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. 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:

• Yuming Ma & Shintaro Sengoku & Kazuhide Nakata, 2025. "Realized Local Volatility Surface," Papers 2504.15626, arXiv.org, 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 202518, University of Pretoria, Department of Economics.
• Jingyi Wei & Steve Yang & Zhenyu Cui, 2025. "Integrated GARCH-GRU in Financial Volatility Forecasting," Papers 2504.09380, arXiv.org.
• Bonesini, Ofelia & Jacquier, Antoine & Lacombe, Chloé, 2025. "A theoretical analysis of Guyon's toy volatility model," LSE Research Online Documents on Economics 127342, London School of Economics and Political Science, LSE Library.
• Fabienne Schmid & Daniel Oeltz, 2025. "Towards a fast and robust deep hedging approach," Papers 2504.16436, arXiv.org.
• Giacomo Zelbi & Leonardo Niccol`o Ialongo & Stefan Thurner, 2025. "Systemic risk mitigation in supply chains through network rewiring," Papers 2504.12955, arXiv.org, revised Apr 2025.
• Xiyue Han & Alexander Schied, 2025. "Universal portfolios in continuous time: an approach in pathwise It\^o calculus," Papers 2504.11881, arXiv.org, revised Apr 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 2025-030, Board of Governors of the Federal Reserve System (U.S.).
• Yingli Wang & Zhenyu Cui, 2025. "Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR($\infty$) processes and applications," Papers 2503.18259, arXiv.org, revised Apr 2025.
• Savita Pareek & Sujit K. Ghosh, 2025. "Semiparametric Dynamic Copula Models for Portfolio Optimization," Papers 2504.12266, arXiv.org.
• Markus Bibinger & Jun Yu & Chen Zhang, 2025. "Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion," Papers 2504.15985, arXiv.org.
• 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 855, University of Gothenburg, Department of Economics.
• 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 2025-19, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
• Charles I. Jones, 2025. "How Much Should We Spend to Reduce A.I.'s Existential Risk?," NBER Working Papers 33602, National Bureau of Economic Research, Inc.
• 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 2025-029, Board of Governors of the Federal Reserve System (U.S.).
• Xiyue Han & Alexander Schied, 2025. "On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models," Papers 2504.09276, arXiv.org.
• Davide Brignone & Luca Gambetti & Martino Ricci, 2025. "Geopolitical risk shocks: when size matters," Bank of England working papers 1118, Bank of England.
• Dror, David Mark, 2025. "A Mathematical Framework for Trust Dynamics in Small-Scale Risk-Sharing Communities," EconStor Preprints 316140, ZBW - Leibniz Information Centre for Economics.
• Youngbin Lee & Yejin Kim & Suin Kim & Yongjae Lee, 2025. "Integrating LLM-Generated Views into Mean-Variance Optimization Using the Black-Litterman Model," Papers 2504.14345, arXiv.org.
• Felix Fie{ss}inger & Mitja Stadje, 2025. "Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation," Papers 2504.12851, arXiv.org, 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 33535, National Bureau of Economic Research, Inc.
• Brewer, Mike & Cominetti, Nye & Jenkins, Stephen P., 2025. "Unstable pay: new estimates of earnings volatility in the UK," LSE Research Online Documents on Economics 127596, London School of Economics and Political Science, LSE Library.
• 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 70, Graduate School of Economics and Management, Tohoku University.
• Zhe Fei & Scott Robertson, 2025. "Optimal Investment in Equity and Credit Default Swaps in the Presence of Default," Papers 2504.08085, arXiv.org.
• 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 1313, Banco de la Republica de Colombia.
• 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 202516, University of Pretoria, Department of Economics.
• Martina Halouskov'a & v{S}tefan Ly'ocsa, 2025. "Forecasting U.S. equity market volatility with attention and sentiment to the economy," Papers 2503.19767, arXiv.org.
• 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 2503.18029, arXiv.org.
• 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 25-E-6, Bank of Japan.
• Dario Crisci & Sebastian E. Ferrando & Konrad Gajewski, 2025. "Agent-Based Models for Two Stocks with Superhedging," Papers 2503.18165, arXiv.org.
• Bruno Bouchard & Xiaolu Tan, 2025. "Unbiased simulation of Asian options," Papers 2504.16349, arXiv.org.