Report NEP-RMG-2026-05-11

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:

• Christopher Blier-Wong & Jean-Gabriel Lauzier, 2026, "Comonotonic improvement under feasibility constraints," Papers, arXiv.org, number 2604.24546, Apr.
• Damiaan Chen & Roel Beetsma & Sweder van Wijnbergen, 2025, "On the Limits of Hedging Inflation Risk in Investment Portfolios," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-059/IV, Oct.
• Yunqi Liang & Hasan Ugur Koyluoglu & Fuat Alican & Yigit Ihlamur, 2026, "Beyond Picking Winners: Correlation-Driven Tail Risk in Venture Capital Portfolio Construction," Papers, arXiv.org, number 2604.23087, Apr.
• Davide Rindori, 2026, "Neural-Actuarial Longevity Forecasting: Anchoring LSTMs for Explainable Risk Management," Papers, arXiv.org, number 2605.06438, May.
• Wenjun Jiang & Qingqing Zhang & Yiying Zhang, 2026, "Distributionally Robust Insurance under Bregman-Wasserstein Divergence," Papers, arXiv.org, number 2604.27837, Apr.
• Pierpaolo Uberti, 2026, "Measuring the risk or reducing it, that is the question: is risk measurement necessary for risk reduction?," Papers, arXiv.org, number 2604.28124, Apr.
• Wolfgang Schadner, 2026, "An Explicit Solution to Black-Scholes Implied Volatility," Papers, arXiv.org, number 2604.24480, Apr, revised May 2026.
• Martijn Boermans & Laurens Swinkels, 2026, "Hedging Against Inflation: International Evidence on Investor Clientele Effects," Working Papers, Czech National Bank, Research and Statistics Department, number 2026/08, Apr.
• Ying-Hui Shao & Yan-Hong Yang & Yun Zhang, 2026, "A Motif-Based Framework for Decomposing Risk Spillovers," Papers, arXiv.org, number 2604.25406, Apr.
• Ying Liao & Ankush Agarwal & Florian Bourgey, 2026, "Implied Volatility Expansions for VIX Options in Forward Variance Models," Papers, arXiv.org, number 2604.25123, Apr.
• Girish Bahal & Damian Lenzo & Jia-Wei Loh, 2026, "Micro-to-Macro Uncertainty," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2026-28, May.
• Merve Kutuk & Sweder van Wijnbergen, 2025, "Carry Trade and Currency Crash Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-058/IV, Oct.
• Tomasz J. Kozubowski & Andrey Sarantsev & James A. Spiker, 2026, "Modeling Stock Returns and Volatility Using Bivariate Gamma Generalized Laplace Law," Papers, arXiv.org, number 2605.00196, Apr.
• Mr. Andre O Santos, 2026, "Stress Tests of Euro Area Banks with Skewed Normal Credit Risk Distributions," IMF Working Papers, International Monetary Fund, number 2026/089, May.
• Alan Chernoff & Julapa Jagtiani & Nathaniel Yoshida, 2026, "Flight to Safety: Evaluating Stablecoin’s Role as a Safe-Haven Asset in DeFi Markets," Working Papers, Federal Reserve Bank of Philadelphia, number 26-24, May, DOI: 10.21799/frbp.wp.2026.24.
• Thomas Conlon & John Cotter & Iason Kynigakis, 2026, "Machine Learning Forecasts of Asymmetric Betas Using Firm-Specific Information," Papers, arXiv.org, number 2604.22933, Apr.
• Valentin Tissot-Daguette, 2026, "Pricing with Passion: The Local Occupied Volatility (LOV) Model," Papers, arXiv.org, number 2604.26151, Apr.
• Erdinc Akyildirim & Gonul Colak & Giray Gozgor & Thang Ho, 2026, "Firm-Level Geopolitical Risk and Bank Debt Financing: Global Evidence," CESifo Working Paper Series, CESifo, number 12624.
• Lorenzo Mazzucchelli & Marco Zanotti & Luca Vincenzo Ballestra & Andrea Guizzardi, 2026, "Do Short Exposure and Systematic Risk Exposure Drive Asymmetries in the Disposition Effect?," Papers, arXiv.org, number 2605.00016, Apr.
• Ya-Juan Wang & Yi-Shuai Niu & Artan Sheshmani & Shing-Tung Yau, 2026, "Yau's Affine-Normal Descent for Large-Scale Unrestricted Higher-Moment Portfolio Optimization," Papers, arXiv.org, number 2604.25378, Apr.
• Laura Baselga-Pascual & Lidia Loban & Emma-Riikka Myllymäki, 2025, "Bank credit risk and sovereign debt exposure: Moral hazard or hedging?," Post-Print, HAL, number hal-05585256, Jan, DOI: 10.1016/j.frl.2024.106454.
• Raeid Saqur, 2026, "Fast-Vollib: A Fast Implied Volatility Library for Pythonwith PyTorch, JAX, and CUDA Fused-Kernel Backends," Papers, arXiv.org, number 2604.27210, Apr.
• Adil Reghai & Lama Tarsissi & G'erard Biau & Alex Lipton, 2026, "A Geometry-Aware Residual Correction of Hagan's SABR Implied Volatility Formula," Papers, arXiv.org, number 2605.06604, May.
• Eduardo Abi Jaber & Cl'ement Rey & Dimitri Sotnikov, 2026, "Malliavin calculus for signatures with applications to finance," Papers, arXiv.org, number 2604.22528, Apr.