Report NEP-RMG-2026-02-09

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:

• Cyril Bénézet & Stéphane Crépey & Dounia Essaket, 2026, "The Recalibration Conundrum: Hedging Valuation Adjustment for Callable Claims," Post-Print, HAL, number hal-04057045, Jan, DOI: 10.1142/S0219024925500220.
• Einmahl, John & Peng, Liang, 2025, "Variance-reduced risk inference in semi-supervised settings," Other publications TiSEM, Tilburg University, School of Economics and Management, number 5c4a6edb-7914-4ac2-81b8-1.
• Muhammad Abro & Hassan Jaleel, 2026, "Regret-Driven Portfolios: LLM-Guided Smart Clustering for Optimal Allocation," Papers, arXiv.org, number 2601.17021, Jan.
• Paulus, Alexandra, 2025, "An Achilles heel of today's armed forces: Managing software supply chain risk in the military sector," SWP Research Papers, Stiftung Wissenschaft und Politik (SWP), German Institute for International and Security Affairs, number 6/2025, DOI: 10.18449/2025RP06.
• Stefano Corti & Roberto Daluiso & Andrea Pallavicini, 2026, "Optimal strategy and deep hedging for share repurchase programs," Papers, arXiv.org, number 2601.18686, Jan.
• Kim Christensen & Mathias Siggaard & Bezirgen Veliyev, 2026, "A machine learning approach to volatility forecasting," Papers, arXiv.org, number 2601.13014, Jan.
• Alexander Barzykin, 2026, "Market Making and Transient Impact in Spot FX," Papers, arXiv.org, number 2601.13421, Jan.
• Aya Ouchene & Azzeddine Allioui, 2025, "Strategic Frameworks for Tax Evasion and Trust-Based Mechanisms: Financial Integrity and Risk Management Practices," RAIS Conference Proceedings 2022-2025, Research Association for Interdisciplinary Studies, number 0557, Aug.
• Steven E. Pav, 2026, "The Sherman-Morrison-Markowitz Portfolio," Papers, arXiv.org, number 2601.18124, Jan.
• Tjeerd De Vries, 2026, "Beyond Carr Madan: A Projection Approach to Risk-Neutral Moment Estimation," Papers, arXiv.org, number 2601.14852, Jan.
• Housseni Wague & Azzeddine Allioui, 2025, "The Integration of Artificial Intelligence in Financial Auditing to Optimize Efficiency, Risk Management, and Transparency," RAIS Conference Proceedings 2022-2025, Research Association for Interdisciplinary Studies, number 0572, Aug.