289, Apr.
• Ojo, Marianne, 2025, "Financial regulation and risk management: addressing risk challenges in a changing financial environment," MPRA Paper, University Library of Munich, Germany, number 124358, Apr, revised Jun 2025.
• Emma Kroell & Sebastian Jaimungal & Silvana M. Pesenti, 2025, "Model Combination in Risk Sharing under Ambiguity," Papers, arXiv.org, number 2504.02987, Apr, revised Jan 2026.
• Gita Gopinath & Josefin Meyer & Carmen Reinhart & Christoph Trebesch, 2025, "Sovereign vs. Corporate Debt and Default: More Similar than You Think," CESifo Working Paper Series, CESifo, number 11799.
• 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, Board of Governors of the Federal Reserve System (U.S.), number 2025-03-28-3, Mar, DOI: 10.17016/2380-7172.3700.
• Andrei Neagu & Fr'ed'eric Godin & Leila Kosseim, 2025, "Deep Reinforcement Learning Algorithms for Option Hedging," Papers, arXiv.org, number 2504.05521, Apr, revised Apr 2025.
• Chow, Nikolai Sheung-Chi, 2025, "Risk Measures and Portfolio Choices for Gain-Loss Dependent Objectives," MPRA Paper, University Library of Munich, Germany, number 124440, Apr.
• Claudia Kluppelberg & Mario Krali, 2025, "Causal analysis of extreme risk in a network of industry portfolios," Papers, arXiv.org, number 2504.00523, Apr, revised Sep 2025.
• Alejandro Rodriguez Dominguez, 2025, "Causal Portfolio Optimization: Principles and Sensitivity-Based Solutions," Papers, arXiv.org, number 2504.05743, Apr, 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, number hal-04304985, Nov, DOI: 10.1214/24-EJP1246.
• Markus Bibinger & Jun Yu & Chen Zhang, 2025, "Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion," Working Papers, University of Macau, Faculty of Business Administration, number 202528, Apr.
• Agustin Mu~noz Gonzalez & Juan Ignacio Sequeira & Ariel Dembling, 2025, "Pool Value Replication (CPM) and Impermanent Loss Hedging," Papers, arXiv.org, number 2503.21967, Mar.
• Mario Ghossoub & Bin Li & Benxuan Shi, 2025, "Optimal Insurance in a Monopoly: Dual Utilities with Hidden Risk Attitudes," Papers, arXiv.org, number 2504.01095, Apr.
• Stefan Avdjiev & Leonardo Gambacorta & Linda S Goldberg & Stefano Schiaffi, 2025, "The risk sensitivity of global liquidity flows: Heterogeneity, evolution and drivers," BIS Working Papers, Bank for International Settlements, number 1262, Apr.
• 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, European Central Bank, number 3050, Apr.
• Brewer, Mike & Cominetti, Nye & Jenkins, Stephen P., 2025, "What Do We Know About Income and Earnings Volatility?," IZA Discussion Papers, Institute of Labor Economics (IZA), number 17808, Mar.
• Hamed Farahani & R. A. Serota, 2025, "Asymmetry in Distributions of Accumulated Gains and Losses in Stock Returns," Papers, arXiv.org, number 2503.24241, Mar.
• Černý, Aleš & Czichowsky, Christoph, 2025, "The law of one price in quadratic hedging and mean–variance portfolio selection," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 125805, Jun.
• 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, Board of Governors of the Federal Reserve System (U.S.), number 2025-03-21-1, Mar, DOI: 10.17016/2380-7172.3691.
• Dzemski, Andreas & Farago, Adam & Hjalmarsson, Erik & Kiss, Tamas, 2025, "Long-Run Stock Return Distributions: Empirical Inference and Uncertainty," Working Papers in Economics, University of Gothenburg, Department of Economics, number 853, Apr.

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. 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: