Report NEP-RMG-2025-08-25

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:

• Abiodun Finbarrs Oketunji, 2025, "Quantitative Risk Management in Volatile Markets with an Expectile-Based Framework for the FTSE Index," Papers, arXiv.org, number 2507.13391, Jul.
• Luyun Lin & Yiqing Wang, 2025, "SHAP Stability in Credit Risk Management: A Case Study in Credit Card Default Model," Papers, arXiv.org, number 2508.01851, Aug.
• Sebastian Geissel & Christoph Knochenhauer, 2025, "ESG Risk: Lessons Learned from Utility Theory," Papers, arXiv.org, number 2507.23496, Jul.
• Davide Veronelli & Francesca Cibrario & Emanuele Dri & Valeria Zaffaroni & Giacomo Ranieri & Davide Corbelletto & Bartolomeo Montrucchio, 2025, "Implementing Credit Risk Analysis with Quantum Singular Value Transformation," Papers, arXiv.org, number 2507.19206, Jul.
• Lichen Wang & Shijia Hua & Yuyuan Liu & Zhengyuan Lu & Liang Zhang & Linjie Liu & Attila Szolnoki, 2025, "Strategic competition in informal risk sharing mechanism versus collective index insurance," Papers, arXiv.org, number 2508.02684, Jul.
• Wanting He & Wenyuan Li & Yunran Wei, 2025, "Periodic evaluation of defined-contribution pension fund: A dynamic risk measure approach," Papers, arXiv.org, number 2508.05241, Aug.
• Carlos Bouthelier-Madre & Carlos Escudero, 2025, "Three-level qualitative classification of financial risks under varying conditions through first passage times," Papers, arXiv.org, number 2507.08101, Jul.
• Djibril Gueye & Alejandra Quintos, 2025, "Dependent Default Modeling through Multivariate Generalized Cox Processes," Papers, arXiv.org, number 2508.05022, Aug.
• Zängerle, Daniel & Schiereck, Dirk, 2025, "Modelling and predicting enterprise-level cyber risks in the context of sparse data availability," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 156328, Aug, DOI: 10.1057/s41288-022-00282-6.
• Kenneth Q. Zhou & Hongjuan Zhou, 2025, "Modeling Excess Mortality and Interest Rates using Mixed Fractional Brownian Motions," Papers, arXiv.org, number 2507.19445, Jul, revised Aug 2025.
• Haibo Wang, 2025, "Assessing Dynamic Connectedness in Global Supply Chain Infrastructure Portfolios: The Impact of Risk Factors and Extreme Events," Papers, arXiv.org, number 2508.04858, Aug.
• Xinbing Kong & Cheng Liu & Bin Wu, 2025, "Data Synchronization at High Frequencies," Papers, arXiv.org, number 2507.12220, Jul.
• Gogova Lea & Hledik Juraj & Klacso Jan, 2025, "Exploring the exposure of Slovak banks’ corporate loan portfolio to flood risk," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2025-08, Aug.
• Gianni De Nicolò, 2025, "Bank Risk-Taking and Bank Rents: Revisiting the Franchise Value Hypothesis," CESifo Working Paper Series, CESifo, number 12044.
• Leonardo Perotti & Lech A. Grzelak & Cornelis W. Oosterlee, 2025, "Pricing and hedging the prepayment option of mortgages under stochastic housing market activity," Papers, arXiv.org, number 2507.08641, Jul.
• Liyuan Cui & Wenyuan Li, 2025, "Demand for catastrophe insurance under the path-dependent effects," Papers, arXiv.org, number 2508.15355, Aug.
• Saadaoui, Jamel, 2025, "Geopolitical Turning Points and Oil Price Responses: An IV-LP Approach," MPRA Paper, University Library of Munich, Germany, number 125586, Jan.
• Ziyao Wang, 2025, "L\'evy-Driven Option Pricing without a Riskless Asset," Papers, arXiv.org, number 2507.20338, Jul.
• Yumeng Shi & Zhongliang Yang & DiYang Lu & Yisi Wang & Yiting Zhou & Linna Zhou, 2025, "CreditARF: A Framework for Corporate Credit Rating with Annual Report and Financial Feature Integration," Papers, arXiv.org, number 2508.02738, Aug.
• Alen Mulabdic & Yoto Yotov, 2025, "Geopolitical Risks and Trade," Working Papers, Center for Global Policy Analysis, LeBow College of Business, Drexel University, number 202532, Aug.
• Massimiliano Caporin & Rangan Gupta & Sowmya Subramaniam & Hudson S. Torrent, 2025, "Supply Constraints and Conditional Distribution Predictability of Inflation and its Volatility: A Non-parametric Mixed-Frequency Causality-in-Quantiles Approach," Working Papers, University of Pretoria, Department of Economics, number 202526, Aug.
• Stefan Nagel, 2025, "Seemingly Virtuous Complexity in Return Prediction," NBER Working Papers, National Bureau of Economic Research, Inc, number 34104, Aug.
• Adriana Corrales-Quesada & Fabio Gómez-Rodríguez & Carlos Segura-Rodriguez, 2024, "Stress Testing of the Central Bank of Costa Rica: Risk Assessment of Fixed-Income Instruments," Notas Técnicas, Banco Central de Costa Rica, number 2401, Feb.
• Joshua Aslett & Thomas Cantens & François Chastel & Emmanuel A Crown & Stuart Hamilton, 2025, "Generative Artificial Intelligence for Compliance Risk Analysis: Applications in Tax and Customs Administration," IMF Technical Notes and Manuals, International Monetary Fund, number 2025/013, Aug.
• Albert Prades-Colomé, 2025, "Mortality risk factors in the Catalan long-term care system," Working Papers, FEDEA, number 2025-10, Aug.
• Ismet Gocer & Julia Darby & Serdar Ongan, 2025, "Introducing a New Brexit-Related Uncertainty Index: Its Evolution and Economic Consequences," Papers, arXiv.org, number 2507.02439, Jul, revised Jul 2025.
• Robin Musolff & Florian Zimmermann, 2025, "Model Uncertainty," CESifo Working Paper Series, CESifo, number 12041.

Report NEP-RMG-2025-08-25

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: