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. Stanley 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, Center for Mathematical Economics, Bielefeld University, number 725, Jul.
• De Vecchi, Corrado & Nendel, Max & Streicher, Jan, 2025, "Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 739, Aug.
• Georgios I. Papayiannis & Georgios Psarrakos, 2025, "PELVaR: Probability equal level representation of Value at Risk through the notion of Flexible Expected Shortfall," Papers, arXiv.org, number 2507.13562, Jul.
• Rehim Kılıç, 2025, "Linear and nonlinear econometric models against machine learning models: realized volatility prediction," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-061, Aug, DOI: 10.17016/FEDS.2025.061.
• Kupper, Michael & Nendel, Max & Sgarabottolo, Alessandro, 2025, "Risk measures based on weak optimal transport," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 734, Aug.
• Biswarup Chakraborty, 2025, "Novel Risk Measures for Portfolio Optimization Using Equal-Correlation Portfolio Strategy," Papers, arXiv.org, number 2508.03704, Jul.
• Andres Mauricio Molina Barreto, 2025, "On a multivariate extension for Copula-based Conditional Value at Risk," Papers, arXiv.org, number 2508.16132, Aug.
• 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, arXiv.org, number 2507.04208, Jul.
• Monaco, Andrea & Perrotta, Adamaria & Sgarabottolo, Alessandro, 2025, "Assessing swaption portfolios for prepayment risk mitigation. A parametric perspective," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 729, Aug.
• Juchan Kim & Inwoo Tae & Yongjae Lee, 2025, "Estimating Covariance for Global Minimum Variance Portfolio: A Decision-Focused Learning Approach," Papers, arXiv.org, number 2508.10776, Aug.
• Grzegorz Dudek & Witold Orzeszko & Piotr Fiszeder, 2025, "Probabilistic Forecasting Cryptocurrencies Volatility: From Point to Quantile Forecasts," Papers, arXiv.org, number 2508.15922, Aug.
• Barbara Domotor & Ferenc Ill'es, 2025, "Through-the-Cycle PD Estimation Under Incomplete Data -- A Single Risk Factor Approach," Papers, arXiv.org, number 2508.15651, Aug.
• Milan Pontiggia, 2025, "Multifractality in Bitcoin Realised Volatility: Implications for Rough Volatility Modelling," Papers, arXiv.org, number 2507.00575, Jul, 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, University of Pretoria, Department of Economics, number 202528, Aug.
• Beißner, Patrick & Werner, Jan, 2025, "Optimal Allocations with $\alpha$-MaxMin Utilities, Choquet Expected Utilities, and Prospect Theory," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 722, Jul.
• Xiangyu Han & Yijun Hu & Ran Wang & Linxiao Wei, 2025, "On data-driven robust distortion risk measures for non-negative risks with partial information," Papers, arXiv.org, number 2508.10682, Aug.
• Theodore Kapopoulos & Dimitrios Anastasiou & Steven Ongena & Athanasios Sakkas, 2025, "Geopolitical Risk and Domestic Bank Deposits," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-64, Jul.
• 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, Center for Mathematical Economics, Bielefeld University, number 724, Jul.
• Priyanka Chudasama & Srikanth Krishnan Iyer, 2025, "Asymmetric super-Heston-rough volatility model with Zumbach effect as scaling limit of quadratic Hawkes processes," Papers, arXiv.org, number 2508.16566, Aug.
• 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, arXiv.org, number 2507.15046, Jul.
• 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, arXiv.org, number 2507.15441, Jul, revised Dec 2025.
• Dirk Schoenmaker & Willem Schramade, 2025, "Measuring GDP at risk in the low-carbon transition," Bruegel Working Papers, Bruegel, number node_11190, Aug.
• 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, arXiv.org, number 2508.08130, Aug.
• Guilherme V. Moura & Andr'e P. Santos & Hudson S. Torrent, 2025, "Variable selection for minimum-variance portfolios," Papers, arXiv.org, number 2508.14986, Aug.
• Weilong Liu & Yanchu Liu, 2025, "Covariance Matrix Estimation for Positively Correlated Assets," Papers, arXiv.org, number 2507.01545, Jul.
• Qizhao Chen, 2025, "Sentiment-Aware Mean-Variance Portfolio Optimization for Cryptocurrencies," Papers, arXiv.org, number 2508.16378, Aug.
• Teemu Pennanen & Waleed Taoum, 2025, "Statistical modeling of SOFR term structure," Papers, arXiv.org, number 2508.02691, Jul, revised Nov 2025.
• Diego Vallarino, 2025, "Adaptive Market Intelligence: A Mixture of Experts Framework for Volatility-Sensitive Stock Forecasting," Papers, arXiv.org, number 2508.02686, Jul.
• 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, arXiv.org, number 2507.08584, Jul.
• Roshan Shah, 2025, "American Option Pricing Under Time-Varying Rough Volatility: A Signature-Based Hybrid Framework," Papers, arXiv.org, number 2508.07151, Aug, revised Aug 2025.
• Drew M. Thomas, 2025, "A 4% withdrawal rate for American retirement spending, derived from a discrete-time model of stochastic returns on assets and their sample moments," Papers, arXiv.org, number 2508.10273, Aug, revised Dec 2025.
• Jingtang Ma & Xianglin Wu & Wenyuan Li, 2025, "Option pricing under non-Markovian stochastic volatility models: A deep signature approach," Papers, arXiv.org, number 2508.15237, Aug.
• Ivan Letteri, 2025, "A Comparative Analysis of Statistical and Machine Learning Models for Outlier Detection in Bitcoin Limit Order Books," Papers, arXiv.org, number 2507.14960, Jul.

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. 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: