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. 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:

• Luis Enriquez Alvarez, 2025. "An Artificial Intelligence Value at Risk Approach: Metrics and Models," Papers 2509.18394, arXiv.org.
• Martin Aichele & Igor Cialenco & Damian Jelito & Marcin Pitera, 2025. "Coherent estimation of risk measures," Papers 2510.05809, arXiv.org.
• Albert Di Wang & Ye Du, 2025. "Minimizing the Value-at-Risk of Loan Portfolio via Deep Neural Networks," Papers 2510.07444, arXiv.org.
• Takaaki Koike, 2025. "Robust risk evaluation of joint life insurance under dependence uncertainty," Papers 2510.01971, arXiv.org.
• Jinghui Chen & Edward Furman & Stephano Ricci & Judeto Shanthirajah, 2025. "Mean-tail Gini framework for optimal portfolio selection," Papers 2509.17225, arXiv.org.
• 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 2510.08268, arXiv.org.
• 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 202538, University of Pretoria, Department of Economics.
• Sergio Bianchi & Daniele Angelini, 2025. "Fair Volatility: A Framework for Reconceptualizing Financial Risk," Papers 2509.18837, arXiv.org.
• Arthur Charpentier & Philipp Ratz, 2025. "Linear Risk Sharing on Networks," Papers 2509.21411, arXiv.org.
• 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 2509.19042, arXiv.org.
• Oliver Slumbers & Benjamin Patrick Evans & Sumitra Ganesh & Leo Ardon, 2025. "Downside Risk-Aware Equilibria for Strategic Decision-Making," Papers 2510.03446, arXiv.org.
• Leonardo N. Ferreira & Haroon Mumtaz & Ana Skoblar, 2025. "Stochastic Volatility-in-mean VARs with Time-Varying Skewness," Papers 2510.08415, arXiv.org.
• 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 25/1122, Ghent University, Faculty of Economics and Business Administration.
• Ava C. Blake & Nivika A. Gandhi & Anurag R. Jakkula, 2025. "Improving S&P 500 Volatility Forecasting through Regime-Switching Methods," Papers 2510.03236, arXiv.org.
• Natalia Fischl-Lanzoni & Martin Hiti & Asani Sarkar, 2025. "Reading the Panic: How Investors Perceived Bank Risk During the 2023 Bank Run," Liberty Street Economics 20250930a, Federal Reserve Bank of New York.
• 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 2509.18887, arXiv.org.
• Chiara Mio & Nicolas Canestraro & Antonio Costantini, 2024. "The State of the Art on Corporate Risk Disclosure: A Systematic Literature Review," Working Papers 07, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.
• Moawia Alghalith & Wing-Keung Wong, 2025. "A Solution to the Multidimensionality in Option Pricing," Economic Growth Centre Working Paper Series 2505, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
• José Fique & Xisong Jin, 2025. "A system-wide stress testing for Luxembourg financial sector," BCL working papers 199, Central Bank of Luxembourg.
• 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 bxt8g_v1, Center for Open Science.
• Evan Heus & Rick Bookstaber & Dhruv Sharma, 2025. "Exploring Network-Knowledge Graph Duality: A Case Study in Agentic Supply Chain Risk Analysis," Papers 2510.01115, arXiv.org.
• Ivan Guo & Jan Obl'oj, 2025. "Robust Pricing and Hedging of American Options in Continuous Time," Papers 2510.05463, arXiv.org.
• 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 2510.06986, arXiv.org, revised Oct 2025.
• Kosuke Aoki & Enric Martorell & Kalin Nikolov, 2025. "Monetary policy, bank leverage and systemic risk-taking," Working Papers 2517, Banco de España.
• Samuel N. Cohen & Cephas Svosve, 2025. "Linking Path-Dependent and Stochastic Volatility Models," Papers 2510.02024, arXiv.org.
• 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 2510.07006, arXiv.org.
• 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 2510.04555, arXiv.org.
• An Pham Ngoc Nguyen & Marija Bezbradica & Martin Crane, 2025. "Community-level Contagion among Diverse Financial Assets," Papers 2509.15232, arXiv.org.
• Agnes Tomini, 2025. "Self-protection and self-insurance in an age of anxiety," AMSE Working Papers 2514, Aix-Marseille School of Economics, France.
• Jian'an Zhang, 2025. "Risk-Sensitive Option Market Making with Arbitrage-Free eSSVI Surfaces: A Constrained RL and Stochastic Control Bridge," Papers 2510.04569, arXiv.org.
• Thomas T. Yang, 2025. "Cautions on Tail Index Regressions," Papers 2510.01535, arXiv.org.
• Antonio Penta & Larbi Alaoui, 2025. "What’s in a u?," Economics Working Papers 1909, Department of Economics and Business, Universitat Pompeu Fabra.
• Thomas Michael Pugh & Saarah Sheikh & Taylor Webley, 2025. "Household balance sheets and mortgage payment shocks," Staff Analytical Notes 2025-23, Bank of Canada.
• 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 2506, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
• Matt Brigida, 2025. "Time-Varying Volatility of Bank Betas," Papers 2510.07671, arXiv.org.
• Sid Ghatak & Arman Khaledian & Navid Parvini & Nariman Khaledian, 2025. "Increase Alpha: Performance and Risk of an AI-Driven Trading Framework," Papers 2509.16707, arXiv.org, revised Oct 2025.
• Benjamin Mosk & Nander de Vette, 2025. "Euro Area Financial Fragmentation and Bond Market Stability," IMF Working Papers 2025/194, International Monetary Fund.
• Giovanni Cerulli & Francesco Caracciolo, 2025. "Risk-Adjusted Policy Learning and the Social Cost of Uncertainty: Theory and Evidence from CAP evaluation," Papers 2510.05007, arXiv.org.
• 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 2509.24151, arXiv.org.