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. 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:

• Lukas Bauer, 2025. "Evaluating financial tail risk forecasts: Testing Equal Predictive Ability," Papers 2505.23333, arXiv.org.
• Vasily Melnikov, 2025. "A General Theory of Risk Sharing," Papers 2505.19276, arXiv.org.
• Torben G. Andersen & Yi Ding & Viktor Todorov, 2025. "Tails of Cross-Sectional Return Distributions at High Frequencies," Working Papers 202530, University of Macau, Faculty of Business Administration.
• Miguel Inverneiro & Tiago Pinheiro, 2025. "The risk of large losses in credit portfolios," Working Papers w202509, Banco de Portugal, Economics and Research Department.
• Carolina Nunes & Tiago Pinheiro, 2025. "Estimating individuals’ default risk in Portugal," Working Papers w202510, Banco de Portugal, Economics and Research Department.
• Dirk Tasche, 2025. "Recalibrating binary probabilistic classifiers," Papers 2505.19068, arXiv.org.
• Ruixue Jing & Ryota Kobayashi & Luis Enrique Correa Rocha, 2025. "Optimising cryptocurrency portfolios through stable clustering of price correlation networks," Papers 2505.24831, arXiv.org.
• Tobias Adrian & Hongqi Chen & Max-Sebastian Dov`i & Ji Hyung Lee, 2025. "Machine-learning Growth at Risk," Papers 2506.00572, arXiv.org.
• Frédéric Vinas, 2025. "Oil Shocks and their Impact on Corporate Profitability, Productivity, and Credit Risk: Firm-Level Evidence Over Two Decades," Working papers 989, Banque de France.
• Giovanni Bonaccolto & Nicola Borri & Andrea Consiglio & Giorgio Di Giorgio, 2025. "Systemic Risk in the European Insurance Sector," Papers 2505.02635, arXiv.org.
• Pingping Zeng & Gongqiu Zhang & Weinan Zhang, 2025. "Drawdowns, Drawups, and Occupation Times under General Markov Models," Papers 2506.00552, arXiv.org.
• Lijie Ding & Egang Lu & Kin Cheung, 2025. "Fast Derivative Valuation from Volatility Surfaces using Machine Learning," Papers 2505.22957, arXiv.org.
• Viraj Nadkarni & Pramod Viswanath, 2025. "Split the Yield, Share the Risk: Pricing, Hedging and Fixed rates in DeFi," Papers 2505.22784, arXiv.org, revised Jun 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 2505.24250, arXiv.org.
• Shanyu Han & Yang Liu & Xiang Yu, 2025. "Risk-sensitive Reinforcement Learning Based on Convex Scoring Functions," Papers 2505.04553, arXiv.org, revised May 2025.
• Rodney Garratt & David Murphy & Travis D. Nesmith & Xiaopeng Wu, 2024. "Optimal Bidder Selection in Clearing House Default Auctions," Finance and Economics Discussion Series 2023-033r1, Board of Governors of the Federal Reserve System (U.S.).
• Stelios Arvanitis, 2025. "Sparse spanning portfolios and under-diversification with second-order stochastic dominance," Working Paper 1532, Economics Department, Queen's University.
• Laurent Clerc & Sandrine Lecarpentier & Cyril Pouvelle, 2025. "Basel III joint regulatory constraints: interactions and implications for the financing of the economy," Working papers 988, Banque de France.
• Pierre Brugi`ere & Gabriel Turinici, 2025. "Model-Free Deep Hedging with Transaction Costs and Light Data Requirements," Papers 2505.22836, arXiv.org.
• Makoto WATANABE & Yu Awaya & Jihwan Do, 2025. "Bubbles and Collateral," CIGS Working Paper Series 25-013E, The Canon Institute for Global Studies.
• Stelios Arvanitis, 2025. "Universal Choice Spaces and Expected Utility: A Banach-type Functorial Fixed Point," Working Paper 1534, Economics Department, Queen's University.
• Christos Axioglou & Marco Ratto & Josselin Roman, 2025. "Navigating Uncertainty: Evaluating the European Economic Forecasts Amidst Pandemic and Energy Crises," European Economy - Discussion Papers 222, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
• Danilo Stojanovic & Veljko Bojovic, 2025. "Firm-level Uncertainty and Frictions: Implications for Capital and Financial Decisions in the US," CERGE-EI Working Papers wp793, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Yucheng Guo & Qinxin Yan, 2025. "Particle Systems with Local Interactions via Hitting Times and Cascades on Graphs," Papers 2505.18448, arXiv.org.
• Margherita Borella & Mariacristina De Nardi & Fang Yang & Johanna P. Torres Chain, 2025. "Why Do Households Save and Work?," NBER Working Papers 33874, National Bureau of Economic Research, Inc.
• Moreno, William, 2025. "Modeling Knowledge and Decision-Making with the Conditional Reasoning Framework," OSF Preprints zwpnv_v4, Center for Open Science.
• Samiha Tariq, 2025. "Cognitive Biases at Play? Insights from a Bayesian Game Framework," Papers 2505.18835, arXiv.org.
• Leo Kurata & Kensei Nakamura, 2025. "Collective decisions under uncertainty: efficiency, ex-ante fairness, and normalization," Papers 2505.03232, arXiv.org, revised May 2025.