Printed from https://ideas.repec.org/n/nep-rmg/2025-11-24.html
Report NEP-RMG-2025-11-24
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:
- Laura Alfaro & Julian Caballero & Bryan Hardy, 2025, "FX debt and optimal exchange rate hedging," BIS Working Papers, Bank for International Settlements, number 1303, Nov.
- Peng Liu & Steven Vanduffel & Yi Xia, 2025, "Robust distortion risk metrics and portfolio optimization," Papers, arXiv.org, number 2511.08662, Nov.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2025, "Electricity Sales and Forecasting of Stock Market Realized Volatility: A State-Level Analysis of the United States," Working Papers, University of Pretoria, Department of Economics, number 202540, Nov.
- Dmitrii Vlasiuk, 2025, "Levy-stable scaling of risk and performance functionals," Papers, arXiv.org, number 2511.07834, Nov.
- Miquel Noguer i Alonso, 2025, "Financial Information Theory," Papers, arXiv.org, number 2511.16339, Nov.
- Chen Jin & Ankush Agarwal, 2025, "Forecasting implied volatility surface with generative diffusion models," Papers, arXiv.org, number 2511.07571, Nov.
- Elizabeth Dadzie & Wilfried Kuissi-Kamdem & Marcel Ndengo, 2025, "Robust optimal consumption, investment and reinsurance for recursive preferences," Papers, arXiv.org, number 2511.03031, Nov.
- Alain Coen & Aya Nasreddine & Aurelie Desfleurs & Yasmine Essafi Zouari, 2025, "Real estate as a dynamic risk in the financial sector: New international evidence using wavelet quantile correlation," ERES, European Real Estate Society (ERES), number eres2025_184, Jan.
- Tetsuya Takaishi, 2025, "Multifractality and sample size influence on Bitcoin volatility patterns," Papers, arXiv.org, number 2511.03314, Nov.
- Christian Laudag'e & Jorn Sass, 2025, "PELVE from a regulatory perspective," Papers, arXiv.org, number 2511.03551, Nov.
- Yilong Zeng & Boyan Tang & Xuanhao Ren & Sherry Zhefang Zhou & Jianghua Wu & Raymond Lee, 2025, "FCOC: A Fractal-Chaotic Co-driven Framework for Financial Volatility Forecasting," Papers, arXiv.org, number 2511.10365, Nov, revised Nov 2025.
- Alexander Alecio, 2025, "Noise induced Stability of a Mean-Field model of Systemic Risk with uncertain robustness," Papers, arXiv.org, number 2511.03358, Nov.
- Li, Mingzhe, 2025, "A Theory of Portfolio Choice for Heterogeneous Investors," MPRA Paper, University Library of Munich, Germany, number 126642, Jun, revised 29 Oct 2025.
- Stella C. Dong, 2025, "Prudential Reliability of Large Language Models in Reinsurance: Governance, Assurance, and Capital Efficiency," Papers, arXiv.org, number 2511.08082, Nov.