Report NEP-RMG-2025-12-01

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Marco Scaringi & Marco Bianchetti, 2025, "Sharpening Shapley Allocation: from Basel 2.5 to FRTB," Papers, arXiv.org, number 2511.12391, Nov, revised Dec 2025.
• Roudari, Soheil & Ahmadian- Yazdi, Farzaneh & Namazizadeh, Ehsan & Chenarani, Hasan, 2025, "بررسی عملکرد مدیریت سرمایه گذاری در وزارت تعاون، کار و رفاه اجتماعی: شواهدی جدید از هلدینگ¬های تابعه
  [Assessment of Investment Management Performance in the Ministry of Cooperatives, Labor, and Soc," MPRA Paper, University Library of Munich, Germany, number 126954, May.
• Roudari, Soheil, 2024, "Optimal Investment Portfolio and Time‑Varying Risk Hedging: New Evidence from Currency, Stock, Gold Coin, and Housing Markets," MPRA Paper, University Library of Munich, Germany, number 126952, Aug.
• Florent Segonne, 2025, "Basis Immunity: Isotropy as a Regularizer for Uncertainty," Papers, arXiv.org, number 2511.13334, Nov.
• Hyeyoon Jung & Jaehoon (Kyle) Jung, 2025, "Economics of Property Insurance," Staff Reports, Federal Reserve Bank of New York, number 1171, Nov, DOI: 10.59576/sr.1171.
• Osei, Prince & Riedel, Frank, 2025, "Portfolio Selection under Ambiguity in Volatility," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 756, Nov.
• Paolo Varraso, 2025, "Banks’ Maturity Choices and the Transmission of Interest-Rate Risk," CEIS Research Paper, Tor Vergata University, CEIS, number 616, Oct, revised 11 Oct 2025.
• Emmanuel Lwele & Sabuni Emmanuel & Sitali Gabriel Sitali, 2025, "Risk-Aware Deep Reinforcement Learning for Dynamic Portfolio Optimization," Papers, arXiv.org, number 2511.11481, Nov.
• Matteo Crosignani & Lina Han & Marco Macchiavelli, 2025, "Navigating Geoeconomic Risk: Evidence from U.S. Mutual Funds," Staff Reports, Federal Reserve Bank of New York, number 1172, Nov, DOI: 10.59576/sr.1172.
• Xuzhu ZHENG & Masato UBUKATA & Kosuke OYA, 2025, "Examining Volatility Roughness in the Japanese Stock Market," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 25-17, Nov.
• Tim J. Boonen & Engel John C. Dela Vega, 2025, "Optimal Dividend, Reinsurance and Capital Injection Strategies for Collaborating Business Lines: The Case of Excess-of-Loss Reinsurance," Papers, arXiv.org, number 2511.11383, Nov.
• Sven Damen & Matthijs Korevaar & Stijn Van Nieuwerburgh, 2025, "An Alpha in Affordable Housing?," ERES, European Real Estate Society (ERES), number eres2025_201, Jan.
• Ferreira Batista Martins, Igor & Virbickaitè, Audronè & Nguyen, Hoang & Freitas Lopes, Hedibert, 2025, "Volume-driven time-of-day effects in intraday volatility models," Working Papers, Örebro University, School of Business, number 2025:14, Nov.
• Mainak Singha, 2025, "Discovery of a 13-Sharpe OOS Factor: Drift Regimes Unlock Hidden Cross-Sectional Predictability," Papers, arXiv.org, number 2511.12490, Nov.
• Jian'an Zhang, 2025, "Law-Strength Frontiers and a No-Free-Lunch Result for Law-Seeking Reinforcement Learning on Volatility Law Manifolds," Papers, arXiv.org, number 2511.17304, Nov.
• Luis Herrera & Mara Pirovano & Valerio Scalone, 2025, "From risk to buffer: Calibrating the positive neutral CCyB rate," Working Papers, Banco de España, number 2544, Nov, DOI: https://doi.org/10.53479/41506.
• Jiacheng Wu, 2025, "Modeling and Stabilizing Financial Systemic Risk Using Optimal Control Theory," Papers, arXiv.org, number 2511.11909, Nov.
• Xianglin Sun & Sven Damen, 2025, "Housing market responses to mandatory flood risk disclosure," ERES, European Real Estate Society (ERES), number eres2025_222, Jan.
• Anahit Poghosyan & Gevorg Minasyan, 2025, "Can Financial Behaviour Predict Driving Risk? Evidence from Armenia's Auto Insurance Market," Working Papers, Central Bank of Armenia, number WP-2025-03, Nov.
• Bohan Li & Wenyuan Li & Kenneth Tsz Hin Ng & Sheung Chi Phillip Yam, 2025, "Mean Field Analysis of Mutual Insurance Market," Papers, arXiv.org, number 2511.12292, Nov.
• Mikhail Pomazanov, 2025, "Loss given default after default," Papers, arXiv.org, number 2511.11364, Nov.

Report NEP-RMG-2025-12-01

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: