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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. 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:
- Friederike Niepmann & Leslie Sheng Shen, 2025, "Geopolitical Risk and Global Banking," CESifo Working Paper Series, CESifo, number 12145.
- Yuming Ma, 2025, "Deep Hedging to Manage Tail Risk," Papers, arXiv.org, number 2506.22611, Jun.
- Eduardo Abi Jaber & Shaun Xiaoyuan Li, 2025, "Volatility models in practice: Rough, Path-dependent or Markovian?," Post-Print, HAL, number hal-04372797, May.
- 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, CESifo, number 12143.
- Vasily Melnikov, 2025, "Optimal Risk Sharing Without Preference Convexity: An Aggregate Convexity Approach," Papers, arXiv.org, number 2509.08832, Aug.
- Leonardo Baggiani & Martin Herdegen & Nazem Khan, 2025, "The Interplay between Utility and Risk in Portfolio Selection," Papers, arXiv.org, number 2509.10351, Sep.
- Mulabdic, Alen & Yotov, Yoto V., 2025, "Geopolitical Risks and Trade," Policy Research Working Paper Series, The World Bank, number 11219, Sep.
- Yi Lu & Aifan Ling & Chaoqun Wang & Yaxin Xu, 2025, "Why Bonds Fail Differently? Explainable Multimodal Learning for Multi-Class Default Prediction," Papers, arXiv.org, number 2509.10802, Sep.
- Stéphane Lhuissier, 2025, "Assessing Asymmetric Macroeconomic Risk," Working papers, Banque de France, number 1004.
- Jirong Zhuang & Xuan Wu, 2025, "Meta-Learning Neural Process for Implied Volatility Surfaces with SABR-induced Priors," Papers, arXiv.org, number 2509.11928, Sep, revised Oct 2025.
- 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, Board of Governors of the Federal Reserve System (U.S.), number 2025-075, Aug, DOI: 10.17016/FEDS.2025.075.
- Alexander Gairat & Vyacheslav Gorovoy & Vadim Shcherbakov, 2025, "Explicit local volatility formula for Cheyette-type interest rate models," Papers, arXiv.org, number 2506.23876, Jun, revised Aug 2025.
- Sagi Schwartz & Qinling Wang & Fang Fang, 2025, "Enhancing ML Models Interpretability for Credit Scoring," Papers, arXiv.org, number 2509.11389, Sep.
- Wenbin Sun & Rahul Govind & Mahabubur Rahman, 2025, "Risky business or strategic advantage? The varying effects of vertical coopetition on firm risk," Post-Print, HAL, number hal-05224431, Jul, DOI: 10.1016/j.indmarman.2025.07.002.
- Domenech Palacios, Mar, 2025, "Firms’ risk and monetary transmission: revisiting the excess bond premium," Working Paper Series, European Central Bank, number 3118, Sep.
- Carol Bertaut & Ester Faia & Ṣebnem Kalemli-Özcan & Camilo Marchesini & Simon Paetzold & Martin Schmitz, 2025, "Asset Elasticities and Currency Risk Transfer," NBER Working Papers, National Bureau of Economic Research, Inc, number 34275, Sep.
- Shawn Kimble & Matthew P. Seay, 2025, "Pricing Tail Risks: Bank Equity Returns During the 2023 Bank Stress," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-078, Sep, DOI: 10.17016/FEDS.2025.078.
- 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, Bank of Canada, number 128, DOI: 10.34989/tr-128.
- Yufei Sun, 2025, "Does Pair Trading Still Work During Extreme Events? A Comprehensive Empirical Evidence from Chinese Stock Market," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2025-23.
- Vaishali Garga & Edward P. Herbst & Alisdair McKay & Giovanni Nicolo & Matthias Paustian, 2025, "Monetary Policy, Uncertainty, and Communications," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-074, Aug, DOI: 10.17016/FEDS.2025.074.
- van Ewijk, Casper & Meijdam, Lex, 2025, "Optimal Balance Between Funding and Payg Pensions: the Case of NDC Pensions," Discussion Paper, Tilburg University, Center for Economic Research, number 2025-012.
- 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, number hal-05252430, DOI: 10.1016/j.esr.2025.101870.
- H'ector Jasso-Fuentes & Alejandra Quintos & Xinta Yang, 2025, "Group Survival Probability under Contagion in Microlending," Papers, arXiv.org, number 2509.11579, Sep, 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, Center for Mathematical Economics, Bielefeld University, number 726, Aug.
- Lara Loewenstein & Paul S. Willen & Yuxi Yao & David Hao Zhang, 2025, "Is There a Puzzle in Underwater Mortgage Default?," Working Papers, Federal Reserve Bank of Cleveland, number 25-22, Sep, DOI: 10.26509/frbc-wp-202522.
- 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, Center for Open Science, number 5642u_v1, Sep, DOI: 10.31219/osf.io/5642u_v1.