Report NEP-RMG-2025-07-28

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:

• Ahnert, Toni & Bertsch, Christoph & Leonello, Agnese & Marquez, Robert, 2025. "Bank fragility and risk management," Working Paper Series 3076, European Central Bank.
• Majid Asadi & Jeffrey S. Racine & Ehsan S. Soof & Shaomin Wu, 2025. "Financial Risk Under Shortfall Level Uncertainty," Department of Economics Working Papers 2025-04, McMaster University.
• Ayush Jha & Abootaleb Shirvani & Ali Jaffri & Svetlozar T. Rachev & Frank J. Fabozzi, 2025. "Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation," Papers 2505.12198, arXiv.org.
• Eduardo Abi Jaber & Louis-Amand Gérard, 2025. "Signature volatility models: pricing and hedging with Fourier," Post-Print hal-04435238, HAL.
• Sabrina Aufiero & Antonio Briola & Tesfaye Salarin & Fabio Caccioli & Silvia Bartolucci & Tomaso Aste, 2025. "Cryptocurrencies in the Balance Sheet: Insights from (Micro)Strategy -- Bitcoin Interactions," Papers 2505.14655, arXiv.org.
• Anubha Goel & Puneet Pasricha & Martin Magris & Juho Kanniainen, 2025. "Foundation Time-Series AI Model for Realized Volatility Forecasting," Papers 2505.11163, arXiv.org.
• Dylan Hogg & Hossein Jebeli, 2025. "Examining the Links Between Firm Performance and Insolvency," Discussion Papers 2025-10, Bank of Canada.
• Kubra Bolukbas & Ertan Tok, 2025. "Machine Learning Applications in Credit Risk Prediction," Working Papers 2508, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• Tony Paul, Nitin, 2025. "GARCH-FX: A Modular Framework for Stochastic and Regime-Aware GARCH Forecasting," MPRA Paper 125321, University Library of Munich, Germany.
• Manon Costa & Sébastien Gadat & Lorick Huang, 2025. "CV@R penalized portfolio optimization with biased stochastic mirror descent," Post-Print hal-05147991, HAL.
• Macchiati, Valentina & Cappiello, Lorenzo & Giuzio, Margherita & Ianiro, Annalaura & Lillo, Fabrizio, 2025. "When margins call: liquidity preparedness of non-bank financial institutions," Working Paper Series 3074, European Central Bank.
• Perukrishnen Vytelingum & Rory Baggott & Namid Stillman & Jianfei Zhang & Dingqiu Zhu & Tao Chen & Justin Lyon, 2025. "Agent-based Liquidity Risk Modelling for Financial Markets," Papers 2505.15296, arXiv.org.
• Qingyu Li & Chiranjib Mukhopadhyay & Abolfazl Bayat & Ali Habibnia, 2025. "Quantum Reservoir Computing for Realized Volatility Forecasting," Papers 2505.13933, arXiv.org.
• Agnello, Luca & Castro, Vítor & Sousa, Ricardo M. & Hammoudeh, Shawkat, 2025. "What is the impact of natural disasters on sovereign risk? Expect the unexpected!," LSE Research Online Documents on Economics 128535, London School of Economics and Political Science, LSE Library.
• Herrera, Luis & Pirovano, Mara & Scalone, Valerio, 2025. "From risk to buffer: calibrating the positive neutral CCyB rate in the euro area," Working Paper Series 3075, European Central Bank.
• Gianluca De Nard & Damjan Kostovic, 2025. "AI shrinkage: a data-driven approach for risk-optimized portfolios," ECON - Working Papers 470, Department of Economics - University of Zurich.
• Item repec:bge:wpaper:1494 is not listed on IDEAS anymore

• Matteo Buttarazzi & Claudia Ceci, 2025. "Filtering in a hazard rate change-point model with financial and life-insurance applications," Papers 2505.13185, arXiv.org, revised May 2025.
• Kim, Dohan, 2025. "The Asymmetric Bank Distress Amplifier of Recessions," Policy Research Working Paper Series 11170, The World Bank.