Report NEP-RMG-2026-07-20

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:

• Chari, Anusha & Dilts Stedman, Karlye & Lundblad, Christian, 2025, "Risk-On Risk-Off: A Multifaceted Approach to Measuring Global Investor Risk Aversion," CEPR Discussion Papers, Centre for Economic Policy Research, number 20932, Dec.
• Ellis, Cameron M. & Ellul, Andrew & Jotikasthira, Chotibhak & Xu, Jianren, 2025, "Risk Management, Product Offerings, and Consumer Surplus: Evidence from the Insurance Industry," CEPR Discussion Papers, Centre for Economic Policy Research, number 20882, Dec.
• Shujie Li, 2026, "Comparing the estimation of Value at Risk and Expected Shortfall with LSTM and EGARCH family members," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 173, Mar.
• Matthew Francis Dixon, 2026, "Belief at Risk: Quantifying Agentic AI Model Risk with LLM-Inferred Bayesian State Filters," Papers, arXiv.org, number 2606.15473, Jun.
• Yuyu Chen & Liyuan Lin & Ruodu Wang, 2026, "Universal Value-at-Risk superadditivity," Papers, arXiv.org, number 2606.22884, Jun.
• Miguel Jiménez & David Sarasa Flores & Alfonso Ugarte, 2026, "Global | Assessing Structural Geopolitical Risk," Working Papers, BBVA Bank, Economic Research Department, number 26/08, Jun.
• Jordi Llorens-Terrazas & Mika Meitz, 2026, "Generative Predictive Distributions for Time Series," Papers, arXiv.org, number 2606.16773, Jun.
• boughabi, houssam, 2025, "A Volatility Method of Crude Oil Dynamics: The Role of Market and Commodity Volatilities in Determining Equilibrium Prices," MPRA Paper, University Library of Munich, Germany, number 129471, Dec.
• Busch, Christopher & Madera, Rocio, 2026, "The Value of Public Insurance Against Idiosyncratic Income Risk: A Variance-Adjustment Statistic," CEPR Discussion Papers, Centre for Economic Policy Research, number 21129, Feb.
• Rama Siva Sarwari Mallela & Manuele Leonelli, 2026, "Crashing Together, Rallying Apart: Dynamic Conditional Tail Dependence in Cryptocurrency Markets," Papers, arXiv.org, number 2606.16840, Jun.
• Fuster, Andreas & Paligorova, Teodora & Vickery, James, 2026, "Underwater: Strategic Trading and Risk Management in Bank Securities Portfolios," CEPR Discussion Papers, Centre for Economic Policy Research, number 21036, Jan.
• Takayuki Sakuma, 2026, "Robust Hedging Valuation Adjustment under Liquidity--Demand Stress," Papers, arXiv.org, number 2606.26731, Jun, revised Jun 2026.
• Jansen, Kristy & Klingler, Sven & Ranaldo, Angelo & Duijm, Patty, 2026, "Pension Liquidity Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 21095, Jan.
• Jagdish Gnawali & Abootaleb Shirvani & Dilmi C. W. Hettiachchi-Halpe-Kankanamalage & W. Brent Lindquist & Svetlozar T. Rachev & Frank J. Fabozzi, 2026, "Innovative Extensions to Option Pricing: Asymmetric Brownian Motion and Random Walk Approaches," Papers, arXiv.org, number 2606.22293, Jun.
• Matthew B. Canzoneri & Behzad T. Diba & Luca Guerrieri & Arsenii Mishin, 2026, "A Static Capital Buffer is Hard To Beat," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2026-042, Jun, DOI: 10.17016/FEDS.2026.042.
• Andersen, Torben M & Bhattacharya, Joydeep & Wang, Min, 2025, "Risk Sharing and Incentives: Public Insurance Versus Bankruptcy Protection," CEPR Discussion Papers, Centre for Economic Policy Research, number 20893, Dec.
• Christian Laudag'e, 2026, "Geometrically convex return risk measures on AM-algebras," Papers, arXiv.org, number 2606.26031, Jun, revised Sep 2026.
