Report NEP-RMG-2025-09-08

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:

• L'eonard Vincent, 2025. "Diversification and Stochastic Dominance: When All Eggs Are Better Put in One Basket," Papers 2507.16265, arXiv.org, revised Aug 2025.
• Rodrigo Alfaro & Catalina Estefó, 2025. "Tail-Risk Indicators with Time-Variant Volatility Models: the case of the Chilean Peso," Working Papers Central Bank of Chile 1041, Central Bank of Chile.
• Angelique Acquatella & Victoria Marone, 2025. "The Risk Protection Value of Moral Hazard," NBER Working Papers 34156, National Bureau of Economic Research, Inc.
• Ahmed Aboulhassane & Azzeddine Allioui, 2025. "An Analytical Framework for the Introduction of Overnight Index Swaps to Transform Risk Management in Morocco's Financial Market: Volatility or Stability," RAIS Conference Proceedings 2022-2025 05, Research Association for Interdisciplinary Studies.
• James W. Taylor & Chao Wang, 2025. "Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall," Papers 2508.16919, arXiv.org.
• Diego Fernando Cuesta-Mora & Camilo Gómez, 2025. "Dynamic Balance Sheet Simulation and Credit Default Prediction: A Stress Test Model for Colombian Firms," Borradores de Economia 1325, Banco de la Republica de Colombia.
• Jing Wang & Shuaiqiang Liu & Cornelis Vuik, 2025. "Controllable Generation of Implied Volatility Surfaces with Variational Autoencoders," Papers 2509.01743, arXiv.org.
• Eckhard Platen & Kevin Fergusson, 2025. "Free Lunches with Vanishing Risks Most Likely Exist," Papers 2508.07108, arXiv.org.
• Friederike Niepmann & Leslie Sheng Shen, 2025. "Geopolitical Risk and Global Banking," Working Papers 25-7, Federal Reserve Bank of Boston.
• Mikael Juselius & Aurea Ponte Marques & Nikola Tarashev, 2025. "Banks' regulatory risk tolerance," BIS Working Papers 1287, Bank for International Settlements.
• Eduardo Abi Jaber & Louis-Amand G'erard, 2025. "Hedging with memory: shallow and deep learning with signatures," Papers 2508.02759, arXiv.org.
• Abdullah Karasan & Ozge Sezgin Alp, 2025. "Signal from Noise Signal from Noise: A Neural Network-Based Denoising Approach for Measuring Global Financial Spillovers," Papers 2509.01156, arXiv.org.
• Gonzalo Ramirez-Carrillo & David Ortiz-Mora & Alex Aguilar-Larrotta, 2025. "Hierarchical Risk Parity for Portfolio Allocation in the Latin American NUAM Market," Papers 2509.03712, arXiv.org.
• Shuyu Gong & Taizhong Hu & Zhenfeng Zou, 2025. "Norms Based on Generalized Expected-Shortfalls and Applications," Papers 2507.09444, arXiv.org.
• Kiarash Firouzi, 2025. "Quantifying Crypto Portfolio Risk: A Simulation-Based Framework Integrating Volatility, Hedging, Contagion, and Monte Carlo Modeling," Papers 2507.08915, arXiv.org.
• Maximiliano San Millán, 2025. "The Cross Border Effects of Bank Capital Regulation in General Equilibrium," Working Papers Central Bank of Chile 1046, Central Bank of Chile.
• Leonardo Bargigli, 2025. "How Large is Excess Volatility of the EUR/USD Exchange Rate? Evidence from a GAS Approach," Working Papers - Economics wp2025_13.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
• Genjis A. Ossa & Luis H. Restrepo, 2025. "Longitudinal review of portfolios with minimum variance approach before during and after the pandemic," Papers 2507.15111, arXiv.org.
• Us-Salam, Danish, 2025. "Mitigating Vulnerability: The Role of Risk Warnings, Information Order & Salience in Crypto Assets," Research Technical Papers 9/RT/25, Central Bank of Ireland.
• Carlo Nicolini & Matteo Manzi & Hugo Delatte, 2025. "skfolio: Portfolio Optimization in Python," Papers 2507.04176, arXiv.org, revised Jul 2025.
• William Du & Adrian Monninger & Xincheng Qiu & Tao Wang, 2025. "Perceived Unemployment Risks over Business Cycles," Staff Working Papers 25-23, Bank of Canada.
• Yin, Wei & Wu, Fan & Zhou, Peng & Kirkulak-Uludag, Berna, 2025. "Exploring Resilience in the Cryptocurrency Market: Risk Transmission and Network Robustness," Cardiff Economics Working Papers E2025/18, Cardiff University, Cardiff Business School, Economics Section.