Report NEP-RMG-2026-03-30

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:

• Minxuan Hu & Ziheng Chen & Jiayu Yi & Wenxi Sun, 2026, "Autonomous AI Agents for Option Hedging: Enhancing Financial Stability through Shortfall Aware Reinforcement Learning," Papers, arXiv.org, number 2603.06587, Feb.
• Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2026, "Credit Standards: A New Predictor of U.S. Stock Market Realized Volatility," Working Papers, University of Pretoria, Department of Economics, number 202607, Mar.
• Claudia Fassino & Pierpaolo Uberti, 2026, "Some general results on risk budgeting portfolios," Papers, arXiv.org, number 2603.15511, Mar.
• Daniel Bloch, 2026, "The Geometry of Risk: Path-Dependent Regulation and Anticipatory Hedging via the SigSwap," Papers, arXiv.org, number 2603.24154, Mar.
• Otar Sepper, 2026, "Slippage-at-Risk (SaR): A Forward-Looking Liquidity Risk Framework for Perpetual Futures Exchanges," Papers, arXiv.org, number 2603.09164, Mar.
• Giulia Di Nunno & Emanuela Rosazza Gianin, 2026, "Capturing cash non-additivity and horizon risk via BSDEs and generalized shortfall," Papers, arXiv.org, number 2603.14024, Mar.
• Konietschke, Paul & Metzler, Julian & Ponte Marques, Aurea, 2026, "A quantile probability model for sectoral corporate defaults in Europe," Working Paper Series, European Central Bank, number 3207, Mar.
• Xiaochun Liu & Richard Luger, 2026, "Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting," Papers, arXiv.org, number 2603.02357, Mar, revised Mar 2026.
• Brunella Bruno and Immacolata Marino, 2026, "Unveiling Risk on Bank Balance Sheets: From Risk Disclosure to Credit Reallocation," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 26268.
• Luna Rigby & Rudiger Frey & Erik Schlogl, 2026, "If Not Now, Then When? Model Risk in the Optimal Exercise of American Options," Papers, arXiv.org, number 2603.19984, Mar.
• Daouia, Abdelaati & Hachem, Joseph & Stupfler, Gilles, 2026, "Extreme value inference for heterogeneous heavy-tailed data: A derandomization theory," TSE Working Papers, Toulouse School of Economics (TSE), number 26-1727, Mar.
• Hanyong Cho & Geumil Bae & Jang Ho Kim, 2026, "Investor risk profiles of large language models," Papers, arXiv.org, number 2603.09303, Mar.
• Keonvin Park, 2026, "Joint Return and Risk Modeling with Deep Neural Networks for Portfolio Construction," Papers, arXiv.org, number 2603.19288, Mar.
• Paul P. Hager & Ulrich Horst & Thomas Wagenhofer & Wei Xu, 2026, "Microstructural Foundation of Rough Log-Normal Volatility Models," Papers, arXiv.org, number 2603.13170, Mar.
• Pierre-Emmanuel Thérond & Pierre Boutonnet, 2026, "Risk mitigation accounting: a new portfolio-based model under consultation," Post-Print, HAL, number hal-05546812, Mar.
• Emile A. Marin & JiYong Jung, 2026, "Looking for Risk: Volatility Bounds in Macro," Working Papers, University of California, Davis, Department of Economics, number 378, Mar.
• Barigou, Karim & Loisel, Stéphane & Salhi, Yahia & Vigneron, Rayane, 2026, "Gaussian Process-Based Mortality Monitoring using Multivariate Cumulative Sum Procedures," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2026004, Feb.
• Jimin Lin, 2026, "Shallow Representation of Option Implied Information," Papers, arXiv.org, number 2603.17151, Mar.
• Jean-Michel Do Carmo Silva, 2026, "Towards a redefinition of the role of iinsurance in a risk management system designed by the company
  [Vers une recomposition du rôle de l’assurance dans un système de gestion des risques conçu par l’entreprise]," Post-Print, HAL, number hal-05543694, Jan.
• Steven Campbell & Natascha Hey & Ciamac C. Moallemi & Marcel Nutz, 2026, "Risk-Based Auto-Deleveraging," Papers, arXiv.org, number 2603.15963, Mar.
• Bo Pieter Johannes Andr'ee, 2026, "Range-Based Volatility Estimators for Monitoring Market Stress: Evidence from Local Food Price Data," Papers, arXiv.org, number 2603.02898, Mar.
• Zhang, Yuliang, 2026, "On the measurement of bank vulnerability," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 137224, Mar.
• Osberghaus, Alex & Schepens, Glenn, 2026, "Synthetic, but how much risk transfer?," Working Paper Series, European Central Bank, number 3210, Mar.
• Benjamin Kohler & Anton J. Heckens & Thomas Guhr, 2026, "Extreme Value Analysis for Finite, Multivariate and Correlated Systems with Finance as an Example," Papers, arXiv.org, number 2603.05260, Mar.
• Saeed Asadi & Jonathan Yu-Meng Li, 2026, "Generative Adversarial Regression (GAR): Learning Conditional Risk Scenarios," Papers, arXiv.org, number 2603.08553, Mar.
• Yining Ding & Ruyi Liu & Marek Rutkowski, 2026, "Choice of Collateral Currency in Differential Swaps," Papers, arXiv.org, number 2603.07863, Mar.
• Jean-Loup Dupret & Edouard Motte, 2026, "General bounds on functionals of the lifetime under life table constraints in a joint actuarial-financial framework," Papers, arXiv.org, number 2603.06238, Mar, revised Mar 2026.
• Jakub Ryłow, 2026, "Mathematical Foundations of Health Economics: Arrow, Garber, and the Economics of Medical Uncertainty," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2026-6.
• Antoine Mandel & Vipin P. Veetil, 2026, "Shock Propagation and Macroeconomic Fluctuations," Papers, arXiv.org, number 2603.05367, Mar.
• Vespignani, Joaquin & 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," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2026-01.
• Marilyn Pease & Mark Whitmeyer, 2026, "On Risk Aversion in Auctions," Papers, arXiv.org, number 2603.09683, Mar.

Report NEP-RMG-2026-03-30

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: