Report NEP-RMG-2026-07-27

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:

• Buczak, Maciej, 2026, "Post-Crisis Financial Security Architecture in the Face of the 2023 Crisis Episode," MPRA Paper, University Library of Munich, Germany, number 129944, May.
• Corrado De Vecchi & Max Nendel & Steven Vanduffel, 2026, "Hidden Dependence and Aggregate Tail Risk," Papers, arXiv.org, number 2606.30193, Jun.
• Mathias Beiglbock & Silvana M. Pesenti & Maxime Sylvestre, 2026, "Adapted Law Invariance and Time-Consistent Dynamic Risk Measures," Papers, arXiv.org, number 2607.04392, Jul, revised Aug 2026.
• Chen, Damiaan & Beetsma, Roel & van Wijnbergen, Sweder, 2025, "On the Limits of Hedging Inflation Risk in Investment Portfolios," CEPR Discussion Papers, Centre for Economic Policy Research, number 20720, Oct.
• Haji Mohamad Zubir, Ahmad Shauqi bin & Mohd Nasir, Muhammad Luqman bin, 2026, "Where Volume Belongs in a Tail Risk Model: Extreme Quantile Forecasts, Subordination, and Market Depth," MPRA Paper, University Library of Munich, Germany, number 130162, Jul.
• Mavus Kutuk, Merve & van Wijnbergen, Sweder, 2025, "Carry Trade and Currency Crash Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 20745, Oct.
• Whelan, Karl, 2025, "Ruin Probabilities for Strategies with Asymmetric Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 20544, Aug.
• Zhen-Yuan Ralph Liu & Yu-Ting Wang & Jia-Jia Yan & Shivam Gupta & Mihalis Giannakis, 2026, "Exploring the relationship between human-centric AI and firm idiosyncratic risks," Post-Print, HAL, number hal-05665153, Jun, DOI: 10.1007/s10796-026-10759-7.
• Niushan Gao & Denny H. Leung & Foivos Xanthos, 2026, "On Prudence of Risk Measures," Papers, arXiv.org, number 2606.21871, Jun.
• Choi, Bokmin & Degryse, Hans & Smedts, Kristien, 2025, "Do Lenders Price Firms’ Cybersecurity Risks?," CEPR Discussion Papers, Centre for Economic Policy Research, number 20335, Jun.
• Cecchetti, Stephen & Kress, Jeremy & Schoenholtz, Kermit L., 2025, "Basel Endgame: Bank Capital Requirements and the Future of International Standard Setting," CEPR Discussion Papers, Centre for Economic Policy Research, number 20386, Jun.
• Matteo Ferrari & Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2026, "Financial Resilience Evaluation: From Conditional Expectations to Dynamic Convex Risk Measures," Papers, arXiv.org, number 2606.30070, Jun.
• Hyung Joo Kim & Dong Hwan Oh, 2026, "Capturing Heterogeneity: Machine Learning Approaches to Implied Volatility Forecasting," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2026-049, Jul, DOI: 10.17016/FEDS.2026.049.
• Ujjwala Vadrevu, 2026, "SHARC: SHAP-Based Interpretability in Machine Learning Risk Models for Regulatory Capital under ICAAP and CCAR," Papers, arXiv.org, number 2607.05484, Jul.
• Ryan Parker & Mark Stedman & Luca Capriotti, 2026, "Semi-Analytical Pricing for General Default Intensity Models," Papers, arXiv.org, number 2606.21800, Jun.
• William W. Lamptey & Nicholas Appiah & Abootaleb Shirvani & Priscilla Ati-Tay & Svetlozar T. Rachev & Frank J. Fabozzi, 2026, "Portfolio Optimization and Tail-Risk Analytics of Actively Managed ETFs," Papers, arXiv.org, number 2607.03082, Jul.
• Bertaut, Carol & Faia, Ester & Kalemli-Ozcan, Sebnem & Marchesini, Camilo & Paetzold, Simon & Schmitz, Martin, 2025, "Asset Elasticities and Currency Risk Transfer," CEPR Discussion Papers, Centre for Economic Policy Research, number 20665, Sep.
• Marcellino, Massimiliano & Pfarrhofer, Michael, 2025, "Nonparametric Mixed Frequency Monitoring Macro-at-Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 20442, Jul.
