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. 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:

• 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 2504.06208, arXiv.org, revised Apr 2025.
• Fredy Pokou & Jules Sadefo Kamdem & Franc{c}ois Benhmad, 2025. "Bridging Econometrics and AI: VaR Estimation via Reinforcement Learning and GARCH Models," Papers 2504.16635, arXiv.org.
• Daniel Gaigall & Stefan Weber, 2025. "Jointly Exchangeable Collective Risk Models: Interaction, Structure, and Limit Theorems," Papers 2504.06287, arXiv.org.
• 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 2504.02840, arXiv.org.
• , 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 a543w_v1, Center for Open Science.
• Irma Alonso-Alvarez & Marina Diakonova & Javier J. Pérez, 2025. "Rethinking GPR: The sources of geopolitical risk," Working Papers 2522, Banco de España.
• Gianluca Cafiso & Giulia Rivolta, 2025. "Spillovers Between Sovereign Bonds and the Banking Sector: Evidence from Italy," CESifo Working Paper Series 11816, CESifo.
• Jinhui Li & Wenjia Xie & Luis Seco, 2025. "Dynamic Investment Strategies Through Market Classification and Volatility: A Machine Learning Approach," Papers 2504.02841, arXiv.org.
• Yuna Heo & Steven Ongena, 2025. "Skilled Banker Mobility and Bank Default," Swiss Finance Institute Research Paper Series 25-34, Swiss Finance Institute.
• 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 25-24, Swiss Finance Institute.
• Sung Hoon Choi & Donggyu Kim, 2025. "Large Volatility Matrix Prediction using Tensor Factor Structure," Working Papers 202506, University of California at Riverside, Department of Economics.
• Chen, Yehning & Hasan, Iftekhar & Takalo, Tuomas, 2025. "Bank transparency, asset and liquidity risks," Bank of Finland Research Discussion Papers 4/2025, Bank of Finland.
• 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 1119, Bank of England.
• SeungJae Hwang, 2025. "A Mean-Reverting Model of Exchange Rate Risk Premium Using Ornstein-Uhlenbeck Dynamics," Papers 2504.06028, arXiv.org.
• Carola Müller & Matias Ossandon Busch & Miguel Sarmiento & Freddy Pinzon-Puerto, 2025. "Fragile wholesale deposits, liquidity risk, and banks' maturity transformation," BIS Working Papers 1263, Bank for International Settlements.
• 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 2025_03, Universidad Torcuato Di Tella.
• 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 2504.16530, arXiv.org, revised Apr 2025.
• Zinuo You & John Cartlidge & Karen Elliott & Menghan Ge & Daniel Gold, 2025. "Risk-aware black-box portfolio construction using Bayesian optimization with adaptive weighted Lagrangian estimator," Papers 2504.13529, arXiv.org.
• Stefan Avdjiev & Leonardo Gambacorta & Linda S. Goldberg & Stefano Schiaffi, 2025. "The Risk Sensitivity of Global Liquidity Flows: Heterogeneity, Evolution and Drivers," NBER Working Papers 33674, National Bureau of Economic Research, Inc.
• Afrasiab Mirza & Eric Stephens, 2024. "On the Over-Provision of Medical Insurance," Carleton Economic Papers 25-02, Carleton University, Department of Economics.
• Martín Sola & Fabio Spagnolo & Francisco Terfi, 2025. "Big swings in the data and perceived changes in the risk premia," Department of Economics Working Papers 2025_02, Universidad Torcuato Di Tella.
• JD Opdyke, 2025. "Beating the Correlation Breakdown: Robust Inference, Flexible Scenarios, and Stress Testing for Financial Portfolios," Papers 2504.15268, arXiv.org, revised Jun 2025.
• Masashige Hamano, 2025. "Heterogeneity in Tastes, Productivities, and Macroeconomic Volatility," Working Papers 2502, Waseda University, Faculty of Political Science and Economics.
• Brewer, Mike & Cominetti, Nye & Jenkins, Stephen P., 2025. "What do we know about income and earnings volatility?," LSE Research Online Documents on Economics 127659, London School of Economics and Political Science, LSE Library.