Report NEP-RMG-2026-02-02

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:

• Kyle Sung & Traian A. Pirvu, 2026, "Optimal Option Portfolios for Student t Returns," Papers, arXiv.org, number 2601.07991, Jan.
• Zaniar Ahmadi & Fr'ed'eric Godin, 2025, "Learning to Hedge Swaptions," Papers, arXiv.org, number 2512.06639, Dec.
• Marek Folprecht, 2025, "Measuring Flood Risk in Czechia with Stress Testing and a Gumbel copula‑based VaR," FFA Working Papers, Prague University of Economics and Business, number 6.001, Dec, revised 01 Jan 2026.
• Ekleen Kaur, 2026, "The Limits of Lognormal: Assessing Cryptocurrency Volatility and VaR using Geometric Brownian Motion," Papers, arXiv.org, number 2601.14272, Jan.
• Giuseppe Brandi & Tiziana Di Matteo, 2026, "Multiscaling in the Rough Bergomi Model: A Tale of Tails," Papers, arXiv.org, number 2601.11305, Jan.
• Xia Han & Bin Li & Yao Luo, 2026, "Optimal Insurance with Information Asymmetry: Nonlinear and Linear Pricing," Working Papers, University of Toronto, Department of Economics, number tecipa-815, Jan.
• Christophe Hurlin & Quentin Lajaunie & Yoann Pull, 2026, "Reverse Stress Testing Geopolitical Risk in Corporate Credit Portfolios: A Formal and Operational Framework," Papers, arXiv.org, number 2601.03983, Jan.
• O. Didkovskyi & A. Vidali & N. Jean & G. Le Pera, 2026, "Temporal-Aligned Meta-Learning for Risk Management: A Stacking Approach for Multi-Source Credit Scoring," Papers, arXiv.org, number 2601.07588, Jan.
• Shiyu Zhang & Zining Wang & Jin Zheng & John Cartlidge, 2026, "Systemic Risk in DeFi: A Network-Based Fragility Analysis of TVL Dynamics," Papers, arXiv.org, number 2601.08540, Jan.
• Jianwei Peng & Stefan Lessmann, 2026, "Incorporating data drift to perform survival analysis on credit risk," Papers, arXiv.org, number 2601.20533, Jan.
• Yimeng Qiu, 2026, "A Three--Dimensional Efficient Surface for Portfolio Optimization," Papers, arXiv.org, number 2601.06271, Jan.
• Xiangxin He & Fangda Liu & Ruodu Wang, 2026, "Diversification Preferences and Risk Attitudes," Papers, arXiv.org, number 2601.04067, Jan.
• Anubha Goel & Amita Sharma & Juho Kanniainen, 2026, "Class of topological portfolios: Are they better than classical portfolios?," Papers, arXiv.org, number 2601.03974, Jan.
• Enrique G. Mendoza & Vincenzo Quadrini, 2026, "Financial Globalization: Risk Sharing or Risk Exposure?," NBER Working Papers, National Bureau of Economic Research, Inc, number 34689, Jan.
• Timo Dimitriadis & Yannick Hoga, 2026, "Systemic Risk Surveillance," Papers, arXiv.org, number 2601.08598, Jan.
• Belgacem, Wajdi & Parsons, Jay, 2025, "Quantifying Basis Risk in Rainfall Index Insurance: Spatial Evidence from Nebraska Rangelands," 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO, Agricultural and Applied Economics Association, number 361151, DOI: 10.22004/ag.econ.361151.
• Daniele Caratelli & Jacob Lockwood & Robert Mann & Kevin Zhao, 2026, "Countercyclical Capital Constraints Lower Consumption Volatility," The OFR Blog, Office of Financial Research, US Department of the Treasury, number 26-01, Jan.
• Hamid El-Boudaly & Abdelbari El Khamlichi, 2024, "Bibliometric Review on Takaful Insurance: Application of R Biblioshiny," Post-Print, HAL, number hal-05068197, Nov.
• Masoud Soleimani, 2025, "LLM-Generated Counterfactual Stress Scenarios for Portfolio Risk Simulation via Hybrid Prompt-RAG Pipeline," Papers, arXiv.org, number 2512.07867, Nov.
• Rushikesh Handal & Masanori Hirano, 2026, "KANHedge: Efficient Hedging of High-Dimensional Options Using Kolmogorov-Arnold Network-Based BSDE Solver," Papers, arXiv.org, number 2601.11097, Jan.
• Agostino Capponi & Stijn Van Nieuwerburgh & Xinkai Wu, 2026, "Pricing Residential Mortgage Credit Risk in the Post-GFC Era," NBER Working Papers, National Bureau of Economic Research, Inc, number 34708, Jan.
• Khabbab Zakaria & Jayapaulraj Jerinsh & Andreas Maier & Patrick Krauss & Stefano Pasquali & Dhagash Mehta, 2026, "Deep Reinforcement Learning for Optimum Order Execution: Mitigating Risk and Maximizing Returns," Papers, arXiv.org, number 2601.04896, Jan, revised Jan 2026.
• Fredy Pokou & Jules Sadefo Kamdem & Kpante Emmanuel Gnandi, 2026, "Predictive Accuracy versus Interpretability in Energy Markets: A Copula-Enhanced TVP-SVAR Analysis," Papers, arXiv.org, number 2601.19321, Jan.
• Haochong Xia & Simin Li & Ruixiao Xu & Zhixia Zhang & Hongxiang Wang & Zhiqian Liu & Teng Yao Long & Molei Qin & Chuqiao Zong & Bo An, 2026, "Bayesian Robust Financial Trading with Adversarial Synthetic Market Data," Papers, arXiv.org, number 2601.17008, Jan.