Report NEP-RMG-2025-06-23

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:

• Haoyuan Wang & Chen Liu & Minh-Ngoc Tran & Chao Wang, 2025. "Deep Learning Enhanced Multivariate GARCH," Papers 2506.02796, arXiv.org.
• Arishi Orra & Aryan Bhambu & Himanshu Choudhary & Manoj Thakur & Selvaraju Natarajan, 2025. "Deep Reinforcement Learning for Investor-Specific Portfolio Optimization: A Volatility-Guided Asset Selection Approach," Papers 2505.03760, arXiv.org.
• Muhammed Golec & Maha AlabdulJalil, 2025. "Interpretable LLMs for Credit Risk: A Systematic Review and Taxonomy," Papers 2506.04290, arXiv.org, revised Jun 2025.
• Joseph Lu & Randall R Rojas & Fiona C. Yeung & Patrick D. Convery, 2025. "TrendFolios: A Portfolio Construction Framework for Utilizing Momentum and Trend-Following In a Multi-Asset Portfolio," Papers 2506.09330, arXiv.org.
• Hans Buehler & Blanka Horvath & Yannick Limmer & Thorsten Schmidt, 2025. "Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsampling," Papers 2506.07299, arXiv.org.
• Jose Portela & Eduardo S. Schwartz & Jaime Aparicio Garcia, 2025. "Litigation Risk and the Valuation of Legal Claims: A Real Option Approach," NBER Working Papers 33790, National Bureau of Economic Research, Inc.
• Yang, Zhang & Jianxiong Lin & Yihe Qian & Lianjie Shu, 2025. "Machine learning and financial inclusion: Evidence from credit risk assessment of small-business loans in China," Working Papers 202532, University of Macau, Faculty of Business Administration.
• Roman Goncharenko & Mikhail Mamonov & Steven Ongena & Svetlana Popova & Natalia Turdyeva, 2025. "Quo Vadis? Bank Closures, Firm Performance, and New Bank-Firm Relationships," Swiss Finance Institute Research Paper Series 25-52, Swiss Finance Institute.
• Pia Stoczek & Alexander Liss & Boaz Noiman, 2025. "Controlled risk-taking and corporate QE: Evidence from the Corporate Sector Purchase Programme," Working Papers Dissertations 142, Paderborn University, Faculty of Business Administration and Economics.
• Michal Franta & Jan Vlcek, 2025. "Inflation at Risk: The Czech Case," Working Papers 2025/8, Czech National Bank, Research and Statistics Department.
• Paige Ehresmann & Juan M. Morelli & Jessie Jiaxu Wang, 2025. "Modeling Bank Stock Returns: A Factor-Based Approach," FEDS Notes 2025-06-06-3, Board of Governors of the Federal Reserve System (U.S.).
• Matt Brigida & Kathleen Maceyka, 2025. "Hedging Deposit Run Risk Prior to the 2023 Regional Banking Crisis," Papers 2506.03344, arXiv.org.
• Sergio Correia & Stephan Luck & Emil Verner, 2025. "Failing Banks," Papers 2506.06082, arXiv.org.
• Metz-Peeters, Maike & Patragst, Jil-Laurel, 2025. "Exploratory analysis of crash determinants," Ruhr Economic Papers 1157, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.