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Report NEP-RMG-2026-01-26
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:
- Sicheng Fu, 2026, "A dynamic factor semiparametric model for VaR and expected shortfall driven by realized measures," Papers, arXiv.org, number 2601.01142, Jan.
- Albores, Isaac, 2025, "Quantile Connectedness and Tail Risks: Interactions between Energy and Agricultural Markets," 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO, Agricultural and Applied Economics Association, number 360695, DOI: 10.22004/ag.econ.360695.
- Tim J. Boonen & Xia Han & Peng Liu & Jiacong Wang, 2025, "Pareto-optimal reinsurance under dependence uncertainty," Papers, arXiv.org, number 2512.11430, Dec.
- Tsiboe, Francis & Turner, Dylan & Aglasan, Serkan & Rejesus, Roderick M., 2025, "Rate Revisions and Risk Transfer Incentives in Agricultural Insurance," 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO, Agricultural and Applied Economics Association, number 360707, DOI: 10.22004/ag.econ.360707.
- Ziheng Chen & Minxuan Hu & Jiayu Yi & Wenxi Sun, 2026, "Reinforcement Learning for Option Hedging: Static Implied-Volatility Fit versus Shortfall-Aware Performance," Papers, arXiv.org, number 2601.01709, Jan.
- Julei Iuliana, 2026, "The accounting profession between uncertainty, risk, and responsibilities : A review of existing literature," Post-Print, HAL, number hal-05455624, Jan.
- Mindy L. Mallory, 2026, "Two-Step Regularized HARX to Measure Volatility Spillovers in Multi-Dimensional Systems," Papers, arXiv.org, number 2601.03146, Jan, revised Jan 2026.
- Anna Perekhodko & Robert 'Slepaczuk, 2025, "Stochastic Volatility Modelling with LSTM Networks: A Hybrid Approach for S&P 500 Index Volatility Forecasting," Papers, arXiv.org, number 2512.12250, Dec.
- Walter Farkas & Fabian Sandmeier, 2025, "The Impact of Credit Default Swaps on Systemic Risk: Macroprudential Solvency and Liquidity Stress Testing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-107, Dec.
- Iñaki Aldasoro & Andreas Barth & Laura Comino Suarez & Riccardo Reale, 2026, "Banks and capital requirements: evidence from countercyclical buffers," BIS Working Papers, Bank for International Settlements, number 1323, Jan.
- Chorok Lee, 2025, "Not All Factors Crowd Equally: Modeling, Measuring, and Trading on Alpha Decay," Papers, arXiv.org, number 2512.11913, Dec, revised Dec 2025.
- Cevallos, Samantha & Marco, Palma & Hernán, Bejarano, 2025, "Relationship Between Shocks and Higher-Order Risk Attitudes," 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO, Agricultural and Applied Economics Association, number 360706, DOI: 10.22004/ag.econ.360706.
- Miryana Grigorova & James Wheeldon, 2026, "European Options in Market Models with Multiple Defaults: the BSDE approach," Papers, arXiv.org, number 2601.01250, Jan.
- Marco Ioffredi & Stefano Marmi & Matteo Tanzi, 2026, "Chaos and Synchronization in Financial Leverages Dynamics: Modeling Systemic Risk with Coupled Unimodal Maps," Papers, arXiv.org, number 2601.01505, Jan.
- Beatrice Acciaio & Brandon Garcia Flores & Antonio Marini & Gudmund Pammer, 2026, "Dynamic reinsurance via martingale transport," Papers, arXiv.org, number 2601.10375, Jan.
- Aditri, 2026, "Efficiency versus Robustness under Tail Misspecification: Importance Sampling and Moment-Based VaR Bracketing," Papers, arXiv.org, number 2601.09927, Jan.
- Luttini, Emiliano Evaristo & Mekonnen, Dawit Kelemework & Mercer-Blackman, Valerie & Sorensen, Bent, 2026, "How Much Do Commodity Exporters Share Risk ?," Policy Research Working Paper Series, The World Bank, number 11296, Jan.
- Nuno Silva, 2025, "On the measurement and forecasting of sales volatility: is the quantile approach better?," Working Papers, Banco de Portugal, Economics and Research Department, number w202525.
- Valerii Kremnev, 2026, "Critical volatility threshold for log-normal to power-law transition," Papers, arXiv.org, number 2601.01269, Jan.
- Othmane Zarhali & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2026, "From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model," Papers, arXiv.org, number 2601.10517, Jan.
- Haibo Wang & Jun Huang & Lutfu S Sua & Jaime Ortiz & Jinshyang Roan & Bahram Alidaee, 2026, "Dynamic Risk in the U.S. Banking System: An Analysis of Sentiment, Policy Shocks, and Spillover Effects," Papers, arXiv.org, number 2601.01783, Jan.