Report NEP-RMG-2025-12-22

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:

• Rubenstein, Elias, 2025, "Safe-Haven Currency and Sequence Risk: A State-Dependent Swiss Franc Overlay for Global Portfolios," MPRA Paper, University Library of Munich, Germany, number 126680, Nov.
• Aline Goulard & Karl Grosse-Erdmann, 2025, "Orlicz-Lorentz premia and distortion Haezendonck-Goovaerts risk measures," Papers, arXiv.org, number 2512.03267, Dec.
• Liu, Mengqiao & Zhang, Yu Yvette & Jia, Ruixin, 2024, "Is the Chinese gold product a hedge or safe haven for Chinese overseas investors?," 2024 Annual Meeting, July 28-30, New Orleans, LA, Agricultural and Applied Economics Association, number 343698, DOI: 10.22004/ag.econ.343698.
• Benjamin C^ot'e & Ruodu Wang & Qinyu Wu, 2025, "Risk-insurance parity," Papers, arXiv.org, number 2512.09208, Dec.
• Paul Glasserman & Siddharth Hemant Karmarkar, 2025, "Differential ML with a Difference," Papers, arXiv.org, number 2512.05301, Dec.
• Stéphane Crépey & Noufel Frikha & Azar Louzi, 2025, "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Post-Print, HAL, number hal-04037328, Aug, DOI: 10.1007/s00780-025-00573-5.
• Marwa Abdullah & Revzon Oksana Anatolyevna & Duaa Abdullah, 2025, "Assessing Financial Statement Risks among $\mathrm{MCDM}$ Techniques," Papers, arXiv.org, number 2512.04035, Dec, revised Dec 2025.
• Tetsuya Takaishi, 2025, "Volatility time series modeling by single-qubit quantum circuit learning," Papers, arXiv.org, number 2512.10584, Dec.
• Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024, "Option Pricing Revisited: The Role of Price Volatility and Dynamics," 2024 Annual Meeting, July 28-30, New Orleans, LA, Agricultural and Applied Economics Association, number 343544, DOI: 10.22004/ag.econ.343544.
• Bouveret, Antoine & Darpeix, Pierre-Emmanuel & Ferrari, Massimo & Grill, Michael & Molestina Vivar, Luis & Okseniuk, Dorota & Raillon, Franck & Schäfer, Annegret & Schmidt, Daniel Jonas & Weistroffer,, 2025, "Containing risks posed by leverage in alternative investment funds," ESRB Occasional Paper Series, European Systemic Risk Board, number 28, Dec.
• Sotirios D. Nikolopoulos, 2025, "An Imbalance-Robust Evaluation Framework for Extreme Risk Forecasts," Papers, arXiv.org, number 2512.00916, Nov.
• Wu, Shujie & Huang, Joshua & Serra, Teresa, 2024, "The Economic Value of Intraday Data in Hedging Commodity Spot Prices," 2024 Conference, April 22-23, 2024, St. Louis, Missouri, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management, number 379012, DOI: 10.22004/ag.econ.379012.
• Viktoria Alaverdyan & Gevorg Minasyan & Aleksandr Shirkhanyan, 2025, "When Risk Shifts, not Shrinks: Bank Portfolio Responses to FX Macroprudential Regulation," Working Papers, Central Bank of Armenia, number WP-2025-04, Dec.
• Bullock, David W. & Okoto, Edna M., 2024, "Improved Value-at-Risk (VaR) Forward Curve Projection Using the Full Option Premium Profile," 2024 Conference, April 22-23, 2024, St. Louis, Missouri, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management, number 379004, DOI: 10.22004/ag.econ.379004.
• Toshiaki Yamanaka, 2025, "Coordinated Mean-Field Control for Systemic Risk," Papers, arXiv.org, number 2512.04704, Dec.
• Ludington, Evan & Liao, Yanjun (Penny) & Walls, Margaret A., 2025, "From Risk to Reward: Insurance Discounts for Wildfire Mitigation," RFF Working Paper Series, Resources for the Future, number 25-30, Dec.
• Mohammad Rezoanul Hoque & Md Meftahul Ferdaus & M. Kabir Hassan, 2025, "Reinforcement Learning in Financial Decision Making: A Systematic Review of Performance, Challenges, and Implementation Strategies," Papers, arXiv.org, number 2512.10913, Dec.