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Report NEP-RMG-2026-02-16
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:
- Jose Da Fonseca & Patrick Wong, 2026, "Wishart conditional tail risk measures: An analytic approach," Papers, arXiv.org, number 2602.06401, Feb.
- Du-Yi Wang & Guo Liang & Kun Zhang & Qianwen Zhu, 2026, "Reliable Real-Time Value at Risk Estimation via Quantile Regression Forest with Conformal Calibration," Papers, arXiv.org, number 2602.01912, Feb.
- Tomasz Kania, 2026, "Non-standard analysis for coherent risk estimation: hyperfinite representations, discrete Kusuoka formulae, and plug-in asymptotics," Papers, arXiv.org, number 2602.00784, Jan, revised Mar 2026.
- Tim Leung & Matthew Lorig, 2026, "Short-Rate-Dependent Volatility Models," Papers, arXiv.org, number 2602.00858, Jan.
- Heather N. Fogarty & Sooie-Hoe Loke & Nicholas F. Marshall & Enrique A. Thomann, 2026, "Optimal Risk-Sharing Rules in Network-based Decentralized Insurance," Papers, arXiv.org, number 2602.05155, Feb, revised Mar 2026.
- Giovanni Bonaccolto & Massimiliano Caporin & Oguzhan Cepni & Rangan Gupta, 2026, "Forecasting Realized Volatility of State-Level Stock Markets of the United States: The Role of Sentiment," Working Papers, University of Pretoria, Department of Economics, number 202603, Feb.
- Sasha Stoikov & Aadityaa Singla & Umu Cetin & Luis Alonso Cendra Villalobos, 2026, "Music as an Asset Class," Papers, arXiv.org, number 2602.05007, Feb.
- Irma Alonso-Alvarez & Ekaterina Bukina & Marina Diakonova & Nino Khitarishvili & Javier J. Pérez & Pedro Piqueras, 2026, "Geopolitical risk: a database of general and bilateral indices," Occasional Papers, Banco de España, number 2603, Feb, DOI: https://doi.org/10.53479/42445.
- Chiheb Ben Hammouda & Truong Ngoc Nguyen, 2026, "Single- and Multi-Level Fourier-RQMC Methods for Multivariate Shortfall Risk," Papers, arXiv.org, number 2602.06424, Feb, revised Mar 2026.
- Jamel Saadaoui, 2026, "Geopolitical Turning Points and Macroeconomic Volatility: A Bilateral Identification Strategy," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2026-08, Feb.
- Mahmood Alaghmandan & Meghal Arora & Olga Streltchenko, 2026, "A Methodology to Measure Impacts of Scenarios Through Expected Credit Losses," Papers, arXiv.org, number 2602.01361, Feb.
- Ilias Aarab & Thomas Gottron & Andrea Colombo & Jorg Reddig & Annalauro Ianiro, 2026, "Integrating granular data into a multilayer network: an interbank model of the euro area for systemic risk assessment," Papers, arXiv.org, number 2602.10960, Feb.
- Masaaki Fukasawa, 2026, "On the Skew Stickiness Ratio," Papers, arXiv.org, number 2602.05241, Feb.
- Luttini, Emiliano Evaristo & Mekonnen, Dawit Kelemework & Mercer-Blackman, Valerie & Sorensen, Bent, 2026, "Not All Shocks Are Shared Equally : Commodity Exporters and International Risk Sharing," Policy Research Working Paper Series, The World Bank, number 11297, Jan.
- Evgeny Kagan & Kyle Hyndman & Andrew Davis, 2026, "Chasing Tails: How Do People Respond to Wait Time Distributions?," Papers, arXiv.org, number 2602.06263, Feb.
- Keywan Christian Rasekhschaffe, 2026, "Generative AI for Stock Selection," Papers, arXiv.org, number 2602.00196, Jan.