Report NEP-RMG-2025-08-18

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:

• Isaac Otchere & Zia Mohammed & Witness Simbanegavi, 2025. "Fintech and financial system stability in South Africa," Working Papers 11082, South African Reserve Bank.
• Sicheng Fu & Fangfang Zhu & Xiangdong Liu, 2025. "A Predictive Framework Integrating Multi-Scale Volatility Components and Time-Varying Quantile Spillovers: Evidence from the Cryptocurrency Market," Papers 2507.22409, arXiv.org.
• Duo Zhang & Jiayu Li & Junyi Mo & Elynn Chen, 2025. "Time-Varying Factor-Augmented Models for Volatility Forecasting," Papers 2508.01880, arXiv.org, revised Sep 2025.
• Kang, Wilson & Smyth, Russell & Vespignani, joaquin vespignani, 2025. "The Macroeconomic Fragility of Critical Mineral Markets," MPRA Paper 125351, University Library of Munich, Germany.
• Sung Hoon Choi & Donggyu Kim, 2025. "Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility," Papers 2507.22173, arXiv.org.
• Denise Desjardins & Georges Dionne, 2025. "A re-examination of the US insurance market capacity to pay catastrophe losses in 2024," Working Papers 25-03, HEC Montreal, Canada Research Chair in Risk Management.
• Elisa Al`os & `Oscar Bur'es & Rafael de Santiago & Josep Vives, 2025. "Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions," Papers 2507.23392, arXiv.org, revised Aug 2025.
• Antonino Castelli & Paolo Giudici & Alessandro Piergallini, 2025. "Building crypto portfolios with agentic AI," Papers 2507.20468, arXiv.org.
• Tingyu Yuan & Xi Zhang & Xuanjing Chen, 2025. "Machine Learning based Enterprise Financial Audit Framework and High Risk Identification," Papers 2507.06266, arXiv.org.
• Shi, Ruihan & Chen, Pinxian, 2025. "Confucianism and Enterprise Assumption of Risk," SocArXiv abhse_v1, Center for Open Science.
• Victor Olkhov, 2025. "Markowitz Variance May Vastly Undervalue or Overestimate Portfolio Variance and Risks," Papers 2507.21824, arXiv.org.
• Bahram Adrangi & Arjun Chatrath & Saman Hatamerad & Kambiz Raffiee, 2025. "Equity Markets Volatility, Regime Dependence and Economic Uncertainty: The Case of Pacific Basin," Papers 2507.05552, arXiv.org.
• Soane, Emma, 2025. "The microfoundations of organizational risk," LSE Research Online Documents on Economics 128876, London School of Economics and Political Science, LSE Library.
• Mikhail Chernov & Magnus Dahlquist & Lars A. Lochstoer, 2025. "Unpriced Risks: Rethinking Cross-Sectional Asset Pricing," NBER Working Papers 34009, National Bureau of Economic Research, Inc.
• Aaron Green & Zihan Nie & Hanzhen Qin & Oshani Seneviratne & Kristin P. Bennett, 2025. "FinSurvival: A Suite of Large Scale Survival Modeling Tasks from Finance," Papers 2507.14160, arXiv.org.
• Rachel Cho & Christoph Görtz & Danny McGowan & Max Schröder, 2025. "Defining Current and Expected Financial Constraints Using AI: Reinterpreting the Cash Flow Sensitivity of Cash," CESifo Working Paper Series 12054, CESifo.