Report NEP-RMG-2025-09-15

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:

• Sourish Das, 2025. "Predicting Stock Market Crash with Bayesian Generalised Pareto Regression," Papers 2506.17549, arXiv.org.
• Ziyao Wang & Svetlozar T Rachev, 2025. "Neural L\'evy SDE for State--Dependent Risk and Density Forecasting," Papers 2509.01041, arXiv.org.
• Matteo Bonato & Riza Demirer & Rangan Gupta & Abeeb Olaniran, 2025. "Does Mining Activity Drive Crash Risks in Cryptocurrency Markets? An Application to Bitcoin," Working Papers 202530, University of Pretoria, Department of Economics.
• Fabrizio Lillo & Piero Mazzarisi & Ioanna-Yvonni Tsaknaki, 2025. "Tackling estimation risk in Kelly investing using options," Papers 2508.18868, arXiv.org.
• Sergio Bianchi & Daniele Angelini & Massimiliano Frezza & Augusto Pianese, 2025. "From fair price to fair volatility: Towards an Efficiency-Consistent Definition of Financial Risk," Papers 2508.11649, arXiv.org.
• Maciej Wysocki, 2025. "Sizing the Risk: Kelly, VIX, and Hybrid Approaches in Put-Writing on Index Options," Papers 2508.16598, arXiv.org.
• Jakub Micha'nk'ow, 2025. "Forecasting Probability Distributions of Financial Returns with Deep Neural Networks," Papers 2508.18921, arXiv.org, revised Aug 2025.
• Nektarios Aslanidis & Aurelio Bariviera & George Kapetanios & Vasilis Sarafidis, 2025. "Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach," Papers 2506.21100, arXiv.org.
• Rupendra Yadav & Aparna Mehra, 2025. "Robust MCVaR Portfolio Optimization with Ellipsoidal Support and Reproducing Kernel Hilbert Space-based Uncertainty," Papers 2509.00447, arXiv.org.
• Michael Schmutz & Eckhard Platen & Thorsten Schmidt, 2025. "Benchmark-Neutral Risk-Minimization for insurance products and nonreplicable claims," Papers 2506.19494, arXiv.org.
• Zixing Chen & Yihan Qi & Shanlan Que & Julian Sester & Xiao Zhang, 2025. "Empirical Analysis of the Model-Free Valuation Approach: Hedging Gaps, Conservatism, and Trading Opportunities," Papers 2508.16595, arXiv.org.
• Shaofeng Kang & Zeying Tian, 2025. "Optimal Portfolio Construction -- A Reinforcement Learning Embedded Bayesian Hierarchical Risk Parity (RL-BHRP) Approach," Papers 2508.11856, arXiv.org.
• Umberto Collodel, 2025. "Interpreting the Interpreter: Can We Model post-ECB Conferences Volatility with LLM Agents?," Papers 2508.13635, arXiv.org, revised Sep 2025.
• Reitmeier, Lea & Dookie, Denyse & Rozer, Viktor, 2025. "Financing the unpredictable: what role could sovereign catastrophe bonds play in disaster risk management," LSE Research Online Documents on Economics 129330, London School of Economics and Political Science, LSE Library.
• Hellenkamp, Detlef, 2025. "Institutionelle Transformation im Bankensektor: Multidimensionale Analyse der Auswirkungen von Digitalisierung, ESG, Demografie und Regulierung auf deutsche und europäische Kreditinstitute [Institu," MPRA Paper 125913, University Library of Munich, Germany.
• Zbigniew Palmowski & Pawe{l} Stc{e}pniak, 2025. "Pricing American Options Time-Capped by a Drawdown Event," Papers 2509.00999, arXiv.org.
• Sabrina Aufiero & Silvia Bartolucci & Fabio Caccioli & Pierpaolo Vivo, 2025. "Mapping Microscopic and Systemic Risks in TradFi and DeFi: a literature review," Papers 2508.12007, arXiv.org.
• Hamza Hanbali, 2025. "Pricing insurance policies with offsetting relationship," Papers 2508.13409, arXiv.org.
• Zhi Chen & Zachary Feinstein & Ionut Florescu, 2025. "Identifying Risk Variables From ESG Raw Data Using A Hierarchical Variable Selection Algorithm," Papers 2508.18679, arXiv.org.
• Sedigheh Mahdavi & Jiating & Chen & Pradeep Kumar Joshi & Lina Huertas Guativa & Upmanyu Singh, 2025. "Integrating Large Language Models in Financial Investments and Market Analysis: A Survey," Papers 2507.01990, arXiv.org.
• Luca Benzoni & Marisa Wernick, 2025. "The 2025 U.S. Debt Limit Through the Lens of Financial Markets," Working Paper Series WP 2025-07, Federal Reserve Bank of Chicago.
• Anna Mancini & Bal'azs Lengyel & Riccardo Di Clemente & Giulio Cimini, 2025. "Evolution and determinants of firm-level systemic risk in local production networks," Papers 2506.21426, arXiv.org.
• Ahmet Umur Ozsoy, 2025. "Distributional Reinforcement Learning on Path-dependent Options," Papers 2507.12657, arXiv.org.
• Oytun Hac{c}ar{i}z & Torsten Kleinow & Angus S. Macdonald, 2025. "A review of the Markov model of life insurance with a view to surplus," Papers 2509.00011, arXiv.org.
• Fiona Xiao Jingyi & Lili Liu, 2025. "Can We Reliably Predict the Fed's Next Move? A Multi-Modal Approach to U.S. Monetary Policy Forecasting," Papers 2506.22763, arXiv.org.
• Boris Kriuk & Logic Ng & Zarif Al Hossain, 2025. "DeepSupp: Attention-Driven Correlation Pattern Analysis for Dynamic Time Series Support and Resistance Levels Identification," Papers 2507.01971, arXiv.org.
• Shrenik Jadhav & Birva Sevak & Srijita Das & Akhtar Hussain & Wencong Su & Van-Hai Bui, 2025. "FairMarket-RL: LLM-Guided Fairness Shaping for Multi-Agent Reinforcement Learning in Peer-to-Peer Markets," Papers 2506.22708, arXiv.org.