Report NEP-RMG-2025-05-26

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:

• c{C}au{g}{i}n Ararat & Zachary Feinstein, 2025. "Can Nash inform capital requirements? Allocating systemic risk measures," Papers 2504.20413, arXiv.org.
• Jinghui Chen & Edward Furman & X. Sheldon Lin, 2025. "Marginal expected shortfall: Systemic risk measurement under dependence uncertainty," Papers 2504.19953, arXiv.org.
• Robert Millar & Jinglai Li, 2025. "Bayesian Optimization for CVaR-based portfolio optimization," Papers 2503.17737, arXiv.org.
• Masoud Ataei, 2025. "Modeling Regime Structure and Informational Drivers of Stock Market Volatility via the Financial Chaos Index," Papers 2504.18958, arXiv.org.
• Manuel Menkhoff, 2025. "The Devil Is in the Tail: Macroeconomic Tail Risk Expectations of Firms," CESifo Working Paper Series 11848, CESifo.
• Claire Mouminoux & Fanny Claise & Marielle Brunette, 2024. "Separate, Bundled, or Semi-bundled : An Experimental Study on Insurance Contract Preferences," Working Papers of BETA 2024-53, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Hern'an Larralde & Roberto Mota Navarro, 2025. "Scaling and shape of financial returns distributions modeled as conditionally independent random variables," Papers 2504.20488, arXiv.org.
• Aase, Knut K., 2025. "The economics of risk sharing in discrete time with translation invariant recursive utility," Discussion Papers 2025/15, Norwegian School of Economics, Department of Business and Management Science.
• Carlos Castro-Iragorri & Manuel Parra-Diaz, 2025. "Stability focused end to end frameworks for risk budgeting portfolios," Documentos de Trabajo 21367, Universidad del Rosario.
• Nicole Bauerle & Tamara Goll, 2025. "Relative portfolio optimization via a value at risk based constraint," Papers 2503.20340, arXiv.org.
• Levon Hakobyan & Sergey Lototsky, 2025. "Optimal Betting: Beyond the Long-Term Growth," Papers 2503.17927, arXiv.org.
• Lars Hornuf & David J. Streich & Niklas Töllich, 2025. "Making GenAI Smarter: Evidence from a Portfolio Allocation Experiment," CESifo Working Paper Series 11862, CESifo.
• Aase, Knut K., 2025. "Optimal risk sharing with translation invariant recursive utility in continuous time," Discussion Papers 2025/16, Norwegian School of Economics, Department of Business and Management Science.
• Baishuai Zuo & Chuancun Yin, 2025. "Analyzing distortion riskmetrics and weighted entropy for unimodal and symmetric distributions under partial information constraints," Papers 2504.19725, arXiv.org.
• Eduardo Abi Jaber & Paul Gassiat & Dimitri Sotnikov, 2025. "Martingale property and moment explosions in signature volatility models," Papers 2503.17103, arXiv.org.
• Ajovalasit, Samantha & Consiglio, Andrea & Pagliardi, Giovanni & Zenios, Stauros Andrea, 2025. "Is political risk a threat to sovereign debt sustainability?," eabh Papers 25-01, The European Association for Banking and Financial History (EABH).
• Lorenzo Bastianello & Alain Chateauneuf & Bernard Cornet, 2025. "Gain-Loss Hedging and Cumulative Prospect Theory," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202511, University of Kansas, Department of Economics.
• Iman Khajepour & Geoffrey Pritchard & Danny Ralph & Golbon Zakeri, 2025. "On monotone completion of risk markets: Limit results for incomplete risk markets," Papers 2504.18436, arXiv.org.
• Ho Ka Chan & Taro Toyoizumi, 2025. "A theory of anticipated surprise for understanding risky intertemporal choices," Papers 2503.19514, arXiv.org, revised Apr 2025.
• Huixin Bi & Andrew Foerster & Nora Traum, 2025. "Asset Purchases in a Monetary Union with Default and Liquidity Risks," Working Paper Series 2025-10, Federal Reserve Bank of San Francisco.
• Boyang Mu & Natkamon Tovanich & Julien Prat, 2025. "Do You Care About Your Positions? Users Under Liquidation Risk in Decentralized Lending Protocol," Post-Print hal-05041569, HAL.
• Adam Epp & Jeffrey Gao, 2025. "Are Hedge Funds a Hedge for Increasing Government Debt Issuance?," Discussion Papers 2025-07, Bank of Canada.
• Patrick Ling, 2025. "Dynamic Asset Pricing Theory for Life Contingent Risks," Papers 2503.21256, arXiv.org.
• Lawrence, Alice, 2024. "Diversification Strategies to Reduce Supply Chain Dependency Risks," OSF Preprints u2wej_v1, Center for Open Science.
• Appelbaum, Elie & Leshno, Moshe & Prisman, Eitan & Prisman, Eliezer, Z., 2025. "A Decision-Theoretic Method for Analyzing Crossing Survival Curves in Healthcare," MPRA Paper 124419, University Library of Munich, Germany.
• Bruno Giorgio, 2025. "Phase Transitions in Financial Markets Using the Ising Model: A Statistical Mechanics Perspective," Papers 2504.19050, arXiv.org.
• Alain Chateauneuf & Bernard Cornet, 2025. "Financial Markets With Hedging Complements," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202510, University of Kansas, Department of Economics.
• Item repec:idb:brikps:14083 is not listed on IDEAS anymore