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Report NEP-RMG-2025-05-12
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:
- Pascal Franc{c}ois & Genevi`eve Gauthier & Fr'ed'eric Godin & Carlos O. P'erez-Mendoza, 2025, "Deep Hedging with Options Using the Implied Volatility Surface," Papers, arXiv.org, number 2504.06208, Apr, revised Aug 2025.
- Fredy Pokou & Jules Sadefo Kamdem & Franc{c}ois Benhmad, 2025, "Bridging Econometrics and AI: VaR Estimation via Reinforcement Learning and GARCH Models," Papers, arXiv.org, number 2504.16635, Apr, revised Aug 2025.
- Daniel Gaigall & Stefan Weber, 2025, "Jointly Exchangeable Collective Risk Models: Interaction, Structure, and Limit Theorems," Papers, arXiv.org, number 2504.06287, Apr.
- Kewin Pk{a}czek & Damian Jelito & Marcin Pitera & Agnieszka Wy{l}oma'nska, 2025, "Statistical applications of the 20/60/20 rule in risk management and portfolio optimization," Papers, arXiv.org, number 2504.02840, Mar.
- , YingyingLiu & Wang, Mengmeng & , selfdef & Shui, Yan & Deng, Yao & Xue, Chenye & Mao, Tianxin & Rao, Hengyi, 2025, "Neither Adverse nor Propitious Selection: An Inverse U-shaped Relationship between Risk Preference and Insurance Purchase," OSF Preprints, Center for Open Science, number a543w_v1, Apr, DOI: 10.31219/osf.io/a543w_v1.
- Irma Alonso-Alvarez & Marina Diakonova & Javier J. Pérez, 2025, "Rethinking GPR: The sources of geopolitical risk," Working Papers, Banco de España, number 2522, May, DOI: https://doi.org/10.53479/39685.
- Gianluca Cafiso & Giulia Rivolta, 2025, "Spillovers Between Sovereign Bonds and the Banking Sector: Evidence from Italy," CESifo Working Paper Series, CESifo, number 11816.
- Jinhui Li & Wenjia Xie & Luis Seco, 2025, "Dynamic Investment Strategies Through Market Classification and Volatility: A Machine Learning Approach," Papers, arXiv.org, number 2504.02841, Mar.
- Yuna Heo & Steven Ongena, 2025, "Skilled Banker Mobility and Bank Default," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-34, Mar.
- Fangfang Wang & Florina Silaghi & Steven Ongena & Miguel García-Cestona, 2025, "ESG Ratings, ESG News Sentiment and Firm Credit Risk Perception," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-24, Mar.
- Sung Hoon Choi & Donggyu Kim, 2025, "Large Volatility Matrix Prediction using Tensor Factor Structure," Working Papers, University of California at Riverside, Department of Economics, number 202506, May.
- Chen, Yehning & Hasan, Iftekhar & Takalo, Tuomas, 2025, "Bank transparency, asset and liquidity risks," Bank of Finland Research Discussion Papers, Bank of Finland, number 4/2025.
- Thiemo Fetzer & Benjamin Guin & Felipe Netto & Farzad Saidi, 2025, "Insurers monitor shocks to collateral: micro evidence from mortgage‑backed securities," Bank of England working papers, Bank of England, number 1119, Feb.
- SeungJae Hwang, 2025, "A Mean-Reverting Model of Exchange Rate Risk Premium Using Ornstein-Uhlenbeck Dynamics," Papers, arXiv.org, number 2504.06028, Apr.
- Carola Müller & Matias Ossandon Busch & Miguel Sarmiento & Freddy Pinzon-Puerto, 2025, "Fragile wholesale deposits, liquidity risk, and banks' maturity transformation," BIS Working Papers, Bank for International Settlements, number 1263, Apr.
- Delfina Ricordi & Martín Sola & Fabio Spagnolo & Nicola Spagnolo, 2025, "Do Periods of Extreme Asset Price Volatility Signal the Beginning of a Recession? An International Comparison," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2025_03, Apr.
- George Woodman & Ruben S. Andrist & Thomas Haner & Damian S. Steiger & Martin J. A. Schuetz & Helmut G. Katzgraber & Marcin Detyniecki, 2025, "Modern Computational Methods in Reinsurance Optimization: From Simulated Annealing to Quantum Branch & Bound," Papers, arXiv.org, number 2504.16530, Apr, revised Apr 2025.
- Zinuo You & John Cartlidge & Karen Elliott & Menghan Ge & Daniel Gold, 2025, "Improving Bayesian Optimization for Portfolio Management with an Adaptive Scheduling," Papers, arXiv.org, number 2504.13529, Apr, revised Jan 2026.
- Stefan Avdjiev & Leonardo Gambacorta & Linda S. Goldberg & Stefano Schiaffi, 2025, "The Risk Sensitivity of Global Liquidity Flows: Heterogeneity, Evolution and Drivers," NBER Working Papers, National Bureau of Economic Research, Inc, number 33674, Apr.
- Afrasiab Mirza & Eric Stephens, 2024, "On the Over-Provision of Medical Insurance," Carleton Economic Papers, Carleton University, Department of Economics, number 25-02, Dec.
- Martín Sola & Fabio Spagnolo & Francisco Terfi, 2025, "Big swings in the data and perceived changes in the risk premia," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2025_02, Apr.
- JD Opdyke, 2025, "Beyond Correlation: Positive Definite Dependence Measures for Robust Inference, Flexible Scenarios, and Causal Modeling for Financial Portfolios," Papers, arXiv.org, number 2504.15268, Apr, revised Jan 2026.
- Masashige Hamano, 2025, "Heterogeneity in Tastes, Productivities, and Macroeconomic Volatility," Working Papers, Waseda University, Faculty of Political Science and Economics, number 2502, Apr.
- Brewer, Mike & Cominetti, Nye & Jenkins, Stephen P., 2025, "What do we know about income and earnings volatility?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 127659, May.