Report NEP-RMG-2025-10-13

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Luis Enriquez Alvarez, 2025, "An Artificial Intelligence Value at Risk Approach: Metrics and Models," Papers, arXiv.org, number 2509.18394, Sep.
• Martin Aichele & Igor Cialenco & Damian Jelito & Marcin Pitera, 2025, "Coherent estimation of risk measures," Papers, arXiv.org, number 2510.05809, Oct, revised Dec 2025.
• Albert Di Wang & Ye Du, 2025, "Minimizing the Value-at-Risk of Loan Portfolio via Deep Neural Networks," Papers, arXiv.org, number 2510.07444, Oct.
• Takaaki Koike, 2025, "Robust risk evaluation of joint life insurance under dependence uncertainty," Papers, arXiv.org, number 2510.01971, Oct.
• Jinghui Chen & Edward Furman & Stephano Ricci & Judeto Shanthirajah, 2025, "Mean-tail Gini framework for optimal portfolio selection," Papers, arXiv.org, number 2509.17225, Sep.
• Kairan Hong & Jinling Gan & Qiushi Tian & Yanglinxuan Guo & Rui Guo & Runnan Li, 2025, "Multi-Agent Analysis of Off-Exchange Public Information for Cryptocurrency Market Trend Prediction," Papers, arXiv.org, number 2510.08268, Oct.
• Giovanni Bonaccolto & Sayar Karmakar & Elie Bouri & Rangan Gupta, 2025, "Spillover and Predictability of Volatility of 50 Major Cryptocurrencies: Evidence from a LASSO-Regularized Quantile VAR," Working Papers, University of Pretoria, Department of Economics, number 202538, Sep.
• Sergio Bianchi & Daniele Angelini, 2025, "Fair Volatility: A Framework for Reconceptualizing Financial Risk," Papers, arXiv.org, number 2509.18837, Sep, revised Dec 2025.
• Arthur Charpentier & Philipp Ratz, 2025, "Linear Risk Sharing on Networks," Papers, arXiv.org, number 2509.21411, Sep.
• Yanran Wu & Xinlei Zhang & Quanyi Xu & Qianxin Yang & Chao Zhang, 2025, "Predicting Credit Spreads and Ratings with Machine Learning: The Role of Non-Financial Data," Papers, arXiv.org, number 2509.19042, Sep.
• Oliver Slumbers & Benjamin Patrick Evans & Sumitra Ganesh & Leo Ardon, 2025, "Downside Risk-Aware Equilibria for Strategic Decision-Making," Papers, arXiv.org, number 2510.03446, Oct.
• Leonardo N. Ferreira & Haroon Mumtaz & Ana Skoblar, 2025, "Stochastic Volatility-in-mean VARs with Time-Varying Skewness," Papers, arXiv.org, number 2510.08415, Oct.
• Emiel Sanders & Rudi Vander Vennet, 2025, "Geopolitical Risk, Cost of Equity, and Bank Lending: Evidence From the Ukrainian War," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 25/1122, Oct.
• Ava C. Blake & Nivika A. Gandhi & Anurag R. Jakkula, 2025, "Improving S&P 500 Volatility Forecasting through Regime-Switching Methods," Papers, arXiv.org, number 2510.03236, Sep.
• Natalia Fischl-Lanzoni & Martin Hiti & Asani Sarkar, 2025, "Reading the Panic: How Investors Perceived Bank Risk During the 2023 Bank Run," Liberty Street Economics, Federal Reserve Bank of New York, number 20250930a, Sep, DOI: 10.59576/lse.20250930a.
• Yousef Adeli Sadabad & Mohammad Reza Hesamzadeh & Gyorgy Dan & Matin Bagherpour & Darryl R. Biggar, 2025, "Driver Identification and PCA Augmented Selection Shrinkage Framework for Nordic System Price Forecasting," Papers, arXiv.org, number 2509.18887, Sep.
• Chiara Mio & Nicolas Canestraro & Antonio Costantini, 2024, "The State of the Art on Corporate Risk Disclosure: A Systematic Literature Review," Working Papers, Venice School of Management - Department of Management, Università Ca' Foscari Venezia, number 07, Oct.
• Moawia Alghalith & Wing-Keung Wong, 2025, "A Solution to the Multidimensionality in Option Pricing," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 2505, May.
• José Fique & Xisong Jin, 2025, "A system-wide stress testing for Luxembourg financial sector," BCL working papers, Central Bank of Luxembourg, number 199, Sep.
• Hwang, Joon & Alam, Nurul & Shenk, Mary K, 2025, "Social capital and the evolution of risk management: Balancing risk-taking and risk-avoidance in cooperative networks," SocArXiv, Center for Open Science, number bxt8g_v1, Sep, DOI: 10.31219/osf.io/bxt8g_v1.
