Report NEP-RMG-2025-07-14

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:

• Osadchiy, Maksim, 2025. "Granularity Shock: A Small Perturbation Two-Factor Model," MPRA Paper 125027, University Library of Munich, Germany, revised 15 Jun 2025.
• Sidharth J, 2025. "Assessing Market Liquidity Amidst Crisis: Evidence from Indian Stock Market," Working Papers 2025-283, Madras School of Economics,Chennai,India.
• Alessandro Ramponi & Sergio Scarlatti, 2025. "Credit risk for large portfolios of green and brown loans: extending the ASRF model," Papers 2506.12510, arXiv.org.
• Nan Guo & Ruodu Wang & Chenxi Xia & Jingping Yang, 2025. "Choquet rating criteria, risk measures, and risk consistency," Papers 2506.13435, arXiv.org.
• Yin Luo & Sheng Wang & Javed Jussa, 2025. "Dynamic allocation: extremes, tail dependence, and regime Shifts," Papers 2506.12587, arXiv.org.
• Jagdish Gnawali & Abootaleb Shirvani & Svetlozar T. Rachev, 2025. "Implied Probabilities and Volatility in Credit Risk: A Merton-Based Approach with Binomial Trees," Papers 2506.12694, arXiv.org.
• Jiawei Xu & Elie Bouri & Libing Fang & Rangan Gupta, 2025. "US-China Tensions and Stock Market Co-movement between the US and China: Insights from a DCC-DAGARCH-MIDAS Model," Working Papers 202522, University of Pretoria, Department of Economics.
• Marcella Lucchetta, 2025. "Bank Heterogeneity and Crisis Migration: A General Equilibrium Analysis of Systemic Risk," Working Papers 2025: 05, Department of Economics, University of Venice "Ca' Foscari".
• Timofei Belenko & Georgii Vosorov, 2025. "DeFi Liquidation Risk Modeling Using the Reflection Principle for Zero-Drift Brownian Motion," Papers 2505.08100, arXiv.org.
• Riccardo Manghi & Daniela Di Cagno, 2025. "Catastrophic Risk Perception and the Shared Burden Effect: An Experimental Study Using Prospect Theory," CEIS Research Paper 605, Tor Vergata University, CEIS, revised 23 Jun 2025.
• Dylan Hogg & Hossein Jebeli, 2025. "Examining the Links Between Firm Performance and Insolvency," Discussion Papers 2025-010, Bank of Canada.
• Marcella Lucchetta, 2025. "Crisis-Proofing Heterogeneous Banks," Working Papers 2025: 08, Department of Economics, University of Venice "Ca' Foscari".
• Erum Iftikhar & Wei Wei & John Cartlidge, 2025. "Automated Risk Management Mechanisms in DeFi Lending Protocols: A Crosschain Comparative Analysis of Aave and Compound," Papers 2506.12855, arXiv.org.
• Dhanashree Somani & Rangan Gupta & Sayar Karmakar & Vasilios Plakandaras, 2025. "Supply Bottlenecks and Machine Learning Forecasting of International Stock Market Volatility," Working Papers 202521, University of Pretoria, Department of Economics.
• Stephen G. Cecchetti & Jeremy C. Kress & Kermit L. Schoenholtz, 2025. "Basel Endgame: Bank Capital Requirements and the Future of International Standard Setting," NBER Working Papers 33982, National Bureau of Economic Research, Inc.
• Koch, Melanie & Menkhoff, Lukas, 2025. "The non-linear impact of risk tolerance on entrepreneurial profit and business survival," Open Access Publications from Kiel Institute for the World Economy 319532, Kiel Institute for the World Economy (IfW Kiel).
• Luca Cappellina & Domenico Sartore, 2025. "NMDs Logistic Regression Model," Working Papers 2025: 06, Department of Economics, University of Venice "Ca' Foscari".
• Lu, Lanxin & Fiedor, Pawel, 2025. "Risk Preference of Irish-Domiciled Investment Funds," Financial Stability Notes 2/FS/25, Central Bank of Ireland.
• Marco Rodrigues, 2025. "Robust Hedging of American Options via Aggregated Snell Envelopes," Papers 2506.14553, arXiv.org.
• Gene Amromin & Kenechukwu E. Anadu & Falk Bräuning & Amy Chapel & Rebecca Chmielewski & Meeoak Cho & Patricia K. Cowperthwait & Lorenzo Garza & Cindy E. Hull & Siobhan Sanders & Sam Schulhofer-Wohl & , 2025. "Technology Providers and Financial Stability: Overview of Risks and Regulatory Frameworks," Working Papers 2524, Federal Reserve Bank of Dallas.
• Antoine Jacquier & Adriano Oliveri Orioles & Zan Zuric, 2025. "Rough Bergomi turns grey," Papers 2505.08623, arXiv.org.
• Yu Awaya & Jihwan Do & Makoto Watanabe, 2025. "Bubbles and Collateral," Working papers 2025rwp-252, Yonsei University, Yonsei Economics Research Institute.
• Serena Fatica & Tommaso Oliviero & Michela Rancan, 2025. "Judicial inefficiency and the default of zombie firms," CSEF Working Papers 747, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
• Tim de Silva & Eugene Larsen-Hallock & Adam Rej & David Thesmar, 2025. "Expectations Formation with Fat-Tailed Processes: Evidence and Theory," NBER Working Papers 33808, National Bureau of Economic Research, Inc.
• Matteo Crosignani & Martin Hiti, 2025. "Losses from Natural Disasters: County-Level Data on Damages, Injuries, and Fatalities," Staff Reports 1156, Federal Reserve Bank of New York.
• Ryota IWAMOTO & Takunori ISHIHARA & Takanori IDA, 2025. "Comparing Risk Preferences and Loss Aversion in Humans and AI: A Persona-Based Approach with Fine-Tuning," Discussion papers e-25-006, Graduate School of Economics , Kyoto University.