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. 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:

• Abiodun Finbarrs Oketunji, 2025. "Quantitative Risk Management in Volatile Markets with an Expectile-Based Framework for the FTSE Index," Papers 2507.13391, arXiv.org.
• Luyun Lin & Yiqing Wang, 2025. "SHAP Stability in Credit Risk Management: A Case Study in Credit Card Default Model," Papers 2508.01851, arXiv.org.
• Sebastian Geissel & Christoph Knochenhauer, 2025. "ESG Risk: Lessons Learned from Utility Theory," Papers 2507.23496, arXiv.org.
• 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 2507.19206, arXiv.org.
• 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 2508.02684, arXiv.org.
• Wanting He & Wenyuan Li & Yunran Wei, 2025. "Periodic evaluation of defined-contribution pension fund: A dynamic risk measure approach," Papers 2508.05241, arXiv.org.
• Carlos Bouthelier-Madre & Carlos Escudero, 2025. "Three-level qualitative classification of financial risks under varying conditions through first passage times," Papers 2507.08101, arXiv.org.
• Djibril Gueye & Alejandra Quintos, 2025. "Dependent Default Modeling through Multivariate Generalized Cox Processes," Papers 2508.05022, arXiv.org.
• 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) 156328, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
• Kenneth Q. Zhou & Hongjuan Zhou, 2025. "Modeling Excess Mortality and Interest Rates using Mixed Fractional Brownian Motions," Papers 2507.19445, arXiv.org, revised Aug 2025.
• Haibo Wang, 2025. "Assessing Dynamic Connectedness in Global Supply Chain Infrastructure Portfolios: The Impact of Risk Factors and Extreme Events," Papers 2508.04858, arXiv.org.
• Xinbing Kong & Cheng Liu & Bin Wu, 2025. "Data Synchronization at High Frequencies," Papers 2507.12220, arXiv.org.
• 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 2025-08, Joint Research Centre, European Commission.
• Gianni De Nicolò, 2025. "Bank Risk-Taking and Bank Rents: Revisiting the Franchise Value Hypothesis," CESifo Working Paper Series 12044, CESifo.
• Leonardo Perotti & Lech A. Grzelak & Cornelis W. Oosterlee, 2025. "Pricing and hedging the prepayment option of mortgages under stochastic housing market activity," Papers 2507.08641, arXiv.org.
• Liyuan Cui & Wenyuan Li, 2025. "Demand for catastrophe insurance under the path-dependent effects," Papers 2508.15355, arXiv.org.
• Saadaoui, Jamel, 2025. "Geopolitical Turning Points and Oil Price Responses: An IV-LP Approach," MPRA Paper 125586, University Library of Munich, Germany.
• Ziyao Wang, 2025. "L\'evy-Driven Option Pricing without a Riskless Asset," Papers 2507.20338, arXiv.org.
• 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 2508.02738, arXiv.org.
• Alen Mulabdic & Yoto Yotov, 2025. "Geopolitical Risks and Trade," Working Papers 202532, Center for Global Policy Analysis, LeBow College of Business, Drexel University.
• 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 202526, University of Pretoria, Department of Economics.
• Stefan Nagel, 2025. "Seemingly Virtuous Complexity in Return Prediction," NBER Working Papers 34104, National Bureau of Economic Research, Inc.
• 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 2401, Banco Central de Costa Rica.
• 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 2025/013, International Monetary Fund.
• Albert Prades-Colomé, 2025. "Mortality risk factors in the Catalan long-term care system," Working Papers 2025-10, FEDEA.
• Ismet Gocer & Julia Darby & Serdar Ongan, 2025. "Introducing a New Brexit-Related Uncertainty Index: Its Evolution and Economic Consequences," Papers 2507.02439, arXiv.org, revised Jul 2025.
• Robin Musolff & Florian Zimmermann, 2025. "Model Uncertainty," CESifo Working Paper Series 12041, CESifo.