• Evan Heus & Rick Bookstaber & Dhruv Sharma, 2025, "Exploring Network-Knowledge Graph Duality: A Case Study in Agentic Supply Chain Risk Analysis," Papers, arXiv.org, number 2510.01115, Oct, revised Dec 2025.
• Ivan Guo & Jan Obl'oj, 2025, "Robust Pricing and Hedging of American Options in Continuous Time," Papers, arXiv.org, number 2510.05463, Oct.
• Jinho Cha & Long Pham & Thi Le Hoa Vo & Jaeyoung Cho & Jaejin Lee, 2025, "Inverse Portfolio Optimization with Synthetic Investor Data: Recovering Risk Preferences under Uncertainty," Papers, arXiv.org, number 2510.06986, Oct, revised Oct 2025.
• Kosuke Aoki & Enric Martorell & Kalin Nikolov, 2025, "Monetary policy, bank leverage and systemic risk-taking," Working Papers, Banco de España, number 2517, Mar, DOI: https://doi.org/10.53479/39442.
• Samuel N. Cohen & Cephas Svosve, 2025, "Linking Path-Dependent and Stochastic Volatility Models," Papers, arXiv.org, number 2510.02024, Oct.
• Jinho Cha & Long Pham & Thi Le Hoa Vo & Jaeyoung Cho & Jaejin Lee, 2025, "Smart Contract Adoption in Derivative Markets under Bounded Risk: An Optimization Approach," Papers, arXiv.org, number 2510.07006, Oct.
• Jian'an Zhang, 2025, "Tail-Safe Hedging: Explainable Risk-Sensitive Reinforcement Learning with a White-Box CBF--QP Safety Layer in Arbitrage-Free Markets," Papers, arXiv.org, number 2510.04555, Oct.
• An Pham Ngoc Nguyen & Marija Bezbradica & Martin Crane, 2025, "Community-level Contagion among Diverse Financial Assets," Papers, arXiv.org, number 2509.15232, Sep, revised Jan 2026.
• Agnes Tomini, 2025, "Self-protection and self-insurance in an age of anxiety," AMSE Working Papers, Aix-Marseille School of Economics, France, number 2514, Oct.
• Jian'an Zhang, 2025, "Risk-Sensitive Option Market Making with Arbitrage-Free eSSVI Surfaces: A Constrained RL and Stochastic Control Bridge," Papers, arXiv.org, number 2510.04569, Oct.
• Thomas T. Yang, 2025, "Cautions on Tail Index Regressions and a Comparative Study with Extremal Quantile Regression," Papers, arXiv.org, number 2510.01535, Oct, revised Dec 2025.
• Antonio Penta & Larbi Alaoui, 2025, "What’s in a u?," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1909, Jun.
• Thomas Michael Pugh & Saarah Sheikh & Taylor Webley, 2025, "Household balance sheets and mortgage payment shocks," Staff Analytical Notes, Bank of Canada, number 2025-23, Oct, DOI: 10.34989/san-2025-23.
• Wing-Keung Wong & Chenghu Ma & Zhuo Qiao & Udo Broll & Joao Paulo Vieito, 2025, "New stochastic dominance theory for investors with risk-averse and risk-seeking utilities with applications including solutions for the Friedman-Savage paradox and the diversification puzzle," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 2506, Jun.
• Matt Brigida, 2025, "Time-Varying Volatility of Bank Betas," Papers, arXiv.org, number 2510.07671, Oct.
• Sid Ghatak & Arman Khaledian & Navid Parvini & Nariman Khaledian, 2025, "Increase Alpha: Performance and Risk of an AI-Driven Trading Framework," Papers, arXiv.org, number 2509.16707, Sep, revised Oct 2025.
• Benjamin Mosk & Nander de Vette, 2025, "Euro Area Financial Fragmentation and Bond Market Stability," IMF Working Papers, International Monetary Fund, number 2025/194, Sep.
• Giovanni Cerulli & Francesco Caracciolo, 2025, "Risk-Adjusted Policy Learning and the Social Cost of Uncertainty: Theory and Evidence from CAP evaluation," Papers, arXiv.org, number 2510.05007, Oct.
• Mingshu Li & Dhruv Desai & Jerinsh Jeyapaulraj & Philip Sommer & Riya Jain & Peter Chu & Dhagash Mehta, 2025, "STRAPSim: A Portfolio Similarity Metric for ETF Alignment and Portfolio Trades," Papers, arXiv.org, number 2509.24151, Sep.

Report NEP-RMG-2025-10-13

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: