Report NEP-RMG-2025-05-19

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Yuming Ma & Shintaro Sengoku & Kazuhide Nakata, 2025, "Realized Local Volatility Surface," Papers, arXiv.org, number 2504.15626, Apr, revised Apr 2025.
• Vasilios Plakandaras & Matteo Bonato & Rangan Gupta & Oguzhan Cepni, 2025, "Machine Learning and the Forecastability of Cross-Sectional Realized Variance: The Role of Realized Moments," Working Papers, University of Pretoria, Department of Economics, number 202518, Apr.
• Jingyi Wei & Steve Yang & Zhenyu Cui, 2025, "Unified GARCH-Recurrent Neural Network in Financial Volatility Forecasting," Papers, arXiv.org, number 2504.09380, Apr, revised Nov 2025.
• Bonesini, Ofelia & Jacquier, Antoine & Lacombe, Chloé, 2025, "A theoretical analysis of Guyon's toy volatility model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 127342, Jun.
• Fabienne Schmid & Daniel Oeltz, 2025, "Towards a fast and robust deep hedging approach," Papers, arXiv.org, number 2504.16436, Apr.
• Giacomo Zelbi & Leonardo Niccol`o Ialongo & Stefan Thurner, 2025, "Systemic risk mitigation in supply chains through network rewiring," Papers, arXiv.org, number 2504.12955, Apr, revised Apr 2025.
• Xiyue Han & Alexander Schied, 2025, "Universal portfolios in continuous time: an approach in pathwise It\^o calculus," Papers, arXiv.org, number 2504.11881, Apr, revised Aug 2025.
• Matt Darst & Sotirios Kokas & Alexandros Kontonikas & José-Luis Peydró & Alexandros Vardoulakis, 2025, "QE, Bank Liquidity Risk Management, and Non-Bank Funding: Evidence from U.S. Administrative Data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-030, Apr, DOI: 10.17016/FEDS.2025.030.
• Yingli Wang & Zhenyu Cui & Lingjiong Zhu, 2025, "Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing," Papers, arXiv.org, number 2503.18259, Mar, revised Dec 2025.
• Savita Pareek & Sujit K. Ghosh, 2025, "Semiparametric Dynamic Copula Models for Portfolio Optimization," Papers, arXiv.org, number 2504.12266, Apr.
• Markus Bibinger & Jun Yu & Chen Zhang, 2025, "Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion," Papers, arXiv.org, number 2504.15985, Apr.
• Fang, Dawei & Ke, Changxia & Kubitz, Greg & Liu, Yang & Noe, Thomas & Page, Lionel, 2025, "Winning ways: How rank-based incentives shape risk-taking decisions," Working Papers in Economics, University of Gothenburg, Department of Economics, number 855, May.
• Matteo Orlandini & Sebastiano Michele Zema & Mauro Napoletano & Giorgio Fagiolo, 2025, "A Network Approach to Volatility Diffusion and Forecasting in Global Financial Markets," GREDEG Working Papers, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France, number 2025-19, May.
• Charles I. Jones, 2025, "How Much Should We Spend to Reduce A.I.'s Existential Risk?," NBER Working Papers, National Bureau of Economic Research, Inc, number 33602, Mar.
• Marco Migueis & Sydney Peirce, 2025, "Effect of the GSIB surcharge on the systemic risk posed by the activities of GSIBs," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-029, Apr, DOI: 10.17016/FEDS.2025.029.
• Xiyue Han & Alexander Schied, 2025, "On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models," Papers, arXiv.org, number 2504.09276, Apr, revised Sep 2025.
• Davide Brignone & Luca Gambetti & Martino Ricci, 2025, "Geopolitical risk shocks: when size matters," Bank of England working papers, Bank of England, number 1118, Feb.
• Dror, David Mark, 2025, "A Mathematical Framework for Trust Dynamics in Small-Scale Risk-Sharing Communities," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 316140.
• Youngbin Lee & Yejin Kim & Juhyeong Kim & Suin Kim & Yongjae Lee, 2025, "LLM-Enhanced Black-Litterman Portfolio Optimization," Papers, arXiv.org, number 2504.14345, Apr, revised Oct 2025.
• Felix Fie{ss}inger & Mitja Stadje, 2025, "Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation," Papers, arXiv.org, number 2504.12851, Apr, revised Apr 2025.
• Item repec:osf:osfxxx:hnzpw_v1 is not listed on IDEAS anymore

• Ravi Jagannathan & Iwan Meier & Valeri Sokolovski, 2025, "Dirty Business: Transition Risk of Factor Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 33535, Feb.
• Brewer, Mike & Cominetti, Nye & Jenkins, Stephen P., 2025, "Unstable pay: new estimates of earnings volatility in the UK," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 127596, Mar.
• Katsuhito Nohara & Akira Hibiki & Shinsuke Uchida & Jun Yoshida, 2025, "Understanding Farmers’ Management Risk and Environmental Perceptions: Insights from Structural Equation Modeling and the New Ecological Paradigm," TUPD Discussion Papers, Graduate School of Economics and Management, Tohoku University, number 70, May.
• Zhe Fei & Scott Robertson, 2025, "Optimal Investment in Equity and Credit Default Swaps in the Presence of Default," Papers, arXiv.org, number 2504.08085, Apr.
• Camilo Gómez & Carlos Andrés Quicazán-Moreno & Hernando Vargas-Herrera, 2025, "Changes in the distribution of new loans by risk category throughout the post-pandemic credit cycle in Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 1313, May, DOI: 10.32468/be.1313.
• Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Elie Bouri, 2025, "Forecasting Spot and Futures Price Volatility of Agricultural Commodities: The Role of Climate-Related Migration Uncertainty," Working Papers, University of Pretoria, Department of Economics, number 202516, Apr.
• Martina Halouskov'a & v{S}tefan Ly'ocsa, 2025, "Forecasting U.S. equity market volatility with attention and sentiment to the economy," Papers, arXiv.org, number 2503.19767, Mar.
• Zongxiao Wu & Yizhe Dong & Yaoyiran Li & Baofeng Shi, 2025, "Unleashing the power of text for credit default prediction: Comparing human-written and generative AI-refined texts," Papers, arXiv.org, number 2503.18029, Mar.
• Hiroshi Oishi & Eisuke Kobayashi & Yoshihiko Sugihara, 2025, "Recent Developments in Non-Bank Financial Intermediation and Initiatives to Enhance Its Resilience," Bank of Japan Review Series, Bank of Japan, number 25-E-6, May.
• Dario Crisci & Sebastian E. Ferrando & Konrad Gajewski, 2025, "Agent-Based Models for Two Stocks with Superhedging," Papers, arXiv.org, number 2503.18165, Mar.
• Bruno Bouchard & Xiaolu Tan, 2025, "Unbiased simulation of Asian options," Papers, arXiv.org, number 2504.16349, Apr, revised Oct 2025.

Report NEP-RMG-2025-05-19

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: