Report NEP-RMG-2026-01-19

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:

• Eden Gross & Ryan Kruger & Francois Toerien, 2025, "Extending the application of dynamic Bayesian networks in calculating market risk: Standard and stressed expected shortfall," Papers, arXiv.org, number 2512.12334, Dec.
• Carboni, Giacomo & Fonseca, Luís & Fornari, Fabio & Urrutia, Leonardo, 2026, "Structural drivers of growth at risk: insights from a VAR-quantile regression approach," Working Paper Series, European Central Bank, number 3171, Jan.
• Kärnä, Anders & Östling Svensson, Karin, 2025, "Predicting Credit Deterioration: Internal Default Models versus Lending Rates," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 458, Dec.
• Fantazzini, Dean, 2025, "Detecting Stablecoin Failure with Simple Thresholds and Panel Binary Models: The Pivotal Role of Lagged Market Capitalization and Volatility," MPRA Paper, University Library of Munich, Germany, number 126906, Nov.
• Lucas, André & Schwaab, Bernd & Zhang, Xin & D’Innocenzo, Enzo, 2026, "Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter," Working Paper Series, European Central Bank, number 3166, Jan.
• Li, Linzhou, 2025, "Hedging strategies of China Eastern Airlines in 2022: navigating the dual shocks of COVID-19 and the Russia-Ukraine war," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 130836, Dec.
• Bonesini, Ofelia & Jacquier, Antoine & Muguruza, Aitor, 2025, "Risk premium and rough volatility," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 130975, Dec.
• Liang, Pan & Chen, Xuan & Shi, Longzhong, 2025, "Hedging Effectiveness of China’s Hog Futures: A National and Provincial Assessment Using Copula-Based Strategies," 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO, Agricultural and Applied Economics Association, number 360694, DOI: 10.22004/ag.econ.360694.
• Travon Lucius & Christian Koch Jr & Jacob Starling & Julia Zhu & Miguel Urena & Carrie Hu, 2025, "Deep Hedging with Reinforcement Learning: A Practical Framework for Option Risk Management," Papers, arXiv.org, number 2512.12420, Dec.
• Alexis Direr, 2023, "Portfolio Choice With Time Horizon Risk," Post-Print, HAL, number hal-05384201, Dec, DOI: 10.1142/S0219024923500267.
• Roudari, Soheil & Ahmadian- Yazdi, Farzaneh & Chenarani, Hasan & Mensi, Walid, 2025, "Portfolio Management in the selected Middle East countries: New evidence of Iran-Israel War," MPRA Paper, University Library of Munich, Germany, number 126960, Oct.
• Item repec:tiu:tiutis:a37f0243-44eb-4f2c-8e49-40e8fd450e92 is not listed on IDEAS anymore

• Suparna Biswas & Rituparna Sen, 2025, "Portfolio Optimization for Index Tracking with Constraints on Downside Risk and Carbon Footprint," Papers, arXiv.org, number 2512.21092, Dec.
• Jherek Healy, 2025, "Heston vol-of-vol and the VVIX," Papers, arXiv.org, number 2512.19611, Dec.
• Ihlas Sovbetov, 2025, "Institutional Backing and Crypto Volatility: A Hybrid Framework for DeFi Stabilization," Papers, arXiv.org, number 2512.19251, Dec.
• Hamza Bennani & Noémi Berlin & Pauline Gandré, 2026, "Extreme macroeconomic risk, personal expectations and financial decisions: an information experiment on five European countries," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon, number 2601.
• Minh Chau Nguyen & Tony S. Wirjanto & Fan Yang, 2025, "Optimal Catastrophe Risk Pooling," Papers, arXiv.org, number 2512.18790, Dec.
• Fabien Le Floc'h, 2025, "How to choose my stochastic volatility parameters? A review," Papers, arXiv.org, number 2512.19821, Dec.
• Sandeep Neela, 2025, "Systemic Risk Radar: A Multi-Layer Graph Framework for Early Market Crash Warning," Papers, arXiv.org, number 2512.17185, Dec.
• Perdichizzi, Salvatore & Reghezza, Alessio & Spaggiari, Martina & Koufopoulos, Kostas & McGowan, Danny, 2026, "Risky collateral and default probability," Working Paper Series, European Central Bank, number 3167, Jan.
• Rong, Rong & Crago, Christine L. & Wang, Rui, 2025, "Shining a Light on Risk: Risk Preferences and Adoption Decisions of Residential Solar PV," 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO, Agricultural and Applied Economics Association, number 361167, DOI: 10.22004/ag.econ.361167.
• Hilscher, Jens & Raviv, Alon & Reis, Ricardo, 2025, "How likely is an inflation disaster?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 127063, Nov.
• Roudari, Soheil & Ahmadian- Yazdi, Farzaneh & Homayounifar, Masoud & Mensi, Walid & Al-Yahyaee, Khamis Hamed, 2024, "Time-Frequency Connectedness and Extreme Dependencies in Stock Sector Markets of the Chinese and U.S. Economies," MPRA Paper, University Library of Munich, Germany, number 126963, Oct.
• Wiersema, Garbrand & Kemp, Esti & Farmer, J. Doyne, 2026, "Liquidity spirals," Working Paper Series, European Central Bank, number 3169, Jan.