• Menkveld, Albert J., 2025, "Equilibrium VIX in Inelastic Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 20834, Nov.
• Appelbaum, Elie, 2026, "Endogenous Risk Attitudes in Family Portfolio Choice," MPRA Paper, University Library of Munich, Germany, number 129608, Apr.
• Yilong Xu & Maarten Boksem & Charles N. Noussair & Stefan T. Trautmann & Gijs van de Kuilen & Alan Sanfey, 2025, "Higher order risk preferences and economic decisions," Experimental Economics Center Working Paper Series, Experimental Economics Center, Andrew Young School of Policy Studies, Georgia State University, number 2025-04, Oct.
• Boyarchenko, Nina & Elias, Leonardo, 2026, "The Global Credit Cycle," CEPR Discussion Papers, Centre for Economic Policy Research, number 21268, Mar.
• Shantanu Awasthi & Minglian Lin & Blair Faber & Michael Roberts & Hassan Butt, 2026, "Enhancing the Black-Scholes Model for Option Valuation via L\'evy Processes and Malliavin Calculus," Papers, arXiv.org, number 2606.22796, Jun.
• Ren'e Aid & Nizar Touzi & St'ephane Villeneuve, 2026, "Forward Hedging Reshapes Incentive Provision," Papers, arXiv.org, number 2606.16493, Jun.
• Xuan Mei & Junze Lin, 2026, "Attributing Forecast Gaps to Component Models in Complex Model Suites," Papers, arXiv.org, number 2606.21539, Jun, revised Jun 2026.
• Miquel Noguer I Alonso & Ali Al Fallouji, 2026, "Tail Risk Management with Puts and Trend Following: A CVaR Framework for Crashes and Drawdowns," Papers, arXiv.org, number 2607.00883, Jul.
• Jian Sun, 2026, "Monotonicity of Normalized Implied-Volatility Coordinates under No-Arbitrage," Papers, arXiv.org, number 2606.23883, Jun.
• Wayne Yuan Gao & Zhiheng You, 2026, "Variance or Standard Deviation? Shell Geometry and Global-Scale Priors in High-Dimensional Shrinkage," Papers, arXiv.org, number 2606.23509, Jun.
• Majlesi, Kaveh & Molin, Elin & Roth, Paula, 2026, "When Loss Strikes Twice: Severe Health Shocks and Financial Well-Being," CEPR Discussion Papers, Centre for Economic Policy Research, number 21169, Feb.
• Xu, Yongdeng & Lyu, Juyi & Lu, Wenna, 2026, "Adaptive LASSO-MGARCH for Multivariate Volatility Forecasting," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2026/4, Mar.
• Luttini, Emiliano & Mekonnen, Dawit & Mercer-Blackman, Valerie Anne & Sørensen, Bent E, 2026, "Not All Shocks Are Shared Equally: Commodity Exporters and International Risk Sharing," CEPR Discussion Papers, Centre for Economic Policy Research, number 21100, Jan.
• Shen, Leslie Sheng & Xu, Nancy, 2026, "Cross-Policy Risk Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 21101, Jan.
• Austin Pollok & Kevin Robik, 2026, "End-to-End Parametric Portfolio Policies for Cross-Asset Futures Timing: When Do AI Models Beat Simple Rules?," Papers, arXiv.org, number 2607.00475, Jul.
• Sushant Acharya & Edouard Challe & Louphou Coulibaly, 2026, "The International RBC Model Finally Works!," Staff Reports, Federal Reserve Bank of New York, number 1197, Jul, DOI: 10.59576/sr.1197.
• Mark Whitmeyer, 2026, "Multidimensional Risk Made Easy," Papers, arXiv.org, number 2607.01229, Jul.
• Yuan Christopher Qiang & Fabio Sigrist, 2026, "A Censored Transformed Model for Proportional Outcomes with Boundary Mass and an Application to Loss Given Default Modeling," Papers, arXiv.org, number 2606.21515, Jun.
• Martin, Ian & Shi, Ran, 2026, "Forecasting Crashes with a Smile," CEPR Discussion Papers, Centre for Economic Policy Research, number 21236, Mar.

Report NEP-RMG-2026-07-20

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: