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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. 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:
- c{C}au{g}{i}n Ararat & Zachary Feinstein, 2025, "Can Nash inform capital requirements? Allocating systemic risk measures," Papers, arXiv.org, number 2504.20413, Apr, revised Nov 2025.
- Jinghui Chen & Edward Furman & X. Sheldon Lin, 2025, "Static marginal expected shortfall: Systemic risk measurement under dependence uncertainty," Papers, arXiv.org, number 2504.19953, Apr, revised Nov 2025.
- Robert Millar & Jinglai Li, 2025, "Bayesian Optimization for CVaR-based portfolio optimization," Papers, arXiv.org, number 2503.17737, Mar.
- Masoud Ataei, 2025, "Modeling Regime Structure and Informational Drivers of Stock Market Volatility via the Financial Chaos Index," Papers, arXiv.org, number 2504.18958, Apr.
- Manuel Menkhoff, 2025, "The Devil Is in the Tail: Macroeconomic Tail Risk Expectations of Firms," CESifo Working Paper Series, CESifo, number 11848.
- Claire Mouminoux & Fanny Claise & Marielle Brunette, 2024, "Separate, Bundled, or Semi-bundled : An Experimental Study on Insurance Contract Preferences," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2024-53.
- Hern'an Larralde & Roberto Mota Navarro, 2025, "Scaling and shape of financial returns distributions modeled as conditionally independent random variables," Papers, arXiv.org, number 2504.20488, Apr.
- Aase, Knut K., 2025, "The economics of risk sharing in discrete time with translation invariant recursive utility," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2025/15, May.
- Carlos Castro-Iragorri & Manuel Parra-Diaz, 2025, "Stability focused end to end frameworks for risk budgeting portfolios," Documentos de Trabajo, Universidad del Rosario, number 21367, Mar.
- Nicole Bauerle & Tamara Goll, 2025, "Relative portfolio optimization via a value at risk based constraint," Papers, arXiv.org, number 2503.20340, Mar, revised Jun 2025.
- Levon Hakobyan & Sergey Lototsky, 2025, "Optimal Betting: Beyond the Long-Term Growth," Papers, arXiv.org, number 2503.17927, Mar.
- Lars Hornuf & David J. Streich & Niklas Töllich, 2025, "Making GenAI Smarter: Evidence from a Portfolio Allocation Experiment," CESifo Working Paper Series, CESifo, number 11862.
- Aase, Knut K., 2025, "Optimal risk sharing with translation invariant recursive utility in continuous time," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2025/16, May.
- Baishuai Zuo & Chuancun Yin, 2025, "Analyzing distortion riskmetrics and weighted entropy for unimodal and symmetric distributions under partial information constraints," Papers, arXiv.org, number 2504.19725, Apr, revised Nov 2025.
- Eduardo Abi Jaber & Paul Gassiat & Dimitri Sotnikov, 2025, "Martingale property and moment explosions in signature volatility models," Papers, arXiv.org, number 2503.17103, Mar, revised Nov 2025.
- Ajovalasit, Samantha & Consiglio, Andrea & Pagliardi, Giovanni & Zenios, Stauros Andrea, 2025, "Is political risk a threat to sovereign debt sustainability?," eabh Papers, The European Association for Banking and Financial History (EABH), number 25-01.
- Lorenzo Bastianello & Alain Chateauneuf & Bernard Cornet, 2025, "Gain-Loss Hedging and Cumulative Prospect Theory," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202511, Apr.
- Iman Khajepour & Geoffrey Pritchard & Danny Ralph & Golbon Zakeri, 2025, "On monotone completion of risk markets: Limit results for incomplete risk markets," Papers, arXiv.org, number 2504.18436, Apr.
- Ho Ka Chan & Taro Toyoizumi, 2025, "A theory of anticipated surprise for understanding risky intertemporal choices," Papers, arXiv.org, number 2503.19514, Mar, revised Apr 2025.
- Huixin Bi & Andrew Foerster & Nora Traum, 2025, "Asset Purchases in a Monetary Union with Default and Liquidity Risks," Working Paper Series, Federal Reserve Bank of San Francisco, number 2025-10, May, DOI: 10.24148/wp2025-10.
- Boyang Mu & Natkamon Tovanich & Julien Prat, 2025, "Do You Care About Your Positions? Users Under Liquidation Risk in Decentralized Lending Protocol," Post-Print, HAL, number hal-05041569, Jun, DOI: 10.1109/ICBC64466.2025.11114495.
- Adam Epp & Jeffrey Gao, 2025, "Are Hedge Funds a Hedge for Increasing Government Debt Issuance?," Discussion Papers, Bank of Canada, number 2025-07, May, DOI: 10.34989/sdp-2025-7.
- Patrick Ling, 2025, "Dynamic Asset Pricing Theory for Life Contingent Risks," Papers, arXiv.org, number 2503.21256, Mar.
- Lawrence, Alice, 2024, "Diversification Strategies to Reduce Supply Chain Dependency Risks," OSF Preprints, Center for Open Science, number u2wej_v1, Jul, DOI: 10.31219/osf.io/u2wej_v1.
- Appelbaum, Elie & Leshno, Moshe & Prisman, Eitan & Prisman, Eliezer, Z., 2025, "A Decision-Theoretic Method for Analyzing Crossing Survival Curves in Healthcare," MPRA Paper, University Library of Munich, Germany, number 124419, Mar.
- Bruno Giorgio, 2025, "Phase Transitions in Financial Markets Using the Ising Model: A Statistical Mechanics Perspective," Papers, arXiv.org, number 2504.19050, Apr.
- Alain Chateauneuf & Bernard Cornet, 2025, "Financial Markets With Hedging Complements," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202510, Apr.
- Andrian, Leandro Gaston & Leon-Diaz, John & Rojas, Eugenio, 2025, "Can Financial Hedging Serve Macroprudential Objectives?," IDB Publications (Working Papers), Inter-American Development Bank, number 14083, Apr, DOI: http://dx.doi.org/10.18235/0013511.