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Report NEP-RMG-2026-05-25
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:
- Claude Lefevre & Pierre Zuyderhoff, 2026, "On the Expected Maximum Deficit and the Optimal Allocation of Reserves," Papers, arXiv.org, number 2605.16448, May.
- Patrick Woitschig & Mike West, 2026, "Bayesian Dynamic Modeling of Realized Volatility in Financial Asset Price Forecasting," Papers, arXiv.org, number 2605.12099, May.
- Maxim Bichuch & Zachary Feinstein, 2026, "Designing On-Chain Options: Amortizing Perpetual Options," Papers, arXiv.org, number 2605.19146, May.
- Max Nendel, 2026, "Asymptotic Behaviour of Unexpected Losses and Risk Ratios for Co-Monotonic Alternatives," Papers, arXiv.org, number 2605.18049, May.
- Yosuke Fukunishi & Haorong Qiu & Akihiko Takahashi, 2026, "Generating Synthetic Stock Return Distributions with Diffusion Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-1273, May.
- Gabriel Rodriguez & Fiorela Liza & Miguel Ataurima Arellano, 2026, "Forecasting Value at Risk and Expected Shortfall in Equity Markets of High-Income and Latin American Countries," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2026-554, DOI: 10.18800/2079-8474.0554.
- Hirbod Assa, 2026, "The Epistemic Risk of Risk: A Modal Framework for Quantitative Risk Management," Papers, arXiv.org, number 2605.11200, May.
- Ujjwala Vadrevu, 2026, "A Hybrid Gaussian Process Regression Framework for Stable Volatility-Covariance Estimation: Evidence from Global Equity Indices," Papers, arXiv.org, number 2605.17275, May.
- Kirill Zernikov, 2026, "What Does Deep Hedging Actually Learn? Delta Corrections, Regime Fragility, and Symbolic Distillation," Papers, arXiv.org, number 2605.21696, May.
- Bondarenko, Yevheniia & Kang, Nayeon & Lewis, Vivien & Rottner, Matthias & Schüler, Yves, 2026, "Geopolitical risk in the euro area: Measurement and transmission," Discussion Papers, Deutsche Bundesbank, number 14/2026, DOI: 10.71734/DP-2026-14.
- Sven Fuhrmann & Michael Kupper & Max Nendel, 2026, "An optimal transport foundation for a class of dynamically consistent risk measures," Papers, arXiv.org, number 2605.21759, May.
- Gregory A. Fanous, 2026, "The Engineering of Skew: A Path-Dependent Framework for Asymmetric Volatility Management," Papers, arXiv.org, number 2605.09123, May.
- Caio Gomes, 2026, "Your SaaS Is an Insurance Product: A Modeling Framework," Papers, arXiv.org, number 2605.16699, May.
- Julian Atanassov & Gabriele Lattanzio & Bektemir Ysmailov, 2024, "Strategic Cash Portfolio Management in the Face of Policy Uncertainty: Evidence from U.S. Firms," Working Papers, Nazarbayev University, Graduate School of Business, number 2024/03, Oct.
- Philippe Goulet Coulombe, 2026, "Quantifying the Risk-Return Tradeoff in Forecasting," Papers, arXiv.org, number 2605.09712, May.
- Masaaki Fukasawa & Shunta Murayama, 2026, "Robust Volatility Index Calculation with OTM Option-implied Probability," Papers, arXiv.org, number 2605.17446, May.
- Bjorn Lofdahl Grelsson, 2026, "On the modeling assumptions of Historical Simulation for Value-at-Risk," Papers, arXiv.org, number 2605.10066, May.
- Alex Leung & Rex Zhang & Ervin Ling & Kentaroh Toyoda & SiewMei Loh, 2026, "The Insurability Frontier of AI Risk: Mapping Threats to Affirmative Coverage, Silent Exposures, and Exclusions," Papers, arXiv.org, number 2605.18784, May, revised Jun 2026.
- Jonas F. Frederiksen & Muneya Matsui & Rasmus S. Pedersen, 2026, "Heavy Tails and Predictive Ability Testing," Papers, arXiv.org, number 2605.16866, May, revised Jun 2026.
- Suvam Pal & Viktor Stojkoski & Arnab Pal & Trifce Sandev, 2026, "Geometric Brownian motion with intermittent entries and exits," Papers, arXiv.org, number 2605.17299, May.
- Tristan Jourde & Sofía Ruiz Romanos & Dilyara Salakhova, 2026, "Extreme weather events and the risks to the financial system
[Événements climatiques extrêmes : quels risques pour le système financier ?]," Eco Notepad, Banque de France, number 449, Apr. - Mohammad Jalili Torkamani & Pedro Gomes & Amirmohammad Sadeghnejad & Jason Le, 2026, "Analyzing the Impact of Release Season and Production Budget on Movie Revenue and Profitability," Papers, arXiv.org, number 2605.12551, May.
- Sebastian Bell & Ali Kakhbod & Martin Lettau & Abdolreza Nazemi, 2026, "AlphaGlass: Interpretable Characteristic-Based Portfolio Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 35186, May.
- Akmal Xodarev, 2026, "On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition," Papers, arXiv.org, number 2605.17142, May.
- Yujing Chen, 2026, "Bayesian Persuasion with a Risk-Conscious Receiver," Papers, arXiv.org, number 2605.12094, May.
- Fabien Le Floc'h, 2026, "Faster Monotone Implied Volatility Solver," Papers, arXiv.org, number 2605.22427, May, revised May 2026.
- Cara Bordier & Lukas Frei & Simon Stalder, 2026, "Dollar dominance: A source of dollar volatility?," Working Papers, Swiss National Bank, number 2026-05.
- Hasret Ozan Sevim, 2026, "Interoperability Effects: Extending DeFi Lending Risk Models to Multi-Chain Environments," Papers, arXiv.org, number 2605.12508, Mar.