Report NEP-RMG-2025-08-11

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:

• Ariston Karagiorgis & Dimitrios Anastasiou & Konstantinos Drakos & Steven Ongena, 2025. "The Leverage of Hedge Funds and the Risk of Their Prime Brokers," Swiss Finance Institute Research Paper Series 25-57, Swiss Finance Institute.
• Eduardo Abi Jaber & Louis-Amand Gérard, 2025. "Hedging with memory: shallow and deep learning with signatures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-05197836, HAL.
• Gauch, Kevin & Quick, Reiner, 2025. "Assure or Insure Cyber Risk? Nonprofessional Investors' Willingness to Invest," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 156027, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
• Abdullah Karasan & Ozge Sezgin Alp & Gerhard-Wilhelm Weber, 2025. "Machine learning approach to stock price crash risk," Papers 2505.16287, arXiv.org.
• Arslan Ahmad & Ian Dobson, 2025. "Logarithmic resilience risk metrics that address the huge variations in blackout cost," Papers 2505.12016, arXiv.org, revised Aug 2025.
• Aslanidis, Nektarios & Bariviera, Aurelio & Kapetanios, George & Sarafidis, Vasilis, 2025. "Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach," MPRA Paper 125124, University Library of Munich, Germany.
• Olivier Lopez & Daniel Nkameni, 2025. "Index insurance under demand and solvency constraints," Papers 2507.18240, arXiv.org.
• Mínguez Solana, Roberto & Díaz Cachinero, Pablo, 2025. "Convex Risk Control with Exact Probabilities: The CVaR-Chance-Constraint Approach," DES - Working Papers. Statistics and Econometrics. WS 47686, Universidad Carlos III de Madrid. Departamento de Estadística.
• Erdinc Akyildirim & Gamze Ozturk Danisman & Steven Ongena, 2025. "AI Employment and Political Risk Disclosures in Earnings Calls," Swiss Finance Institute Research Paper Series 25-56, Swiss Finance Institute.
• Olkhov, Victor, 2025. "Markowitz Variance May Vastly Undervalue or Overestimate Portfolio Variance and Risks," MPRA Paper 125508, University Library of Munich, Germany.
• Martha Bernate-Valbuena & Begoña Gutiérrez Nieto, 2025. "Earnings management indicators as predictors of bankruptcy in Spanish companies," Documentos de Trabajo dt2025-01, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
• Dillenberger, David & Gottlieb, Daniel & Ortoleva, Pietro, 2025. "Stochastic impatience and the separation of time and risk preferences," LSE Research Online Documents on Economics 125994, London School of Economics and Political Science, LSE Library.
• Kwasniok, Sascha, 2025. "Planned behavior, insurance knowledge and the demand for private disability insurance – Evidence from Germany," EconStor Preprints 321819, ZBW - Leibniz Information Centre for Economics.
• Patrick Chan & Ronnie Sircar & Iosif Zimbidis, 2025. "Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility," Papers 2507.17162, arXiv.org.
• van der Kwaak, Christiaan, 2024. "Bank Risk Taking and Central Bank Lending in Financial Crises," Research Report 2024014-EEF, University of Groningen, FEB Research Institute (FEBRI).
• Olivier Lopez & Daniel Nkameni, 2025. "Combination of traditional and parametric insurance: calibration method based on the optimization of a criterion adapted to heavy tail losses," Papers 2507.18207, arXiv.org.
• Andrew L. Allan & Anna P. Kwossek & Chong Liu & David J. Promel, 2025. "Pathwise analysis of log-optimal portfolios," Papers 2507.18232, arXiv.org.
• Salvatore Federico & Andrea Modena & Luca Regis, 2025. "Coordinating Bank Dividend and Capital Regulation," Carlo Alberto Notebooks 746 JEL Classification: C, Collegio Carlo Alberto.
• Fabian Alex, 2025. "Risk of Bankruptcy and the Modigliani-Miller theorem in a General Equilibrium model of Socially Responsible Investing," Working Papers 241, Bavarian Graduate Program in Economics (BGPE).
• USDA Risk Management Agency, 2024. "Beginner’s Guide to Crop Insurance," USDA Miscellaneous 364292, United States Department of Agriculture.
• Gabor Petnehazi & Laith Al Shaggah & Jozsef Gall & Bernadett Aradi, 2025. "Zero-Shot Forecasting Mortality Rates: A Global Study," Papers 2505.13521, arXiv.org.