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Report NEP-RMG-2025-06-16
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:
- Lukas Bauer, 2025, "Evaluating financial tail risk forecasts: Testing Equal Predictive Ability," Papers, arXiv.org, number 2505.23333, May.
- Vasily Melnikov, 2025, "A General Theory of Risk Sharing," Papers, arXiv.org, number 2505.19276, May.
- Torben G. Andersen & Yi Ding & Viktor Todorov, 2025, "Tails of Cross-Sectional Return Distributions at High Frequencies," Working Papers, University of Macau, Faculty of Business Administration, number 202530, Jun.
- Tiago Pinheiro & Miguel Inverneiro, 2025, "The risk of large losses in credit portfolios," Working Papers, Banco de Portugal, Economics and Research Department, number w202509.
- Tiago Pinheiro & Carolina Nunes, 2025, "Estimating individuals’ default risk in Portugal," Working Papers, Banco de Portugal, Economics and Research Department, number w202510.
- Dirk Tasche, 2025, "Recalibrating binary probabilistic classifiers," Papers, arXiv.org, number 2505.19068, May, revised Jan 2026.
- Ruixue Jing & Ryota Kobayashi & Luis Enrique Correa Rocha, 2025, "Optimising cryptocurrency portfolios through stable clustering of price correlation networks," Papers, arXiv.org, number 2505.24831, May.
- Tobias Adrian & Hongqi Chen & Max-Sebastian Dov`i & Ji Hyung Lee, 2025, "Machine-learning Growth at Risk," Papers, arXiv.org, number 2506.00572, May.
- Frédéric Vinas, 2025, "Oil Shocks and their Impact on Corporate Profitability, Productivity, and Credit Risk: Firm-Level Evidence Over Two Decades," Working papers, Banque de France, number 989.
- Giovanni Bonaccolto & Nicola Borri & Andrea Consiglio & Giorgio Di Giorgio, 2025, "Systemic Risk in the European Insurance Sector," Papers, arXiv.org, number 2505.02635, May.
- Pingping Zeng & Gongqiu Zhang & Weinan Zhang, 2025, "Drawdowns, Drawups, and Occupation Times under General Markov Models," Papers, arXiv.org, number 2506.00552, May.
- Lijie Ding & Egang Lu & Kin Cheung, 2025, "Fast Derivative Valuation from Volatility Surfaces using Machine Learning," Papers, arXiv.org, number 2505.22957, May.
- Viraj Nadkarni & Pramod Viswanath, 2025, "Split the Yield, Share the Risk: Pricing, Hedging and Fixed rates in DeFi," Papers, arXiv.org, number 2505.22784, May, revised Aug 2025.
- Ayush Jha & Abootaleb Shirvani & Ali Jaffri & Svetlozar T. Rachev & Frank J. Fabozzi, 2025, "Winners vs. Losers: Momentum-based Strategies with Intertemporal Choice for ESG Portfolios," Papers, arXiv.org, number 2505.24250, May.
- Shanyu Han & Yang Liu & Xiang Yu, 2025, "Risk-sensitive Reinforcement Learning Based on Convex Scoring Functions," Papers, arXiv.org, number 2505.04553, May, revised May 2025.
- Item repec:fip:fedgfe:100033 is not listed on IDEAS anymore
- Stelios Arvanitis, 2025, "Sparse spanning portfolios and under-diversification with second-order stochastic dominance," Working Paper, Economics Department, Queen's University, number 1532, Feb.
- Laurent Clerc & Sandrine Lecarpentier & Cyril Pouvelle, 2025, "Basel III joint regulatory constraints: interactions and implications for the financing of the economy," Working papers, Banque de France, number 988.
- Pierre Brugi`ere & Gabriel Turinici, 2025, "Model-Free Deep Hedging with Transaction Costs and Light Data Requirements," Papers, arXiv.org, number 2505.22836, May.
- Makoto WATANABE & Yu Awaya & Jihwan Do, 2025, "Bubbles and Collateral," CIGS Working Paper Series, The Canon Institute for Global Studies, number 25-013E, May.
- Stelios Arvanitis, 2025, "Universal Choice Spaces and Expected Utility: A Banach-type Functorial Fixed Point," Working Paper, Economics Department, Queen's University, number 1534, Feb.
- Christos Axioglou & Marco Ratto & Josselin Roman, 2025, "Navigating Uncertainty: Evaluating the European Economic Forecasts Amidst Pandemic and Energy Crises," European Economy - Discussion Papers, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 222, May.
- Danilo Stojanovic & Veljko Bojovic, 2025, "Firm-level Uncertainty and Frictions: Implications for Capital and Financial Decisions in the US," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp793, Apr.
- Yucheng Guo & Qinxin Yan, 2025, "Particle Systems with Local Interactions via Hitting Times and Cascades on Graphs," Papers, arXiv.org, number 2505.18448, May, revised Aug 2025.
- Margherita Borella & Mariacristina De Nardi & Fang Yang & Johanna P. Torres Chain, 2025, "Why Do Households Save and Work?," NBER Working Papers, National Bureau of Economic Research, Inc, number 33874, May.
- Moreno, William, 2025, "Modeling Knowledge and Decision-Making with the Conditional Reasoning Framework," OSF Preprints, Center for Open Science, number zwpnv_v4, May, DOI: 10.31219/osf.io/zwpnv_v4.
- Samiha Tariq, 2025, "Cognitive Biases at Play? Insights from a Bayesian Game Framework," Papers, arXiv.org, number 2505.18835, May.
- Leo Kurata & Kensei Nakamura, 2025, "Collective decisions under uncertainty: efficiency, ex-ante fairness, and normalization," Papers, arXiv.org, number 2505.03232, May, revised May 2025.