Report NEP-RMG-2025-09-22

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:

• Yuri Imamura & Takashi Kato, 2025, "A Note on Subadditivity of Value at Risks (VaRs): A New Connection to Comonotonicity," Papers, arXiv.org, number 2509.12558, Sep, revised Oct 2025.
• Anand Deo, 2025, "EVT-Based Rate-Preserving Distributional Robustness for Tail Risk Functionals," Papers, arXiv.org, number 2506.16230, Jun, revised Jan 2026.
• Yuting Su & Taizhong Hu & Zhenfeng Zou, 2025, "Extreme-case Range Value-at-Risk under Increasing Failure Rate," Papers, arXiv.org, number 2506.23073, Jun.
• Evžen Kočenda & Peter Albrecht & Daniel Pastorek, 2025, "Geopolitical Risk and Extreme Spillovers Among Oil-Based Energy Commodities," CESifo Working Paper Series, CESifo, number 12133.
• A. H. Nzokem, 2025, "Comparing Bitcoin and Ethereum tail behavior via Q-Q analysis of cryptocurrency returns," Papers, arXiv.org, number 2507.01983, Jun.
• Crystal Rust, 2025, "Chaotic Bayesian Inference: Strange Attractors as Risk Models for Black Swan Events," Papers, arXiv.org, number 2509.08183, Sep.
• Friederike Niepmann & Leslie Sheng Shen, 2025, "Geopolitical Risk and Global Banking," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1418, Aug, DOI: 10.17016/IFDP.2025.1418.
• Xia Han & Liyuan Lin & Mengshi Zhao, 2025, "Empirical estimator of diversification quotient," Papers, arXiv.org, number 2506.20385, Jun, revised Oct 2025.
• Adrian Iulian Cristescu & Matteo Giordano, 2025, "A comparative analysis of machine learning algorithms for predicting probabilities of default," Papers, arXiv.org, number 2506.19789, Jun.
• Guo, Hongfei & Marín Díazaraque, Juan Miguel & Veiga, Helena, 2025, "Learning Volatility:A Bayesian Neural Stochastic Framework," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 47944, Sep.
• Correia, Maria, 2025, "Accounting and corporate failure: the evolving role of accounting information in bankruptcy prediction," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 128340, Sep.
• Fallou Niakh & Arthur Charpentier & Caroline Hillairet & Philipp Ratz, 2025, "Disaster Risk Financing through Taxation: A Framework for Regional Participation in Collective Risk-Sharing," Papers, arXiv.org, number 2506.18895, Jun.
• Feliks Ba'nka & Jaros{l}aw A. Chudziak, 2025, "DeltaHedge: A Multi-Agent Framework for Portfolio Options Optimization," Papers, arXiv.org, number 2509.12753, Sep.
• Juselius, Mikael & Marques, Aurea Ponte & Tarashev, Nikola A., 2025, "Banks' regulatory risk tolerance," Bank of Finland Research Discussion Papers, Bank of Finland, number 11/2025.
• Son Ku Kim & Seung Joo Lee & Sheridan Titman, 2025, "Managerial Incentives, Financial Innovation, and Risk-Management Policies," NBER Working Papers, National Bureau of Economic Research, Inc, number 34211, Sep.
• Katia Colaneri & Alessandra Cretarola & Edoardo Lombardo & Daniele Mancinelli, 2025, "Design and hedging of unit linked life insurance with environmental factors," Papers, arXiv.org, number 2509.05676, Sep, revised Sep 2025.
• Naftali Cohen, 2025, "Rethinking Beta: A Causal Take on CAPM," Papers, arXiv.org, number 2509.05760, Sep, revised Sep 2025.
• Matteo Foglia & Rangan Gupta & Petre Caraiani & Vincenzo Pacelli, 2025, "Time-Varying Spillover of Multi-Scale Positive and Negative Bubbles in Stock and Oil Markets," Working Papers, University of Pretoria, Department of Economics, number 202534, Sep.
• Sebastian Fossati & Xiao Li, 2025, "Exchange Rate Predictability and Financial Conditions," Working Papers, University of Alberta, Department of Economics, number 2025-06, Sep.
