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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. 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:
- Sourish Das, 2025, "Predicting Stock Market Crash with Bayesian Generalised Pareto Regression," Papers, arXiv.org, number 2506.17549, Jun.
- Ziyao Wang & Svetlozar T Rachev, 2025, "Neural L\'evy SDE for State--Dependent Risk and Density Forecasting," Papers, arXiv.org, number 2509.01041, Aug.
- Matteo Bonato & Riza Demirer & Rangan Gupta & Abeeb Olaniran, 2025, "Does Mining Activity Drive Crash Risks in Cryptocurrency Markets? An Application to Bitcoin," Working Papers, University of Pretoria, Department of Economics, number 202530, Sep.
- Fabrizio Lillo & Piero Mazzarisi & Ioanna-Yvonni Tsaknaki, 2025, "Tackling estimation risk in Kelly investing using options," Papers, arXiv.org, number 2508.18868, Aug, revised Nov 2025.
- Sergio Bianchi & Daniele Angelini & Massimiliano Frezza & Augusto Pianese, 2025, "From fair price to fair volatility: Towards an Efficiency-Consistent Definition of Financial Risk," Papers, arXiv.org, number 2508.11649, Aug.
- Maciej Wysocki, 2025, "Sizing the Risk: Kelly, VIX, and Hybrid Approaches in Put-Writing on Index Options," Papers, arXiv.org, number 2508.16598, Aug.
- Jakub Micha'nk'ow, 2025, "Forecasting Probability Distributions of Financial Returns with Deep Neural Networks," Papers, arXiv.org, number 2508.18921, Aug, 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, arXiv.org, number 2506.21100, Jun.
- Rupendra Yadav & Aparna Mehra, 2025, "Robust MCVaR Portfolio Optimization with Ellipsoidal Support and Reproducing Kernel Hilbert Space-based Uncertainty," Papers, arXiv.org, number 2509.00447, Aug.
- Michael Schmutz & Eckhard Platen & Thorsten Schmidt, 2025, "Benchmark-Neutral Risk-Minimization for insurance products and nonreplicable claims," Papers, arXiv.org, number 2506.19494, Jun.
- 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, arXiv.org, number 2508.16595, Aug.
- Shaofeng Kang & Zeying Tian, 2025, "Optimal Portfolio Construction -- A Reinforcement Learning Embedded Bayesian Hierarchical Risk Parity (RL-BHRP) Approach," Papers, arXiv.org, number 2508.11856, Aug.
- Umberto Collodel, 2025, "Interpreting the Interpreter: Can We Model post-ECB Conferences Volatility with LLM Agents?," Papers, arXiv.org, number 2508.13635, Aug, revised Oct 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, London School of Economics and Political Science, LSE Library, number 129330, Feb.
- 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, University Library of Munich, Germany, number 125913, May. - Zbigniew Palmowski & Pawe{l} Stc{e}pniak, 2025, "Pricing American Options Time-Capped by a Drawdown Event," Papers, arXiv.org, number 2509.00999, Aug.
- Sabrina Aufiero & Silvia Bartolucci & Fabio Caccioli & Pierpaolo Vivo, 2025, "Mapping Microscopic and Systemic Risks in TradFi and DeFi: a literature review," Papers, arXiv.org, number 2508.12007, Aug.
- Hamza Hanbali, 2025, "Pricing insurance policies with offsetting relationship," Papers, arXiv.org, number 2508.13409, Aug.
- Zhi Chen & Zachary Feinstein & Ionut Florescu, 2025, "Identifying Risk Variables From ESG Raw Data Using A Hierarchical Variable Selection Algorithm," Papers, arXiv.org, number 2508.18679, Aug.
- 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, arXiv.org, number 2507.01990, Jun.
- Luca Benzoni & Marisa Wernick, 2025, "The 2025 U.S. Debt Limit Through the Lens of Financial Markets," Working Paper Series, Federal Reserve Bank of Chicago, number WP 2025-07, May, DOI: 10.21033/wp-2025-07.
- Anna Mancini & Bal'azs Lengyel & Riccardo Di Clemente & Giulio Cimini, 2025, "Evolution and determinants of firm-level systemic risk in local production networks," Papers, arXiv.org, number 2506.21426, Jun.
- Ahmet Umur Ozsoy, 2025, "Distributional Reinforcement Learning on Path-dependent Options," Papers, arXiv.org, number 2507.12657, Jul.
- 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, arXiv.org, number 2509.00011, Aug.
- 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, arXiv.org, number 2506.22763, Jun.
- Boris Kriuk & Logic Ng & Zarif Al Hossain, 2025, "DeepSupp: Attention-Driven Correlation Pattern Analysis for Dynamic Time Series Support and Resistance Levels Identification," Papers, arXiv.org, number 2507.01971, Jun.
- 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, arXiv.org, number 2506.22708, Jun.