Printed from https://ideas.repec.org/n/nep-rmg/2025-09-08.html
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. 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:
- L'eonard Vincent, 2025, "Diversification and Stochastic Dominance: When All Eggs Are Better Put in One Basket," Papers, arXiv.org, number 2507.16265, Jul, 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, Central Bank of Chile, number 1041, Apr.
- Angelique Acquatella & Victoria Marone, 2025, "The Risk Protection Value of Moral Hazard," NBER Working Papers, National Bureau of Economic Research, Inc, number 34156, Aug.
- 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, Research Association for Interdisciplinary Studies, number 05, Apr.
- James W. Taylor & Chao Wang, 2025, "Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall," Papers, arXiv.org, number 2508.16919, Aug.
- 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, Banco de la Republica de Colombia, number 1325, Aug, DOI: 10.32468/be.1325.
- Jing Wang & Shuaiqiang Liu & Cornelis Vuik, 2025, "Controllable Generation of Implied Volatility Surfaces with Variational Autoencoders," Papers, arXiv.org, number 2509.01743, Sep.
- Eckhard Platen & Kevin Fergusson, 2025, "Free Lunches with Vanishing Risks Most Likely Exist," Papers, arXiv.org, number 2508.07108, Aug.
- Friederike Niepmann & Leslie Sheng Shen, 2025, "Geopolitical Risk and Global Banking," Working Papers, Federal Reserve Bank of Boston, number 25-7, Aug, DOI: 10.29412/res.wp.2025.07.
- Mikael Juselius & Aurea Ponte Marques & Nikola Tarashev, 2025, "Banks' regulatory risk tolerance," BIS Working Papers, Bank for International Settlements, number 1287, Sep.
- Eduardo Abi Jaber & Louis-Amand G'erard, 2025, "Hedging with memory: shallow and deep learning with signatures," Papers, arXiv.org, number 2508.02759, Aug.
- Abdullah Karasan & Ozge Sezgin Alp, 2025, "Signal from Noise Signal from Noise: A Neural Network-Based Denoising Approach for Measuring Global Financial Spillovers," Papers, arXiv.org, number 2509.01156, Sep.
- Gonzalo Ramirez-Carrillo & David Ortiz-Mora & Alex Aguilar-Larrotta, 2025, "Hierarchical Risk Parity for Portfolio Allocation in the Latin American NUAM Market," Papers, arXiv.org, number 2509.03712, Sep.
- Shuyu Gong & Taizhong Hu & Zhenfeng Zou, 2025, "Norms Based on Generalized Expected-Shortfalls and Applications," Papers, arXiv.org, number 2507.09444, Jul.
- Kiarash Firouzi, 2025, "Quantifying Crypto Portfolio Risk: A Simulation-Based Framework Integrating Volatility, Hedging, Contagion, and Monte Carlo Modeling," Papers, arXiv.org, number 2507.08915, Jul.
- Maximiliano San Millán, 2025, "The Cross Border Effects of Bank Capital Regulation in General Equilibrium," Working Papers Central Bank of Chile, Central Bank of Chile, number 1046, Jun.
- Leonardo Bargigli, 2025, "How Large is Excess Volatility of the EUR/USD Exchange Rate? Evidence from a GAS Approach," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2025_13.rdf.
- Genjis A. Ossa & Luis H. Restrepo, 2025, "Longitudinal review of portfolios with minimum variance approach before during and after the pandemic," Papers, arXiv.org, number 2507.15111, Jul.
- Us-Salam, Danish, 2025, "Mitigating Vulnerability: The Role of Risk Warnings, Information Order & Salience in Crypto Assets," Research Technical Papers, Central Bank of Ireland, number 9/RT/25, Jul.
- Carlo Nicolini & Matteo Manzi & Hugo Delatte, 2025, "skfolio: Portfolio Optimization in Python," Papers, arXiv.org, number 2507.04176, Jul, revised Jul 2025.
- William Du & Adrian Monninger & Xincheng Qiu & Tao Wang, 2025, "Perceived Unemployment Risks over Business Cycles," Staff Working Papers, Bank of Canada, number 25-23, Aug, DOI: 10.34989/swp-2025-23.
- 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, Cardiff University, Cardiff Business School, Economics Section, number E2025/18, Aug.