• Peilin Rao & Randall R. Rojas, 2025, "Predicting Market Troughs: A Machine Learning Approach with Causal Interpretation," Papers, arXiv.org, number 2509.05922, Sep.
• Jakub Growiec & Klaus Prettner, 2025, "The Paradox of Doom: Acknowledging Extinction Risk Reduces the Incentive to Prevent It," Papers, arXiv.org, number 2509.04855, Sep.
• Niklas Ahlgren & Alexander Back & Timo Terasvirta, 2025, "Testing parametric additive time-varying GARCH models," Papers, arXiv.org, number 2506.23821, Jun.
• Jiwook Yoo, 2025, "Joint calibration of the volatility surface and variance term structure," Papers, arXiv.org, number 2509.08096, Sep.
• Ruisi Li & Xinhui Gu, 2025, "Optimization Method of Multi-factor Investment Model Driven by Deep Learning for Risk Control," Papers, arXiv.org, number 2507.00332, Jun.
• Matteo Buttarazzi & Tiziano De Angelis & Gabriele Stabile, 2025, "Optimal Annuitization with stochastic mortality: Piecewise Deterministic Mortality Force," Papers, arXiv.org, number 2509.13091, Sep.
• Danielsson, Jon & Uthemann, Andreas, 2025, "Artificial intelligence and financial crises," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 128657, Sep.
• Chen, Peng & Zhu, Jin & Zhu, Junxian & Wang, Xueqin, 2025, "Simplex constrained sparse optimization via tail screening," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 129540, Dec.
• Patrick J. Laub & Tu Pho & Bernard Wong, 2025, "An Interpretable Deep Learning Model for General Insurance Pricing," Papers, arXiv.org, number 2509.08467, Sep.
• Hongyi Liu, 2025, "Deep Learning for Conditional Asset Pricing Models," Papers, arXiv.org, number 2509.04812, Sep.
• Guillaume Maitrier & Gr'egoire Loeper & Jean-Philippe Bouchaud, 2025, "The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility II: An Artificial Market Generator," Papers, arXiv.org, number 2509.05065, Sep.
• Wei Liang & Heng-fu Zou, 2025, "Liberal Ideas Capital and Asset Pricing: A Political Economy of Risk, Return, and Freedom," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 779, Aug.
• De Simone, Lisa & Giese, Henning & Koch, Reinald & Rehrl, Christoph, 2025, "Real effects of earnings stripping rules," arqus Discussion Papers in Quantitative Tax Research, arqus - Arbeitskreis Quantitative Steuerlehre, number 306.
• Heng-fu Zou, 2025, "Institutional Disaster Risk and Asset Pricing: A Unified Framework Integrating Rare Events and Endogenous Political Shocks," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 777, Jul.
• Peter Forsyth & Pieter van Staden & Yuying Li, 2025, "Making Leveraged Exchange-Traded Funds Work for your Portfolio," Papers, arXiv.org, number 2506.19200, Jun.
• Yiran Wan & Xinyu Ying & Shengzhen Xu, 2025, "Automated Trading System for Straddle-Option Based on Deep Q-Learning," Papers, arXiv.org, number 2509.07987, Aug.
• Peter Ganong & Pascal J. Noel & Christina Patterson & Joseph S. Vavra & Alexander Weinberg, 2025, "Earnings Instability," NBER Working Papers, National Bureau of Economic Research, Inc, number 34227, Sep.
• Matthew O. Jackson & Agathe Pernoud, 2025, "Optimal Regulation and Investment Incentives in Financial Networks," Papers, arXiv.org, number 2506.16648, Jun, revised Oct 2025.
• Jimmy Risk & Shen-Ning Tung & Tai-Ho Wang, 2025, "Dynamics of Liquidity Surfaces in Uniswap v3," Papers, arXiv.org, number 2509.05013, Sep.

Report NEP-RMG-2025-09-22

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: