Printed from https://ideas.repec.org/n/nep-rmg/2026-03-16.html
Report NEP-RMG-2026-03-16
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:
- Charlie Che & Hanxuan Lin & Yudong Yang & Guofan Hu & Lei Fang, 2026, "SPX-VIX Risk Computations Via Perturbed Optimal Transport," Papers, arXiv.org, number 2603.10857, Mar, revised Mar 2026.
- Dhruv Bansal & Mayank Goud & Sourav Majumdar, 2026, "A stochastic correlation extension of the Vasicek credit risk model," Papers, arXiv.org, number 2603.01109, Mar, revised Mar 2026.
- Ruodu Wang & Jingcheng Yu, 2026, "Submodular risk measures," Papers, arXiv.org, number 2603.01232, Mar, revised Apr 2026.
- Manan Poddar, 2026, "Uncertainty-Aware Deep Hedging," Papers, arXiv.org, number 2603.10137, Mar.
- Jimmy Risk & Shen-Ning Tung & Tai-Ho Wang, 2026, "Pricing and hedging for liquidity provision in Constant Function Market Making," Papers, arXiv.org, number 2603.01344, Mar.
- Yinhuan Li & Chenxin Lyu & Ruodu Wang, 2026, "Adaptive Window Selection for Financial Risk Forecasting," Papers, arXiv.org, number 2603.01157, Mar.
- Arno Botha & Mohammed Gabru & Marcel Muller & Janette Larney, 2026, "Deriving the term-structure of loan write-off risk under IFRS 9 by using survival analysis: A benchmark study," Papers, arXiv.org, number 2603.11897, Mar.
- Item repec:aoh:conpro:2025:i:6:p:10-21 is not listed on IDEAS anymore
- Yang Liu & Yunran Wei & Xintao Ye, 2026, "Weighted Generalized Risk Measure and Risk Quadrangle: Characterization, Optimization and Application," Papers, arXiv.org, number 2603.10327, Mar, revised Mar 2026.
- Lea Gogová & Juraj Hledik & Ján Klacso, 2025, "Exploring the exposure of Slovak banks’ corporate loan portfolio to flood risk," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 15/2025, Oct.
- Hiroshi Oishi & Yoshibumi Makabe & Mitsuhiro Osada, 2026, "Recent Use Cases of Supervisory Granular Data for Financial Stability Analysis," Bank of Japan Review Series, Bank of Japan, number 26-E-2, Mar.
- Feinstein, Zachary & Sojmark, Andreas, 2026, "Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 137337, Feb.
- Nikhil Devanathan & Dylan Rueter & Stephen Boyd & Emmanuel Cand`es & Trevor Hastie & Mykel J. Kochenderfer & Arpit Apoorv & David Soronow & Igor Zamkovsky, 2026, "Single-Asset Adaptive Leveraged Volatility Control," Papers, arXiv.org, number 2603.01298, Mar, revised Mar 2026.
- Juliane Begenau & Vadim Elenev & Tim Landvoigt, 2026, "Interest Rate Risk and Cross-Sectional Effects of Micro-Prudential Regulation," NBER Working Papers, National Bureau of Economic Research, Inc, number 34892, Feb.
- Han Chen & Yijie Fei & Jun Yu, 2026, "Multivariate Stochastic Volatility Model with Block Correlations," Working Papers, University of Macau, Faculty of Business Administration, number 202638, Mar.
- Christopher Blier-Wong, 2026, "A Laplace-based perspective on conditional mean risk sharing," Papers, arXiv.org, number 2603.01434, Mar.
- Harashima, Taiji, 2026, "Personal Bankruptcy Can Be Economically Justified Even in a Non-stochastic Environment," MPRA Paper, University Library of Munich, Germany, number 125812, Mar.
- Goumet, Laudine & Menegat, Martina & Almeida, Elena & Waaifoort, Maria & Smolenska, Agnieszka, 2026, "EU banks and nature-related risk management: from awareness to action," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 137487, Mar.
- Fotso, Chris Toumping & Özer, Yeliz & Palumbo, Dario & Sibbertsen, Philipp, 2026, "Dynamic Modelling of Heavy-Tailed Cylindrical Time Series," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-745, Mar.
- Adir Saly-Kaufmann & Kieran Wood & Jan Peter-Calliess & Stefan Zohren, 2026, "Deep Learning for Financial Time Series: A Large-Scale Benchmark of Risk-Adjusted Performance," Papers, arXiv.org, number 2603.01820, Mar.
- Aman, Muhammad & Ali, Amjad & Audi, Marc, 2025, "Bitcoin and Inflation: A Cross-Country Assessment of Hedging Effectiveness," MPRA Paper, University Library of Munich, Germany, number 127489.
- Cameron Tucker, 2025, "How to Teach about Insurance," Open Vault, Federal Reserve Bank of St. Louis, number 102759, Apr.
- William N. Goetzmann & Otto Manninen & James Tyler, 2026, "Bubbles, Booms and Crashes in the US Stock Market 1792-2024," NBER Working Papers, National Bureau of Economic Research, Inc, number 34903, Feb.
- Jonathan Klinge & Maren Diane Schmeck, 2026, "Asymptotics of Ruin Probabilities in a Subordinated Cram\'er-Lundberg Model," Papers, arXiv.org, number 2603.01821, Mar.