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Report NEP-RMG-2025-06-30
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:
- Qingkai Zhang & L. Jeff Hong & Houmin Yan, 2025, "Conditional Generative Modeling for Enhanced Credit Risk Management in Supply Chain Finance," Papers, arXiv.org, number 2506.15305, Jun, revised Dec 2025.
- Xin Tian, 2025, "Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation," Papers, arXiv.org, number 2505.05646, May.
- Roberto Baviera & Michele Domenico Massaria, 2025, "Smile asymptotic for Bachelier Implied Volatility," Papers, arXiv.org, number 2506.08067, Jun, revised Nov 2025.
- Dangxing Chen, 2025, "Explaining Risks: Axiomatic Risk Attributions for Financial Models," Papers, arXiv.org, number 2506.06653, Jun.
- Manuel A. Muñoz & Frank Smets, 2025, "The positive neutral countercyclical capital buffer," Bank of England working papers, Bank of England, number 1128, May.
- Kerkhofs, Ruben & Bernhofen, Mark & Borsuk, Marcin & Baer, Moritz & Ranger, Nicola & Schoutens, Wim & Shrimali, Gireesh, 2025, "An asset-level analysis of financial tail risks under extreme weather events," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 128395, Jun.
- Aryan Singh & Paul O Reilly & Daim Sharif & Patrick Haughey & Eoghan McCarthy & Sathvika Thorali Suresh & Aakhil Anvar & Adarsh Sajeev Kumar, 2025, "Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH," Papers, arXiv.org, number 2505.06950, May.
- Austin Pollok, 2025, "Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?," Papers, arXiv.org, number 2506.07928, Jun.
- Dan Li & Lubomir Petrasek & Mary Tian, 2025, "Risk-averse Dealers in a Risk-free Market - The Role of Trading Desk Risk Limits," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-034, May, DOI: 10.17016/FEDS.2025.034.
- Item repec:fpr:gsspwp:169010 is not listed on IDEAS anymore
- Stella C. Dong & James R. Finlay, 2025, "Dynamic Reinsurance Treaty Bidding via Multi-Agent Reinforcement Learning," Papers, arXiv.org, number 2506.13113, Jun.
- Maria Andraos & Mario Ghossoub & Michael B. Zhu, 2025, "Subgame Perfect Nash Equilibria in Large Reinsurance Markets," Papers, arXiv.org, number 2506.07291, Jun.
- Mihaela Nistor, 2025, "When the Map No Longer Matches the Terrain," Speech, Federal Reserve Bank of New York, number 101132, Jun.
- Martijn Boermans, 2025, "Hedging against inflation: International evidence on investor clientele effects in the bond market," Working Papers, DNB, number 838, Jun.
- Wenhao Guo & Yuda Wang & Zeqiao Huang & Changjiang Zhang & Shumin ma, 2025, "Trading Under Uncertainty: A Distribution-Based Strategy for Futures Markets Using FutureQuant Transformer," Papers, arXiv.org, number 2505.05595, May.
- Benedikt Koch & Kosuke Imai, 2025, "Statistical Decision Theory with Counterfactual Loss," Papers, arXiv.org, number 2505.08908, May, revised Oct 2025.
- Roger J. A. Laeven & Matteo Ferrari & Emanuela Rosazza Gianin & Marco Zullino, 2025, "Measuring Financial Resilience Using Backward Stochastic Differential Equations," Papers, arXiv.org, number 2505.07502, May, revised Jan 2026.
- Marco D’Amico & Martina Fazio, 2025, "Modelling income risk dynamics in the UK: a parametric approach," Bank of England working papers, Bank of England, number 1129, May.
- Tobias Adrian & Domenico Giannone & Matteo Luciani & Mike West, 2025, "Scenario Synthesis and Macroeconomic Risk," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-036, May, DOI: 10.17016/FEDS.2025.036.
- Item repec:fpr:gsspwp:158180 is not listed on IDEAS anymore