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Report NEP-RMG-2025-10-20
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:
- Maringer, Dietmar & Stähli, Philipp, 2025, "Start-to-Low Drawdown as a Risk Measure and its Application to Portfolio Optimization for Levered Investors under Solvency Regimes," Working papers, Faculty of Business and Economics - University of Basel, number 2025/07, Oct.
- Sahab Zandi & Kamesh Korangi & Juan C. Moreno-Paredes & Mar'ia 'Oskarsd'ottir & Christophe Mues & Cristi'an Bravo, 2025, "A Multimodal Approach to SME Credit Scoring Integrating Transaction and Ownership Networks," Papers, arXiv.org, number 2510.09407, Oct.
- Emil Bandoni & Carolina Fugazza, 2025, "Health Disasters and Life Cycle Risk Taking," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 748 JEL Classification: D.
- Fengnan Deng & Anand N. Vidyashankar & Jeffrey F. Collamore, 2025, "Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk," Papers, arXiv.org, number 2509.19151, Sep, revised Oct 2025.
- Ohood Aldalbahi & Miryana Grigorova, 2025, "The randomly distorted Choquet integrals with respect to a G-randomly distorted capacity and risk measures," Papers, arXiv.org, number 2509.17555, Sep.
- Samir Saissi-Hassani, 2025, "Précisions importantes sur le backtesting comparatif de la VaR
[Important facts on comparative backtesting of Value at Risk]," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 25-06, Oct. - Fabio Cortes & Gonzalo Fernandez Dionis & Yiran Li & Ms. Silvia Ramirez & Xiaoxiao Zhang, 2025, "Recycling Risk: Synthetic Risk Transfers," IMF Working Papers, International Monetary Fund, number 2025/200, Oct.
- Yuna Heo, 2025, "Cybersecurity and Bank Distance-to-Default," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-69, Aug.
- Christian Laudag'e & Felix-Benedikt Liebrich, 2025, "When risk defies order: On the limits of fractional stochastic dominance," Papers, arXiv.org, number 2509.24747, Sep.
- Xinqiao Xie & Jonathan Yu-Meng Li, 2025, "Conditional Risk Minimization with Side Information: A Tractable, Universal Optimal Transport Framework," Papers, arXiv.org, number 2509.23128, Sep.
- Sergio Bianchi & Daniele Angelini, 2025, "Roughness Analysis of Realized Volatility and VIX through Randomized Kolmogorov-Smirnov Distribution," Papers, arXiv.org, number 2509.20015, Sep.
- Zofia Bracha & Pawe{l} Sakowski & Jakub Micha'nk'ow, 2025, "Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging," Papers, arXiv.org, number 2510.09247, Oct.
- Corina Boar & Denis Gorea & Virgiliu Midrigan, 2025, "The aggregate costs of uninsurable business risk," BIS Working Papers, Bank for International Settlements, number 1300, Oct.
- Ta-Chung Chi & Ting-Han Fan & Raffaele M. Ghigliazza & Domenico Giannone & Zixuan & Wang, 2025, "Macroeconomic Forecasting and Machine Learning," Papers, arXiv.org, number 2510.11008, Oct.
- Rohan Shenoy & Peter Kempthorne, 2025, "The Variance-Gamma Process for Option Pricing," Papers, arXiv.org, number 2510.14093, Oct.
- J'er^ome Lelong & V'eronique Maume-Deschamps & William Thevenot, 2025, "A Martingale approach to continuous Portfolio Optimization under CVaR like constraints," Papers, arXiv.org, number 2509.26009, Sep.