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. 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:

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