Printed from https://ideas.repec.org/n/nep-rmg/2025-07-14.html
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. 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:
- Osadchiy, Maksim, 2025, "Granularity Shock: A Small Perturbation Two-Factor Model," MPRA Paper, University Library of Munich, Germany, number 125027, Mar, revised 15 Jun 2025.
- Sidharth J, 2025, "Assessing Market Liquidity Amidst Crisis: Evidence from Indian Stock Market," Working Papers, Madras School of Economics,Chennai,India, number 2025-283, Jun.
- Alessandro Ramponi & Sergio Scarlatti, 2025, "Credit risk for large portfolios of green and brown loans: extending the ASRF model," Papers, arXiv.org, number 2506.12510, Jun.
- Nan Guo & Ruodu Wang & Chenxi Xia & Jingping Yang, 2025, "Choquet rating criteria, risk measures, and risk consistency," Papers, arXiv.org, number 2506.13435, Jun.
- Yin Luo & Sheng Wang & Javed Jussa, 2025, "Dynamic allocation: extremes, tail dependence, and regime Shifts," Papers, arXiv.org, number 2506.12587, Jun.
- Jagdish Gnawali & Abootaleb Shirvani & Svetlozar T. Rachev, 2025, "Implied Probabilities and Volatility in Credit Risk: A Merton-Based Approach with Binomial Trees," Papers, arXiv.org, number 2506.12694, Jun.
- 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, University of Pretoria, Department of Economics, number 202522, Jul.
- Marcella Lucchetta, 2025, "Bank Heterogeneity and Crisis Migration: A General Equilibrium Analysis of Systemic Risk," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2025: 05.
- Timofei Belenko & Georgii Vosorov, 2025, "DeFi Liquidation Risk Modeling Using Geometric Brownian Motion," Papers, arXiv.org, number 2505.08100, May, revised Oct 2025.
- Riccardo Manghi & Daniela Di Cagno, 2025, "Catastrophic Risk Perception and the Shared Burden Effect: An Experimental Study Using Prospect Theory," CEIS Research Paper, Tor Vergata University, CEIS, number 605, Jun, revised 23 Jun 2025.
- Item repec:bca:bocadp:25-010 is not listed on IDEAS anymore
- Marcella Lucchetta, 2025, "Crisis-Proofing Heterogeneous Banks," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2025: 08.
- Erum Iftikhar & Wei Wei & John Cartlidge, 2025, "Automated Risk Management Mechanisms in DeFi Lending Protocols: A Crosschain Comparative Analysis of Aave and Compound," Papers, arXiv.org, number 2506.12855, Jun, revised Oct 2025.
- Dhanashree Somani & Rangan Gupta & Sayar Karmakar & Vasilios Plakandaras, 2025, "Supply Bottlenecks and Machine Learning Forecasting of International Stock Market Volatility," Working Papers, University of Pretoria, Department of Economics, number 202521, Jun.
- 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, National Bureau of Economic Research, Inc, number 33982, Jul.
- 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, Kiel Institute for the World Economy (IfW Kiel), number 319532, DOI: 10.1007/s11187-024-00956-6.
- Luca Cappellina & Domenico Sartore, 2025, "NMDs Logistic Regression Model," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2025: 06.
- Lu, Lanxin & Fiedor, Pawel, 2025, "Risk Preference of Irish-Domiciled Investment Funds," Financial Stability Notes, Central Bank of Ireland, number 2/FS/25, May.
- Marco Rodrigues, 2025, "Robust Hedging of American Options via Aggregated Snell Envelopes," Papers, arXiv.org, number 2506.14553, Jun.
- 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, Federal Reserve Bank of Dallas, number 2524, Jul, DOI: 10.24149/wp2524.
- Antoine Jacquier & Adriano Oliveri Orioles & Zan Zuric, 2025, "Rough Bergomi turns grey," Papers, arXiv.org, number 2505.08623, May.
- Yu Awaya & Jihwan Do & Makoto Watanabe, 2025, "Bubbles and Collateral," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2025rwp-252, Jun.
- Serena Fatica & Tommaso Oliviero & Michela Rancan, 2025, "Judicial inefficiency and the default of zombie firms," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 747, Mar.
- Tim de Silva & Eugene Larsen-Hallock & Adam Rej & David Thesmar, 2025, "Expectations Formation with Fat-Tailed Processes: Evidence and Theory," NBER Working Papers, National Bureau of Economic Research, Inc, number 33808, May.
- Matteo Crosignani & Martin Hiti, 2025, "Losses from Natural Disasters: County-Level Data on Damages, Injuries, and Fatalities," Staff Reports, Federal Reserve Bank of New York, number 1156, Jul, DOI: 10.59576/sr.1156.
- Ryota IWAMOTO & Takunori ISHIHARA & Takanori IDA, 2025, "Comparing Risk Preferences and Reference Dependence in Humans and AI: A Persona-Based Approach with Fine-Tuning," Discussion papers, Graduate School of Economics , Kyoto University, number e-25-006, Jul.