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Report NEP-RMG-2025-11-10
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:
- Fekria Belhouichet & Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2025, "Contemporaneous and Lagged 𝑅2 Decomposed Connectedness: Evidence for Stock Market Indices, Thematic ETFs, Bitcoin, Brent Crude Oil and Geopolitical Risks," CESifo Working Paper Series, CESifo, number 12225.
- Elisa Alos & Frido Rolloos & Kenichiro Shiraya, 2025, "Estimating the Hurst parameter from the zero vanna implied volatility and its dual," Papers, arXiv.org, number 2510.26310, Oct, revised Nov 2025.
- Peng Liu & Alexander Schied, 2025, "Lambda Value-at-Risk under ambiguity and risk sharing," Papers, arXiv.org, number 2511.00717, Nov.
- Dmitry Lesnik & Tobias Schaefer, 2025, "Probabilistic Rule Models as Diagnostic Layers: Interpreting Structural Concept Drift in Post-Crisis Finance," Papers, arXiv.org, number 2510.26627, Oct.
- Whelan, Karl, 2025, "Ruin Probabilities for Strategies with Asymmetric Risk," MPRA Paper, University Library of Munich, Germany, number 126349, Jul.
- Yuji Sakurai, 2025, "A Quantitative Approach to Central Bank Haircuts and Counterparty Risk Management," IMF Working Papers, International Monetary Fund, number 2025/225, Oct.
- Lala AlAsadi & Oluwasegun Bewaji & Aayush Gugnani & Tarush Gupta & Ronald Heijmans, 2025, "An econometric investigation on the stability of stablecoins: Are these coins stable or is their stability just a flip of the coin?," Working Papers, DNB, number 846, Nov.
- Nikolas Anic & Andrea Barbon & Ralf Seiz & Carlo Zarattini, 2025, "ChatGPT in Systematic Investing -- Enhancing Risk-Adjusted Returns with LLMs," Papers, arXiv.org, number 2510.26228, Oct.
- Qiang Liu & Zhi Liu & Wang Zhou, 2025, "On the estimation of leverage effect and volatility of volatility in the presence of jumps," Papers, arXiv.org, number 2511.00944, Nov.
- Gerrit Meyerheim, 2025, "Rare Disasters, Tail Aversion, and Asset Pricing Puzzles," CESifo Working Paper Series, CESifo, number 12231.
- Qiang Liu & Yiming Liu & Zhi Liu & Wang Zhou, 2025, "Spectral analysis of high-dimensional spot volatility matrix with applications," Papers, arXiv.org, number 2511.02660, Nov.
- Andrea Modena & Luca Regis & Giorgio Rizzini, 2025, "The Equilibrium Effects of Mortality Risk," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2025_709, Oct.
- Aryan Ranjan, 2025, "Causal and Predictive Modeling of Short-Horizon Market Risk and Systematic Alpha Generation Using Hybrid Machine Learning Ensembles," Papers, arXiv.org, number 2510.22348, Oct.
- Hansjorg Albrecher & Filip Lindskog & Herv'e Zumbach, 2025, "Cost-of-capital valuation with risky assets," Papers, arXiv.org, number 2511.00895, Nov.
- Suzanne Jenkins & Reed Romanko, 2025, "Banking Analytics: Understanding Credit Risk with the Texas Ratio," On the Economy, Federal Reserve Bank of St. Louis, number 102041, Nov.
- Gabriel D. Patr'on & Di Zhang & Lavinia M. P. Ghilardi & Evelin Blom & Maldon Goodridge & Erik Solis & Hamidreza Jahangir & Jorge Angarita & Nandhini Ganesan & Kevin West & Nilay Shah & Calvin Tsay, 2025, "Risk-constrained stochastic scheduling of multi-market energy storage systems," Papers, arXiv.org, number 2510.27528, Oct.
- Natalia Fabra & Gerard Llobet, 2025, "The Costs of Counterparty Risk in Long-Term Contracts," Working Papers, CEMFI, number wp2025_2523, Oct.
- Leonel Arango-Vasquez, 2025, "From rational to behavioral: An epistemological bridge between Markowitz, Fama, and Shiller," Post-Print, HAL, number hal-05003891, Oct, DOI: 10.46298/jpe.15444.
- Amir Ashour Novirdoust & Pia Hoffmann-Willers & Julian Keutz, 2025, "Optimal bidding of uncertain renewable electricity in sequential markets - Implications of risk aversion and imperfect competition," EWI Working Papers, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI), number 2025-10, Nov.