Printed from https://ideas.repec.org/n/nep-rmg/2026-06-08.html
Report NEP-RMG-2026-06-08
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:
- Zijun Jia & Sharon X. Lee, 2026, "Mining Financial Data using Mixtures of Mirrored Weibull Distributions," Papers, arXiv.org, number 2605.20142, May.
- Gilbert Mbara, 2026, "Hedging Auction Volatility with Gap Call Options," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2026-20.
- Sam, Rainsy, 2026, "From Volatility to Time: Toward a New Theory of Risk Based on Capital Recovery," MPRA Paper, University Library of Munich, Germany, number 128710, Apr.
- Marlon R. Moresco & Marcelo Righi & Silvana M. Pesenti, 2026, "Dual Representation of Robust Risk Measures and Uncertainty Sets," Papers, arXiv.org, number 2606.05392, Jun.
- Eduardo Montuori & Francesco Benedetto & Loretta Mastroeni, 2026, "Systemic Risk Synchronization Across European Banking and Insurance Sectors: A Time-Warping and Entropy Approach," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0294, Jun.
- Karima Ouederni & Georges Dionne, 2026, "Effect of corporate risk management on dividend policy: Evidence from US oil and gas firms," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 26-01, May.
- Hilde C. Bjornland & Nicolas Hardy & Dimitris Korobilis, 2026, "Forecasting Oil Prices Across the Distribution: A Quantile VAR Approach," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2026-39, May.
- Andrew Chen & Francisco Palomino, 2026, "An Irrelevance Theorem for Risk Aversion and Time-Varying Risk," Papers, arXiv.org, number 2606.05554, Jun.
- Onur Polat & Oguzhan Cepni & Riza Demirer & Rangan Gupta, 2026, "AI Revolution and Crash Risks in Technology Stocks," Working Papers, University of Pretoria, Department of Economics, number 202617, Jun.
- Rylan Wade, 2026, "Do Better Volatility Forecasts Lead to Better Portfolios? Evidence from Graph Neural Networks," Papers, arXiv.org, number 2605.19278, May, revised May 2026.
- Marek Folprecht, 2025, "Integrating Flood Risk into House Price Models Using Expected Discounted Loss: Evidence from the Czech Republic in 2024," FFA Working Papers, Prague University of Economics and Business, number 6.002, Dec, revised 07 May 2026.
- Albano, Donatella & Billio, Monica & De Bernardo, Gabriella & Gianni, Carlotta & Salvati, Luigi, 2026, "Do Firms Insure Where Physical Risk Is Highest? Evidence from Natural Catastrophe Insurance in Italy," MPRA Paper, University Library of Munich, Germany, number 128802, Apr.
- Thomas K. Kloster & Fred Espen Benth, 2026, "Forecasting of volatility and risk premia in electricity markets," Papers, arXiv.org, number 2606.05991, Jun.
- Vidal Llauradó, Joan, 2026, "Latent Volatility Contagion in Rough Volatility Models," MPRA Paper, University Library of Munich, Germany, number 128734, Apr.
- Vidal Llauradó, Joan, 2026, "A Rough Theory of Markets," MPRA Paper, University Library of Munich, Germany, number 128739, Apr.
- Fabien Le Floc'h, 2026, "Explicit Rational Formulae for Bachelier (Normal) Implied Volatility," Papers, arXiv.org, number 2605.18343, May, revised Jun 2026.
- Jayesh Chaudhary, 2026, "Multi-Scale Markov Switching GARCH," Papers, arXiv.org, number 2606.06190, Jun.
- Zhen Zhang & Moxuan Zheng & Tongchen Zhang & Luyun Lin & Yiqing Wang & Lixing Lin, 2026, "Bankruptcy Prediction from 10-K Narratives: Evidence from Interpretable Text Scores and Accounting Baselines," Papers, arXiv.org, number 2606.05623, Jun.
- Minxuan Hu & Jiayu Yi & Ziheng Chen & Wenxi Sun & Qishi Zhan, 2026, "Stress Amplified Resilience: ESG and Joint Fragility in Equity Markets," Papers, arXiv.org, number 2606.05631, Jun.
- Rischan Mafrur & Khadijah, 2026, "Beyond TVL: An Explainable Risk Scoring Framework for Tokenized Real-World Assets," Papers, arXiv.org, number 2605.29689, May.
- Maurice Bun & Eric Cuijpers, 2026, "Differentiated deleveraging: How do banks respond to capital ratios and capital requirements?," Working Papers, DNB, number 862, May.
- Miquel Noguer I Alonso, 2026, "Derivative-Informed Operator Learning for Finance: On-the-Fly Greeks, Surfaces, Hedging, and Control," Papers, arXiv.org, number 2606.05900, Jun.
- Asim, Amna & Siddiqui, Danish Ahmed, 2026, "Supply Chain Finance and Firm performance: The moderating role of Industry competition and Credit risk," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 341082.
- Rob J. Hyndman & David T. Frazier, 2026, "Anomaly Detection Using Surprisals," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/26.
- Hamza, Ameer Hamza, 2026, "Decomposing Equity Risk: The Case for Segment-Level Financial Derivatives with Automated Regulatory Settlement," MPRA Paper, University Library of Munich, Germany, number 128824, Apr, revised 20 Apr 2026.
- Iñaki Aldasoro & Sebastian Doerr & Haonan Zhou, 2026, "Liquidity regulation and bank funding costs," BIS Working Papers, Bank for International Settlements, number 1352, May.
- Robert D. Lieberthal & Richard Tran & Vietbao Phan & Jawand Singh & Elizabeth Sottung, 2026, "Leveraging LLMs for Unstructured Claims Data Analysis," Papers, arXiv.org, number 2606.06089, Jun.
- Runyu Dai & Yasumasa Matsuda, 2026, "Estimation of High-Dimensional Volatility Matrices with Dynamic Conditional Correlation-embedded Mixed Factor Structures," DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University, number 152, May.
- Brogi, Athos, 2026, "Delta Hedging with the Modified Binomial Tree," MPRA Paper, University Library of Munich, Germany, number 128937, Apr.
- Quanyan Zhu, 2026, "Insurance of Agentic AI," Papers, arXiv.org, number 2606.05449, Jun.