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Report NEP-RMG-2026-02-23
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:
- Noureddinne Benlaghaa & Fahad Shafiqa & Rashid Hassan Al-Derham & Nur Ain Shahrier, 2026, "When Banks and Insurers Move Together: Why Systemic Risk Lives in the Tails?," Working Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number wp60, Jan.
- Marc Schmitt, 2026, "Taming Tail Risk in Financial Markets: Conformal Risk Control for Nonstationary Portfolio VaR," Papers, arXiv.org, number 2602.03903, Feb.
- Kubitza, Christian & Oehmke, Martin, 2026, "Margins as canaries in the coal mine," Working Paper Series, European Central Bank, number 3187, Feb.
- Murad Farzulla & Andrew Maksakov, 2026, "ASRI: An Aggregated Systemic Risk Index for Cryptocurrency Markets," Papers, arXiv.org, number 2602.03874, Feb, revised Feb 2026.
- Barbagli, Matteo & Vrins, Frédéric, 2025, "Efficient Monte Carlo estimation of credit concentration risk," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2025003, Aug.
- Jérôme Lelong & Véronique Maume-Deschamps & William Thevenot, 2026, "Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context," Post-Print, HAL, number hal-04733015, DOI: 10.1007/s10589-026-00767-3.
- Junyu Chen & Tom Boot & Lingwei Kong & Weining Wang, 2026, "Transformer-based CoVaR: Systemic Risk in Textual Information," Papers, arXiv.org, number 2602.12490, Feb.
- Walid Chkili & Samir Mabrouk, 2024, "Connectedness and Portfolio Management between Clean Energy, Crude Oil Prices and Equities Market before and during The Russia-Ukraine War: Evidence for GCC Countries," Working Papers, Economic Research Forum, number 1764, Dec, revised 20 Dec 2024.
- Palermo, Tommaso & Pirozzi, Lorenzo, 2026, "Translating nature into risk: preliminary insights and further questions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 137011, Jan.
- Lassance, Nathan & Vanderveken, Rodolphe & Vrins, Frédéric, 2025, "Shrink with Purpose: Optimal Covariance Matrix Estimation for Portfolio Selection," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2025002, Jul.
- T. Di Matteo & L. Riso & M. G. Zoia, 2026, "A Novel approach to portfolio construction," Papers, arXiv.org, number 2602.03325, Feb.
- Diego Bonelli, 2026, "Inflation risk and yield spread changes," Working Papers, Banco de España, number 2603, Jan, DOI: https://doi.org/10.53479/42345.
- Divya Choudhary & Ajay Kumar & Yeming Gong & Thanos Papadopoulos, 2026, "Examination of risks in circular supply chains using transition management lens: towards a circular economy in emerging markets," Post-Print, HAL, number hal-05489667, Jan, DOI: 10.1080/01605682.2025.2459252.
- Teichmann, Fabian, 2026, "Risk, reasonableness, and residual harm under the EU AI Act: a conceptual framework for proportional ex-ante controls," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 130944, Jan.
- Rafique, Amir & Ali, Amjad & Audi, Marc, 2025, "Impact of Liquidity Risk Management on Profitability of Canadian Banks," MPRA Paper, University Library of Munich, Germany, number 127486.
- Osei, Prince, 2026, "Fat-tailed Distribution under the Smooth Ambiguity Model," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 764, Feb.
- Lang, Jan Hannes & Menno, Dominik, 2026, "A structural model of capital buffer usability," Working Paper Series, European Central Bank, number 3188, Feb.
- Vespignani, Joaquin L. & Smyth, Russell & Saadaoui, Jamel & Wang, Yitian, 2026, "Where geopolitical risk binds: Stockpiling and AI as complementary strategies for mitigating supply chain risk in critical minerals," MPRA Paper, University Library of Munich, Germany, number 127877, Jan.
- Brenzel-Weiss, Janosch & Koeniger, Winfried & Valladares-Esteban, Arnau, 2026, "Tax incentives, portfolio choice, and macroprudential risks," CFS Working Paper Series, Center for Financial Studies (CFS), number 740, DOI: 10.2139/ssrn.6147926.
- Akyildirim, Erdinc & Corbet, Shaen & Muñiz, Jose Antonio & Scrimgeour, Frank, 2026, "Market perceptions of ESG reputational risk in the US pharmaceutical industry," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 137054, Feb.
- Hong Beng Lim & Mengyi Xu & Kenneth Q. Zhou, 2026, "Fair Pricing in Long-Term Insurance: A Unified Framework," Papers, arXiv.org, number 2602.04791, Feb.
- Hainaut, Donatien, 2026, "An economic-environmental approach for regional mortality," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2026001, Jan.
- Christian Gollier, 2026, "The welfare cost of ignoring the beta," Post-Print, HAL, number hal-05483623, Feb, DOI: 10.1086/733779.
- Dylan Herman & Yue Sun & Jin-Peng Liu & Marco Pistoia & Charlie Che & Rob Otter & Shouvanik Chakrabarti & Aram Harrow, 2026, "Quantum Speedups for Derivative Pricing Beyond Black-Scholes," Papers, arXiv.org, number 2602.03725, Feb.
- Tatsuru Kikuchi, 2026, "The Innovation Tax: Generative AI Adoption, Productivity Paradox, and Systemic Risk in the U.S. Banking Sector," Papers, arXiv.org, number 2602.02607, Feb.