Report NEP-RMG-2026-04-13

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Dario Caldara & Haroon Mumtaz & Molin Zhong, 2026, "Risk in a Data-Rich Model," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1435, Mar, DOI: 10.17016/IFDP.2026.1435.
• Zheqi Fan & Meng Melody Wang & Yifan Ye, 2026, "On options-driven realized volatility forecasting: Information gains via rough volatility model," Papers, arXiv.org, number 2604.02743, Apr, revised Apr 2026.
• Tenghan Zhong, 2026, "Adaptive VaR Control for Standardized Option Books under Marking Frictions," Papers, arXiv.org, number 2604.03499, Apr.
• Nolan Alexander & Frank Fabozzi, 2026, "Measuring Strategy-Decay Risk: Minimum Regime Performance and the Durability of Systematic Investing," Papers, arXiv.org, number 2604.08356, Apr.
• Christopher Gerling & Hanqiu Peng & Ying Chen & Stefan Lessmann, 2026, "Transfer Learning for Loan Recovery Prediction under Distribution Shifts with Heterogeneous Feature Spaces," Papers, arXiv.org, number 2604.02832, Apr, revised Apr 2026.
• Erik Heitfield, 2026, "Model Uncertainty and the Pricing of Hurricane Risk in Florida," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2026-016, Mar, DOI: 10.17016/FEDS.2026.016.
• Haroon Mumtaz & Sofia Velasco, 2026, "A Dynamic Factor Model for Level and Volatility," Papers, arXiv.org, number 2604.03681, Apr.
• Alexander Dickerson & Christian Julliard & Philippe Mueller, 2026, "The Co-Pricing Factor Zoo," Papers, arXiv.org, number 2604.04430, Apr.
• Takaaki Koike & Marius Hofert & Haruki Tsunekawa, 2026, "Tail copula representation of path-based maximal tail dependence," Papers, arXiv.org, number 2604.05985, Apr.
• Shuchen Meng & Xupeng Chen, 2026, "Artificial Intelligence and Systemic Risk: A Unified Model of Performative Prediction, Algorithmic Herding, and Cognitive Dependency in Financial Markets," Papers, arXiv.org, number 2604.03272, Mar.