Printed from https://ideas.repec.org/n/nep-rmg/2026-04-20.html
Report NEP-RMG-2026-04-20
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:
- Nolan Alexander & Frank Fabozzi, 2026, "On the Structure of Risk Contribution: A Leave-One-Out Decomposition into Inherent and Correlation Risk," Papers, arXiv.org, number 2604.10375, Apr.
- Hilde C. Bjornland & Nicolas Hardy & Dimitris Korobilis, 2026, "Forecasting Oil Prices Across the Distribution: A Quantile VAR Approach," Papers, arXiv.org, number 2604.12927, Apr.
- Sebastien Gallet & Julja Prodani & Kitty Rang, 2026, "From nature shocks to financial stability Incorporating nature physical risks – in particular water-related risks – into banks’ credit risk models and insurers’ market risk models," Working Papers, DNB, number 857, Apr.
- J'er^ome Lelong & V'eronique Maume-Deschamps & William Thevenot, 2026, "Multi periods mean-DCVaR optimization: a Recursive Neural Network resolution," Papers, arXiv.org, number 2604.14439, Apr.
- Zhenfeng Zou, 2026, "Lambda R{\'e}nyi entropic value-at-risk," Papers, arXiv.org, number 2604.10657, Apr.
- Damiaan Chen & Roel Beetsma & Sweder van Wijnbergen, 2026, "On the Limits of Hedging Inflation Risk in Investment Portfolios," Working Papers, DNB, number 858, Apr.
- Guo, Hongfei & Marín Díazaraque, Juan Miguel & Veiga, Helena, 2026, "Target-Driven Bayesian Stacking of Realized and Implied Volatility Forecasts," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 49851, Apr.
- Gabriel Santana & Jemirson Ramirez, 2026, "Topological Complexity and Phase Space Stability: A Persistent Homology Approach to Cryptocurrency Risk," Papers, arXiv.org, number 2604.13311, Apr.
- Santoni, Alessandro & Allali, Lamia & Dierick, Nicolas, 2026, "Earnings manipulation and probability of default: insights from AnaCredit and supervisory," Occasional Paper Series, European Central Bank, number 385, Apr.
- Tenghan Zhong & Keyuan Wu, 2026, "Reliability-Aware ETF Tail-Risk Monitoring," Papers, arXiv.org, number 2604.08765, Apr, revised Apr 2026.
- Songrun He, 2026, "Interpretable Systematic Risk around the Clock," Papers, arXiv.org, number 2604.13458, Apr.
- Zhangying Li & O-Chia Chuang & Rangan Gupta, 2026, "The Shifting Dynamics of Energy Supply Shocks: Natural Gas as the New Driver of European Stock Market Volatility," Working Papers, University of Pretoria, Department of Economics, number 202609, Apr.
- Yiqing Wang, 2026, "A Counterfactual Diagnostic Framework for Explaining KS Deterioration in Credit Risk Model Validation," Papers, arXiv.org, number 2604.11561, Apr.
- Dhruvin Dungrani & Disha Dungrani, 2026, "The Acoustic Camouflage Phenomenon: Re-evaluating Speech Features for Financial Risk Prediction," Papers, arXiv.org, number 2604.14619, Apr.
- Tenghan Zhong, 2026, "Risk-Sensitive Specialist Routing for Volatility Forecasting," Papers, arXiv.org, number 2604.10402, Apr, revised Apr 2026.
- Onur Polat & Rangan Gupta & Dhanashree Somani & Sayar Karmakar, 2026, "Machine Learning Forecasting of U.S. Stock Market Volatility: The Role of Stock and Oil Bubbles," Working Papers, University of Pretoria, Department of Economics, number 202611, Apr.