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. Stan 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 2506.15305, arXiv.org.
• Xin Tian, 2025. "Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation," Papers 2505.05646, arXiv.org.
• Roberto Baviera & Michele Domenico Massaria, 2025. "Smile asymptotic for Bachelier Implied Volatility," Papers 2506.08067, arXiv.org.
• Dangxing Chen, 2025. "Explaining Risks: Axiomatic Risk Attributions for Financial Models," Papers 2506.06653, arXiv.org.
• Manuel A. Muñoz & Frank Smets, 2025. "The positive neutral countercyclical capital buffer," Bank of England working papers 1128, Bank of England.
• 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 128395, London School of Economics and Political Science, LSE Library.
• 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 2505.06950, arXiv.org.
• Austin Pollok, 2025. "Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?," Papers 2506.07928, arXiv.org.
• 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 2025-034, Board of Governors of the Federal Reserve System (U.S.).
• Hazell, Peter B. R. & Timu, Anne G., 2024. "What’s holding back private sector agricultural insurance?," GSSP working papers 2316, International Food Policy Research Institute (IFPRI).
• Stella C. Dong & James R. Finlay, 2025. "Dynamic Reinsurance Treaty Bidding via Multi-Agent Reinforcement Learning," Papers 2506.13113, arXiv.org.
• Maria Andraos & Mario Ghossoub & Michael B. Zhu, 2025. "Subgame Perfect Nash Equilibria in Large Reinsurance Markets," Papers 2506.07291, arXiv.org.
• Mihaela Nistor, 2025. "When the Map No Longer Matches the Terrain," Speech 101132, Federal Reserve Bank of New York.
• Martijn Boermans, 2025. "Hedging against inflation: International evidence on investor clientele effects in the bond market," Working Papers 838, DNB.
• 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 2505.05595, arXiv.org.
• Benedikt Koch & Kosuke Imai, 2025. "Statistical Decision Theory with Counterfactual Loss," Papers 2505.08908, arXiv.org.
• Roger J. A. Laeven & Matteo Ferrari & Emanuela Rosazza Gianin & Marco Zullino, 2025. "Measuring Financial Resilience Using Backward Stochastic Differential Equations," Papers 2505.07502, arXiv.org.
• Marco D’Amico & Martina Fazio, 2025. "Modelling income risk dynamics in the UK: a parametric approach," Bank of England working papers 1129, Bank of England.
• Tobias Adrian & Domenico Giannone & Matteo Luciani & Mike West, 2025. "Scenario Synthesis and Macroeconomic Risk," Finance and Economics Discussion Series 2025-036, Board of Governors of the Federal Reserve System (U.S.).
• Mukashov, Askar & Robinson, Sherman & Thurlow, James & Arndt, Channing & Thomas, Timothy S., 2024. "Systematic risk profiling: A novel approach with applications to Kenya, Rwanda, and Malawi," GSSP working papers 2286, International Food Policy Research Institute (IFPRI).