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Report NEP-RMG-2026-01-12
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:
- Osadchiy, Maksim, 2025, "Modeling Loss Risk in Loan Portfolios with Various Heterogeneity Factors," MPRA Paper, University Library of Munich, Germany, number 127032, Nov.
- Fabio Bellini & Muqiao Huang & Qiuqi Wang & Ruodu Wang, 2025, "Lambda Expected Shortfall," Papers, arXiv.org, number 2512.23139, Dec, revised Jan 2026.
- Enrique Calder'in-Ojeda & Yuyu Chen & Soon Wei Tan, 2026, "Capital allocation and tail central moments for the multivariate normal mean-variance mixture distribution," Papers, arXiv.org, number 2601.00568, Jan.
- Ambrocio, Gene & Fungáčová, Zuzana & Heikkinen, Joni & Kerola, Eeva & Korhonen, Iikka & Norring, Anni, 2025, "Northern insights: Geopolitical risk from Finnish news media," Bank of Finland Research Discussion Papers, Bank of Finland, number 13/2025.
- Siddhartha Srinivas Rentala, 2025, "Investigating Conditional Restricted Boltzmann Machines in Regime Detection," Papers, arXiv.org, number 2512.21823, Dec, revised Dec 2025.
- Benjamin Avanzi & Debbie Kusch Falden & Mogens Steffensen, 2025, "When Indemnity Insurance Fails: Parametric Coverage under Binding Budget and Risk Constraints," Papers, arXiv.org, number 2512.21973, Dec, revised Jan 2026.
- Shanyu Han & Yangbo He & Yang Liu, 2025, "Robust Bayesian Dynamic Programming for On-policy Risk-sensitive Reinforcement Learning," Papers, arXiv.org, number 2512.24580, Dec.
- Walter Distaso & Wolfgang Lefever & Angelo Luisi & Francesco Roccazzella, 2025, "The Impact of Wildfires on Loss Given Default: Evidence from Defaulted Consumer Credits," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 25/1129, Dec.
- Yifan Liu & Shi-Dong Liang, 2026, "A Global Optimal Theory of Portfolio beyond R-$\sigma$ Model," Papers, arXiv.org, number 2601.00281, Jan.
- Fiechter, Chad & Kunwar, Binayak & Mallory, Mindy & Faller, Eugene, 2025, "An Evaluation of Corn Farmers’ Use of Over-the-Counter Risk Management Products," 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO, Agricultural and Applied Economics Association, number 360826, DOI: 10.22004/ag.econ.360826.
- Ali Zeytoon-Nejad & Barry Goodwin, 2025, "Econometric Modeling of Input-Driven Output Risk through a Versatile CES Production Function," Papers, arXiv.org, number 2512.20910, Dec.
- Zongxiao Wu & Ran Liu & Jiang Dai & Dan Luo, 2026, "Multimodal Insights into Credit Risk Modelling: Integrating Climate and Text Data for Default Prediction," Papers, arXiv.org, number 2601.00478, Jan.
- Siqi Shao & Arshia Ghasemi & Hamed Farahani & R. A. Serota, 2025, "Broken Symmetry of Stock Returns -- a Modified Jones-Faddy Skew t-Distribution," Papers, arXiv.org, number 2512.23640, Dec.