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. Stanley 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, European Central Bank, number 3076, Jul.
• Majid Asadi & Jeffrey S. Racine & Ehsan S. Soof & Shaomin Wu, 2025, "Financial Risk Under Shortfall Level Uncertainty," Department of Economics Working Papers, McMaster University, number 2025-04, May.
• 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, arXiv.org, number 2505.12198, May.
• Eduardo Abi Jaber & Louis-Amand Gérard, 2025, "Signature volatility models: pricing and hedging with Fourier," Post-Print, HAL, number hal-04435238, DOI: 10.1137/24M1636952.
• 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, arXiv.org, number 2505.14655, May.
• Anubha Goel & Puneet Pasricha & Martin Magris & Juho Kanniainen, 2025, "Foundation Time-Series AI Model for Realized Volatility Forecasting," Papers, arXiv.org, number 2505.11163, May.
• Dylan Hogg & Hossein Jebeli, 2025, "Examining the Links Between Firm Performance and Insolvency," Discussion Papers, Bank of Canada, number 2025-10, Jul, DOI: 10.34989/sdp-2025-10.
• Kubra Bolukbas & Ertan Tok, 2025, "Machine Learning Applications in Credit Risk Prediction," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 2508.
• Tony Paul, Nitin, 2025, "GARCH-FX: A Modular Framework for Stochastic and Regime-Aware GARCH Forecasting," MPRA Paper, University Library of Munich, Germany, number 125321, Jul.
• Manon Costa & Sébastien Gadat & Lorick Huang, 2025, "CV@R penalized portfolio optimization with biased stochastic mirror descent," Post-Print, HAL, number hal-05147991, Jul, DOI: 10.1007/s00780-025-00568-2.
• Macchiati, Valentina & Cappiello, Lorenzo & Giuzio, Margherita & Ianiro, Annalaura & Lillo, Fabrizio, 2025, "When margins call: liquidity preparedness of non-bank financial institutions," Working Paper Series, European Central Bank, number 3074, Jul.
• Perukrishnen Vytelingum & Rory Baggott & Namid Stillman & Jianfei Zhang & Dingqiu Zhu & Tao Chen & Justin Lyon, 2025, "Agent-based Liquidity Risk Modelling for Financial Markets," Papers, arXiv.org, number 2505.15296, May.
• Qingyu Li & Chiranjib Mukhopadhyay & Abolfazl Bayat & Ali Habibnia, 2025, "Quantum Reservoir Computing for Realized Volatility Forecasting," Papers, arXiv.org, number 2505.13933, May.
• 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, London School of Economics and Political Science, LSE Library, number 128535, Jul.
• Herrera, Luis & Pirovano, Mara & Scalone, Valerio, 2025, "From risk to buffer: calibrating the positive neutral CCyB rate in the euro area," Working Paper Series, European Central Bank, number 3075, Jul.
• Gianluca De Nard & Damjan Kostovic, 2025, "Learning the shrinkage intensity: a data-driven approach for risk-optimized portfolios," ECON - Working Papers, Department of Economics - University of Zurich, number 470, May, revised Nov 2025.
• 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, arXiv.org, number 2505.13185, May, revised Jan 2026.
• Kim, Dohan, 2025, "The Asymmetric Bank Distress Amplifier of Recessions," Policy Research Working Paper Series, The World Bank, number 11170, Jul.

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. 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: