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Report NEP-RMG-2025-10-27
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:
- Sam Schulhofer-Wohl, 2025, "Risk management in an interconnected economy," Speeches and Essays, Federal Reserve Bank of Dallas, number 101974, Oct.
- Shuping Shi & Jun Yu & Chen Zhang, 2025, "Realized Volatility Forecasting: Continuous versus Discrete Time Models," Working Papers, University of Macau, Faculty of Business Administration, number 202537, Oct.
- Gabriele Casto, 2025, "Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics," Papers, arXiv.org, number 2509.23533, Sep.
- Joshi, Satyadhar, 2025, "Model Risk Management in the Era of Generative AI: Challenges, Opportunities, and Future Directions," MPRA Paper, University Library of Munich, Germany, number 125221, revised 2025.
- Andreas Fuster & Teodora Paligorova & James Vickery, 2025, "Underwater: Strategic Trading and Risk Management in Bank Securities Portfolios," Working Papers, Federal Reserve Bank of Philadelphia, number 25-31, Oct, DOI: 10.21799/frbp.wp.2025.31.
- Meng cai & Tianze Li, 2025, "Efficient simulation of prices for European call options under Heston stochastic-local volatility model: a comparison of methods," Papers, arXiv.org, number 2509.24449, Sep, revised Oct 2025.
- Yee, Brandon, 2025, "Beyond the Event Horizon: Peak Risk-Adjusted Performance in Post-Event Markets," MPRA Paper, University Library of Munich, Germany, number 125993, May.
- Gregorio Curello & Ludvig Sinander & Mark Whitmeyer, 2025, "Outside options and risk attitude," Papers, arXiv.org, number 2509.14732, Sep.
- Stefan Jacewitz, 2025, "An Analytical Price of Stablecoin “Deposit” Insurance," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 25-15, Oct, revised 19 Nov 2025, DOI: 10.18651/RWP2025-15.
- Julian Sester & Huansang Xu, 2025, "Deep learning CAT bond valuation," Papers, arXiv.org, number 2509.25899, Sep.
- Yan Dolinsky, 2025, "Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact," Papers, arXiv.org, number 2509.25472, Sep.
- Ortl, Aljoša & Sajinčič, Miha, 2025, "Risk Assesment of Companies and Banks Exposed to the German Automotive Industry in a Small Open Economy," MPRA Paper, University Library of Munich, Germany, number 126321, Aug.