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Report NEP-RMG-2026-03-02
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-RMG
The following items were announced in this report:
- Rozana Himaz & Vanina Farber & Saut Sagal, 2026, "Financial Instrument Bundling Under Multiple Market Failures: A Household Risk Layering Approach," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2026-01.
- Marc Schmitt, 2026, "Algorithmic Monitoring: Measuring Market Stress with Machine Learning," Papers, arXiv.org, number 2602.07066, Feb.
- Niakh, Fallou & Bassière, Alicia & Denuit, Michel & Robert, Christian, 2025, "Peer-to-Peer Basis Risk Management for Renewable Production Parametric Insurance," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2025007, Apr.
- Denuit, Michel & Michaelides, Marie & Trufin, Julien & Verelst, Harrison, 2025, "Wasserstein boosting trees algorithm for count data, with application to claim frequencies in motor insurance," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2025024, Nov.
- Stefano Scoleri & Marco Bianchetti & Sergei Kucherenko, 2026, "Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks," Papers, arXiv.org, number 2602.14354, Feb.
- Antonini, Marcello & Henriquez, Josefa & van Kleef, Richard & Melia, Adrian & Paolucci, Francesco, 2026, "Can risk-rating of incremental premiums improve consumer sorting across coverage options in mandatory health insurance markets?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 137182, Mar.
- German Nova Orozco & Duy-Minh Dang & Peter A. Forsyth, 2026, "Money-Back Tontines for Retirement Decumulation: Neural-Network Optimization under Systematic Longevity Risk," Papers, arXiv.org, number 2602.16212, Feb.
- Yijie Wang & Hao Gao & Campbell R. Harvey & Yan Liu & Xinyuan Tao, 2026, "Machine Learning Meets Markowitz," NBER Working Papers, National Bureau of Economic Research, Inc, number 34861, Feb.
- Eric Cuijpers & Razvan Vlahu, 2026, "Cross-border banking, intragroup exposures and risk-taking," Working Papers, DNB, number 854, Feb.
- Leow, Maggi, 2026, "The Determinants of Financial Risk Performance of Target Corporation In United States," MPRA Paper, University Library of Munich, Germany, number 127634, Jan.
- Aur'elien Alfonsi & Ahmed Kebaier, 2026, "Weak error approximation for rough and Gaussian mean-reverting stochastic volatility models," Papers, arXiv.org, number 2602.18234, Feb.
- Lan Bu & Ning Cai & Chenxi Xia & Jingping Yang, 2026, "Perfectly Fitting CDO Prices Across Tranches: A Theoretical Framework with Efficient Algorithms," Papers, arXiv.org, number 2602.08039, Feb.
- Hainaut, Donatien & Denuit, Michel, 2025, "Insurance risk classification with Generalized Gaussian Process Regression models," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2025004, Mar.
- Miguel C. Herculano, 2026, "Bayesian Parametric Portfolio Policies," Papers, arXiv.org, number 2602.21173, Feb.
- Srijan Sood & Kassiani Papasotiriou & Marius Vaiciulis & Tucker Balch, 2026, "Deep Reinforcement Learning for Optimal Portfolio Allocation: A Comparative Study with Mean-Variance Optimization," Papers, arXiv.org, number 2602.17098, Feb.
- Christopher Busch & Rocio Madera, 2026, "The Insurance Value of Public Insurance Against Idiosyncratic Income Risk," CESifo Working Paper Series, CESifo, number 12467.
- Min Dai & Yuchao Dong & Yanwei Jia & Xun Yu Zhou, 2026, "Merton's Problem with Recursive Perturbed Utility," Papers, arXiv.org, number 2602.13544, Feb.
- Yousfi, Ridha, 2025, "The impact of liquidity risk on bank financial performance," MPRA Paper, University Library of Munich, Germany, number 126784, Mar, revised 01 Jun 2025.
- Yousfi, Ridha, 2025, "Impact of Liquidity Risk on Financial Stability," MPRA Paper, University Library of Munich, Germany, number 126782, Jan.
- Sumin Kim & Minjae Kim & Jihoon Kwon & Yoon Kim & Nicole Kagan & Joo Won Lee & Oscar Levy & Alejandro Lopez-Lira & Yongjae Lee & Chanyeol Choi, 2026, "LLM as a Risk Manager: LLM Semantic Filtering for Lead-Lag Trading in Prediction Markets," Papers, arXiv.org, number 2602.07048, Feb, revised Feb 2026.
- Klinge, Jonathan & Schmeck, Maren Diane, 2026, "Asymptotics of Ruin Probabilities in a Subordinated Cramér-Lundberg Model," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 765, Feb.
- Janosch Brenzel-Weiss & Winfried Koeniger & Arnau Valladares-Esteban, 2026, "Tax Incentives, Portfolio Choice, and Macroprudential Risks," CESifo Working Paper Series, CESifo, number 12436.
- Pieter Nel & Renee van Eyden, 2026, "From News to Noise: Does Media Sentiment Drive Stock Market Volatility?," Working Papers, University of Pretoria, Department of Economics, number 202605, Feb.
- Mourahib, Anas & Kiriliouk, Anna & Segers, Johan, 2025, "A penalized least squares estimator for extreme-value mixture models," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2025015, Jun.
- Luke Morgan & Carlos Ramírez & André F. Silva & Andrei Zlate, 2026, "Supply Chain Risk and Bank Lending Amid Trade Policy Uncertainty," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2026-01-30-3, Jan, DOI: 10.17016/2380-7172.3996.
- Robben, Jens & Barigou, Karim, 2025, "A Penalized Distributed Lag Non-Linear Lee-Carter Framework for Regional Weekly Mortality Forecasting," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2025016, Sep.