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Report NEP-RMG-2026-04-06
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:
- Demetrio Lacava, 2026, "Modeling and Forecasting Tail Risk Spillovers: A Component-Based CAViaR Approach," Papers, arXiv.org, number 2603.25217, Mar.
- Adele Ravagnani & Mattia Chiappari & Andrea Flori & Piero Mazzarisi & Marco Patacca, 2026, "Hedging market risk and uncertainty via a robust portfolio approach," Papers, arXiv.org, number 2604.02126, Apr.
- A. Fernandez-Perez & A.-M. Fuertes & J. Miffre, 2026, "Does speculation in futures markets improve commodity hedging decisions?," Post-Print, HAL, number hal-05563835, Mar, DOI: 10.1287/mnsc.2024.04940.
- Francesca Centrone & Asmerilda Hitaj & Elisa Mastrogiacomo & Emanuela Rosazza Gianin, 2026, "Robust quasi-convex risk measures and applications," Papers, arXiv.org, number 2603.17954, Mar.
- Belhouari, Oussama & Barigou, Karim & Devolder, Pierre, 2026, "Impact of hedging on the cost of capital valuation for hybrid life insurance," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2026005, Mar.
- Brunella Bruno & Imma Marino, 2026, "Unveiling Risk on Bank Balance Sheets: From Risk Disclosure to Credit Reallocation," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 773, Mar.
- Massimiliano Caporin & Daniele Girolimetto & Emanuele Lopetuso, 2026, "Multivariate GARCH and portfolio variance prediction: A forecast reconciliation perspective," Papers, arXiv.org, number 2603.17463, Mar, revised Apr 2026.
- Wenxuan Zhang & Zhouchi Lin & Benzhuo Lu, 2026, "From Volatility to Variance: A Skew-Enhanced SABR Model and Its Empirical Study in the Chinese Financial Options Market," Papers, arXiv.org, number 2603.27501, Mar.
- D. J. Manuge, 2026, "Multivariate Residual Estimation Risk," Papers, arXiv.org, number 2603.17792, Mar.
- Michel Denuit & Jos'e Miguel Flores-Contr'o & Christian Y. Robert, 2026, "Linear Risk Sharing in Community-Based Insurance: Ruin Reduction in the Compound Poisson Model," Papers, arXiv.org, number 2603.29530, Mar.
- Marcelo Righi & Rodrigo Targino, 2026, "Robust risk measures: an averaging approach," Papers, arXiv.org, number 2603.24349, Mar.
- Yan Dolinsky & Xin Zhang, 2026, "Scaling Limits for Exponential Hedging in Trinomial Models," Papers, arXiv.org, number 2603.28948, Mar.
- Atsushi Hane, 2026, "Optimal Hedge Ratio for Delta-Neutral Liquidity Provision under Liquidation Constraints," Papers, arXiv.org, number 2603.19716, Mar.
- Konstantinos Chatziandreou & Sven Karbach, 2026, "Semi-Static Variance-Optimal Hedging of Covariance Risk in Multi-Asset Derivatives," Papers, arXiv.org, number 2603.25320, Mar.
- Wing Fung Chong & Runhuan Feng & Kenneth Tsz Hin Ng, 2026, "Capital-Allocation-Induced Risk Sharing," Papers, arXiv.org, number 2603.26491, Mar.
- Frangiamore, Francesco & Saadaoui, Jamel, 2026, "Geopolitical risk and sovereign stress in the Euro Area," MPRA Paper, University Library of Munich, Germany, number 127823, Jan.
- Valter T. Yoshida Jr. & Rafael Schiozer & Alan de Genaro & Toni R.E. dos Santos, 2026, "Forecasting Out-of-Time Credit Scoring Model Risk," Working Papers Series, Central Bank of Brazil, Research Department, number 645, Apr.
- Yuechen Dai & Richard Watt & Kuntal Das, 2026, "Optimal Capital Allocation Between Earth and Space Insurance: A Standard Portfolio Theory Approach," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 26/02, Apr.
- Bogdan Grechuk & Anton Malandii & Terry Rockafellar & Stan Uryasev, 2026, "The Risk Quadrangle in Optimization: An Overview with Recent Results and Extensions," Papers, arXiv.org, number 2603.27370, Mar.
- Wenyuan Li & Haoqi Lyu, 2026, "Valuation of variable annuities under the Volterra mortality and rough Heston models," Papers, arXiv.org, number 2604.00472, Apr, revised Apr 2026.
- Liao, Yanjun (Penny) & Whitlock, Zach & Kaiser, Brooks & Sølvsten, Simon, 2026, "Co-Managing Natural Catastrophic Risks by the Insurance Industry and Government," RFF Working Paper Series, Resources for the Future, number 26-06, Mar.
- Gustavo Silva Araujo & Claudio Henrique da Silveira Barbedo & Hugo Araujo Costa & Aziz Baruque, 2026, "Is The Risk of The Opening Price Gap Priced?," Working Papers Series, Central Bank of Brazil, Research Department, number 644, Apr.
- Roberto Daluiso & H'ector Folgar-Came'an & Andrea Pallavicini & Carlos V'azquez, 2026, "Rough volatility dynamics in commodity markets," Papers, arXiv.org, number 2603.26514, Mar.
- Tim J. Boonen & Engel John C. Dela Vega & Len Patrick Dominic M. Garces, 2026, "Optimal Dividend, Reinsurance, and Capital Injection for Collaborating Business Lines under Model Uncertainty," Papers, arXiv.org, number 2603.25350, Mar.
- Bingzheng Chen & Jan Dhaene & Chun Liu & Shunzhi Pang, 2026, "Robust Investment-Driven Insurance Pricing and Liquidity Management," Papers, arXiv.org, number 2603.18962, Mar.
- Hardhik Mohanty & Bhaskar Krishnamachari, 2026, "Do Prediction Markets Forecast Cryptocurrency Volatility? Evidence from Kalshi Macro Contracts," Papers, arXiv.org, number 2604.01431, Apr.
- Dominic Gribben & Carolina Allende & Alba Villarino & Aser Cortines & Mazen Ali & Rom'an Or'us & Pascal Oswald & Noureddine Lehdili, 2026, "STN-GPR: A Singularity Tensor Network Framework for Efficient Option Pricing," Papers, arXiv.org, number 2603.26318, Mar.
- Nabeel Ahmad Saidd, 2026, "A Controlled Comparison of Deep Learning Architectures for Multi-Horizon Financial Forecasting: Evidence from 918 Experiments," Papers, arXiv.org, number 2603.16886, Feb.
- Débora Allam-Firley & Marc-Hubert Depret & Céline Merlin-Brogniart, 2026, "Digital transformation in non-life insurance: Foundations, challenges and research agenda in the economics of service
[La transformation numérique du secteur français de l'assurance non-vie : fondements, défis et perspectives de recherche en écono," Post-Print, HAL, number hal-05551244. - Victor Medina-Olivares & Wangzhen Xia & Stefan Lessmann & Nadja Klein, 2026, "Semi-structured multi-state delinquency model for mortgage default," Papers, arXiv.org, number 2603.26309, Mar.