Report NEP-RMG-2025-09-29

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:

• Friederike Niepmann & Leslie Sheng Shen, 2025. "Geopolitical Risk and Global Banking," CESifo Working Paper Series 12145, CESifo.
• Yuming Ma, 2025. "Deep Hedging to Manage Tail Risk," Papers 2506.22611, arXiv.org.
• Eduardo Abi Jaber & Shaun Xiaoyuan Li, 2025. "Volatility models in practice: Rough, Path-dependent or Markovian?," Post-Print hal-04372797, HAL.
• Fekria Belhouichet & Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2025. "Tail Connectedness Between Robotics and AI ETFs and Traditional Us Assets Under Different Market Conditions: A Quantile Var Approach," CESifo Working Paper Series 12143, CESifo.
• Vasily Melnikov, 2025. "Optimal Risk Sharing Without Preference Convexity: An Aggregate Convexity Approach," Papers 2509.08832, arXiv.org.
• Leonardo Baggiani & Martin Herdegen & Nazem Khan, 2025. "The Interplay between Utility and Risk in Portfolio Selection," Papers 2509.10351, arXiv.org.
• Mulabdic, Alen & Yotov, Yoto V., 2025. "Geopolitical Risks and Trade," Policy Research Working Paper Series 11219, The World Bank.
• Yi Lu & Aifan Ling & Chaoqun Wang & Yaxin Xu, 2025. "Why Bonds Fail Differently? Explainable Multimodal Learning for Multi-Class Default Prediction," Papers 2509.10802, arXiv.org.
• Stéphane Lhuissier, 2025. "Assessing Asymmetric Macroeconomic Risk," Working papers 1004, Banque de France.
• Jirong Zhuang & Xuan Wu, 2025. "Meta-Learning Neural Process for Implied Volatility Surfaces with SABR-induced Priors," Papers 2509.11928, arXiv.org.
• Todd Prono, 2025. "When Tails Are Heavy: The Benefits of Variance-Targeted, Non-Gaussian, Quasi-Maximum Likelihood Estimation of GARCH Models," Finance and Economics Discussion Series 2025-075, Board of Governors of the Federal Reserve System (U.S.).
• Alexander Gairat & Vyacheslav Gorovoy & Vadim Shcherbakov, 2025. "Explicit local volatility formula for Cheyette-type interest rate models," Papers 2506.23876, arXiv.org, revised Aug 2025.
• Sagi Schwartz & Qinling Wang & Fang Fang, 2025. "Enhancing ML Models Interpretability for Credit Scoring," Papers 2509.11389, arXiv.org.
• Wenbin Sun & Rahul Govind & Mahabubur Rahman, 2025. "Risky business or strategic advantage? The varying effects of vertical coopetition on firm risk," Post-Print hal-05224431, HAL.
• Domenech Palacios, Mar, 2025. "Firms’ risk and monetary transmission: revisiting the excess bond premium," Working Paper Series 3118, European Central Bank.
• Carol Bertaut & Ester Faia & Ṣebnem Kalemli-Özcan & Camilo Marchesini & Simon Paetzold & Martin Schmitz, 2025. "Asset Elasticities and Currency Risk Transfer," NBER Working Papers 34275, National Bureau of Economic Research, Inc.
• Shawn Kimble & Matthew P. Seay, 2025. "Pricing Tail Risks: Bank Equity Returns During the 2023 Bank Stress," Finance and Economics Discussion Series 2025-078, Board of Governors of the Federal Reserve System (U.S.).
• Omar Abdelrahman & David Chen & Cameron MacDonald & Adi Mordel & Guillaume Ouellet Leblanc, 2025. "Simulating the Resilience of the Canadian Banking Sector Under Stress: An Update of the Bank of Canada’s Top-Down Solvency Assessment Tool," Technical Reports 128, Bank of Canada.
• Yufei Sun, 2025. "Does Pair Trading Still Work During Extreme Events? A Comprehensive Empirical Evidence from Chinese Stock Market," Working Papers 2025-23, Faculty of Economic Sciences, University of Warsaw.
• Vaishali Garga & Edward P. Herbst & Alisdair McKay & Giovanni Nicolo & Matthias Paustian, 2025. "Monetary Policy, Uncertainty, and Communications," Finance and Economics Discussion Series 2025-074, Board of Governors of the Federal Reserve System (U.S.).
• van Ewijk, Casper & Meijdam, Lex, 2025. "Optimal Balance Between Funding and Payg Pensions: the Case of NDC Pensions," Discussion Paper 2025-012, Tilburg University, Center for Economic Research.
• Scarlett Tannous & Terje Aven & Myriam Merad, 2025. "A core multi-criteria framework for assessing the performance of policies related to risk: a case study on risk policy for high risk sites," Post-Print hal-05252430, HAL.
• H'ector Jasso-Fuentes & Alejandra Quintos & Xinta Yang, 2025. "Group Survival Probability under Contagion in Microlending," Papers 2509.11579, arXiv.org, revised Sep 2025.
• Kemper, Annika & Schmeck, Maren Diane, 2025. "The Market Price of Jump Risk for Delivery Periods: Pricing of Electricity Swaps with Geometric Averaging," Center for Mathematical Economics Working Papers 726, Center for Mathematical Economics, Bielefeld University.
• Lara Loewenstein & Paul S. Willen & Yuxi Yao & David Hao Zhang, 2025. "Is There a Puzzle in Underwater Mortgage Default?," Working Papers 25-22, Federal Reserve Bank of Cleveland.
• Meng, Wei, 2025. "Beyond Expert Judgment: An Explainable Framework for Truth Discovery, Weak Supervision, and Learning-Based Ranking in Open-Source Intelligence Risk Identification," SocArXiv 5642u_v1, Center for Open Science.