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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, 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.