Report NEP-RMG-2025-09-01

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:

• Nendel, Max & Streicher, Jan, 2025. "An axiomatic approach to default risk and model uncertainty in rating systems," Center for Mathematical Economics Working Papers 725, Center for Mathematical Economics, Bielefeld University.
• De Vecchi, Corrado & Nendel, Max & Streicher, Jan, 2025. "Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty," Center for Mathematical Economics Working Papers 739, Center for Mathematical Economics, Bielefeld University.
• Georgios I. Papayiannis & Georgios Psarrakos, 2025. "PELVaR: Probability equal level representation of Value at Risk through the notion of Flexible Expected Shortfall," Papers 2507.13562, arXiv.org.
• Rehim Kılıç, 2025. "Linear and nonlinear econometric models against machine learning models: realized volatility prediction," Finance and Economics Discussion Series 2025-061, Board of Governors of the Federal Reserve System (U.S.).
• Kupper, Michael & Nendel, Max & Sgarabottolo, Alessandro, 2025. "Risk measures based on weak optimal transport," Center for Mathematical Economics Working Papers 734, Center for Mathematical Economics, Bielefeld University.
• Biswarup Chakraborty, 2025. "Novel Risk Measures for Portfolio Optimization Using Equal-Correlation Portfolio Strategy," Papers 2508.03704, arXiv.org.
• Andres Mauricio Molina Barreto, 2025. "On a multivariate extension for Copula-based Conditional Value at Risk," Papers 2508.16132, arXiv.org.
• Ayush Jha & Abootaleb Shirvani & Ali M. Jaffri & Svetlozar T. Rachev & Frank J. Fabozzi, 2025. "Behavioral Probability Weighting and Portfolio Optimization under Semi-Heavy Tails," Papers 2507.04208, arXiv.org.
• Monaco, Andrea & Perrotta, Adamaria & Sgarabottolo, Alessandro, 2025. "Assessing swaption portfolios for prepayment risk mitigation. A parametric perspective," Center for Mathematical Economics Working Papers 729, Center for Mathematical Economics, Bielefeld University.
• Juchan Kim & Inwoo Tae & Yongjae Lee, 2025. "Estimating Covariance for Global Minimum Variance Portfolio: A Decision-Focused Learning Approach," Papers 2508.10776, arXiv.org.
• Grzegorz Dudek & Witold Orzeszko & Piotr Fiszeder, 2025. "Probabilistic Forecasting Cryptocurrencies Volatility: From Point to Quantile Forecasts," Papers 2508.15922, arXiv.org.
• Barbara Domotor & Ferenc Ill'es, 2025. "Through-the-Cycle PD Estimation Under Incomplete Data -- A Single Risk Factor Approach," Papers 2508.15651, arXiv.org.
• Milan Pontiggia, 2025. "Scale-Dependent Multifractality in Bitcoin Realised Volatility: Implications for Rough Volatility Modelling," Papers 2507.00575, arXiv.org, revised Sep 2025.
• Zhangying Li & O-Chia Chuang & Rangan Gupta & Elie Bouri, 2025. "The Roles of Global Supply Chain Pressure and Economic Conditions in Forecasting the VaR of Commodity Markets: A Quantile GARCH-MIDAS Approach," Working Papers 202528, University of Pretoria, Department of Economics.
• Beißner, Patrick & Werner, Jan, 2025. "Optimal Allocations with $\alpha$-MaxMin Utilities, Choquet Expected Utilities, and Prospect Theory," Center for Mathematical Economics Working Papers 722, Center for Mathematical Economics, Bielefeld University.
• Xiangyu Han & Yijun Hu & Ran Wang & Linxiao Wei, 2025. "On data-driven robust distortion risk measures for non-negative risks with partial information," Papers 2508.10682, arXiv.org.
• Theodore Kapopoulos & Dimitrios Anastasiou & Steven Ongena & Athanasios Sakkas, 2025. "Geopolitical Risk and Domestic Bank Deposits," Swiss Finance Institute Research Paper Series 25-64, Swiss Finance Institute.
• Nendel, Max & Sgarabottolo, Alessandro, 2025. "A parametric approach to the estimation of convex risk functionals based on Wasserstein distance," Center for Mathematical Economics Working Papers 724, Center for Mathematical Economics, Bielefeld University.
• Priyanka Chudasama & Srikanth Krishnan Iyer, 2025. "Asymmetric super-Heston-rough volatility model with Zumbach effect as scaling limit of quadratic Hawkes processes," Papers 2508.16566, arXiv.org.
• Fayc{c}al Djebari & Kahina Mehidi & Khelifa Mazouz & Philipp Otto, 2025. "Volatility Spillovers and Interconnectedness in OPEC Oil Markets: A Network-Based log-ARCH Approach," Papers 2507.15046, arXiv.org.
• Arno Botha & Tanja Verster, 2025. "Approaches for modelling the term-structure of default risk under IFRS 9: A tutorial using discrete-time survival analysis," Papers 2507.15441, arXiv.org.
• Dirk Schoenmaker & Willem Schramade, 2025. "Measuring GDP at risk in the low-carbon transition," Bruegel Working Papers node_11190, Bruegel.
• Tim J. Boonen & Engel John C. Dela Vega & Bin Zou, 2025. "Optimal Dividend, Reinsurance, and Capital Injection Strategies for an Insurer with Two Collaborating Business Lines," Papers 2508.08130, arXiv.org.
• Guilherme V. Moura & Andr'e P. Santos & Hudson S. Torrent, 2025. "Variable selection for minimum-variance portfolios," Papers 2508.14986, arXiv.org.
• Weilong Liu & Yanchu Liu, 2025. "Covariance Matrix Estimation for Positively Correlated Assets," Papers 2507.01545, arXiv.org.
• Qizhao Chen, 2025. "Sentiment-Aware Mean-Variance Portfolio Optimization for Cryptocurrencies," Papers 2508.16378, arXiv.org.
• Teemu Pennanen & Waleed Taoum, 2025. "Statistical modeling of SOFR term structure," Papers 2508.02691, arXiv.org.
• Diego Vallarino, 2025. "Adaptive Market Intelligence: A Mixture of Experts Framework for Volatility-Sensitive Stock Forecasting," Papers 2508.02686, arXiv.org.
• Dimitrios Emmanoulopoulos & Ollie Olby & Justin Lyon & Namid R. Stillman, 2025. "To Trade or Not to Trade: An Agentic Approach to Estimating Market Risk Improves Trading Decisions," Papers 2507.08584, arXiv.org.
• Roshan Shah, 2025. "American Option Pricing Under Time-Varying Rough Volatility: A Signature-Based Hybrid Framework," Papers 2508.07151, arXiv.org, revised Aug 2025.
• Drew M. Thomas, 2025. "A 4% withdrawal rate for retirement spending, derived from a discrete-time model of stochastic returns on assets," Papers 2508.10273, arXiv.org.
• Jingtang Ma & Xianglin Wu & Wenyuan Li, 2025. "Option pricing under non-Markovian stochastic volatility models: A deep signature approach," Papers 2508.15237, arXiv.org.
• Ivan Letteri, 2025. "A Comparative Analysis of Statistical and Machine Learning Models for Outlier Detection in Bitcoin Limit Order Books," Papers 2507.14960, arXiv.org.