• Riedel, Frank & Spengemann, Marco, 2026, "Optimal Design of Model-Contingent Insurance Contracts," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 767, Jul.
• `Oscar Bur'es & Rafael De Santiago, 2026, "Signature-based identification of volatility models from path geometry," Papers, arXiv.org, number 2607.06340, Jul.
• Andrea De Polis & Álvaro Fernández-Gallardo & José Nicolás Rosas, 2026, "Oil supply shocks and inflation tail risks," Working Papers, Banco de España, number 2622, Jul, DOI: https://doi.org/10.53479/44148.
• Ghosh, Pulak & Limodio, Nicola & Vats, Nishant, 2025, "Household Portfolio and Deposit Insurance: Implications for the Supply of Safe Assets," CEPR Discussion Papers, Centre for Economic Policy Research, number 20753, Oct.
• Cossu, Fenicia & Moro, Alessio & Mottola, Andrea, 2025, "Does Risk Shape Economies? Income Volatility and Structural Change," CEPR Discussion Papers, Centre for Economic Policy Research, number 20594, Aug.
• Anand, Kartik & Kazinnik, Sophia & Leonello, Agnese & Panetti, Ettore, 2025, "Ex Machina: Financial Stability in the Age of Artificial Intelligence," CEPR Discussion Papers, Centre for Economic Policy Research, number 20681, Sep.
• Buczak, Maciej, 2026, "The AMA method - analytical foundations of its failure," MPRA Paper, University Library of Munich, Germany, number 129937, Jun.
• Swaraj Gambhir & Thanu George & Kairavi Sivasankar, 2026, "Innovating Risk Modelling for Global Funds," Papers, arXiv.org, number 2607.07465, Jul.
• Anand Deo, 2026, "Generating Plausible Stress Scenarios via Large Deviations," Papers, arXiv.org, number 2606.31122, Jun.
• Mantu Gupta & Anand Deo, 2026, "An Extreme Value Perspective on Learning Stress Laws," Papers, arXiv.org, number 2607.10700, Jul.
• Albert Kutej & Stefan Rass, 2026, "Methods for Uncertainty Representation in Risk Management: A Comparative Review and Decision-Oriented Framework," Papers, arXiv.org, number 2606.27804, Jun.
• Li, Junye & Sarno, Lucio & Zinna, Gabriele, 2025, "Skewness Risk Premia and the Cross-Section of Currency Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 20587, Aug.
• Rosie Hayward & Orla Lennon & Fabio Biancalana, 2026, "Real-time identification of the onset of financial rogue waves," Papers, arXiv.org, number 2606.31475, Jun, revised Jul 2026.
• Viet Nguyen-Tien, 2026, "Input uncertainty and firm performance: evidence from critical minerals," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp2197, Jul.
• van Binsbergen, Jules & Cocco, João F. & Grotteria, Marco & Naaraayanan, Lakshmi, 2025, "The Impact of Carcinogenic Risk Exposure on Housing Values: Estimates from Chemical Reclassifications," CEPR Discussion Papers, Centre for Economic Policy Research, number 20512, Jul.
• Chi, Ta-Chung & Fan, Ting-Han & Ghigliazza, Raffaele & Giannone, Domenico & Wang, Zixuan (Kevin), 2025, "Macroeconomic Forecasting and Machine Learning," CEPR Discussion Papers, Centre for Economic Policy Research, number 20727, Oct.
• Zijun Meng, 2026, "Pareto Efficient Insurance with Multiple Policyholders, Multiple Insurers, and Multiple Indemnity Environments," Papers, arXiv.org, number 2606.30779, Jun.
• Alex Chan, 2026, "Risk Design: AI and Prediction Beyond Screening in Insurance Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 35444, Jul.
• Aldasoro, Inaki & Hördahl, Peter & Schrimpf, Andreas & Zhu, Sonya, 2025, "Predicting Financial Market Stress with Machine Learning," CEPR Discussion Papers, Centre for Economic Policy Research, number 20439, Jul.
• Aluma Dembo & Shachar Kariv & Matthew Polisson & John K. -H. Quah, 2026, "Ever since Ellsberg," Papers, arXiv.org, number 2607.09355, Jul.
• Sichao He & Yansong Zhang, 2026, "Heads, Not Backbones: Output Heads Dominate Architectures on Fat-Tailed Returns," Papers, arXiv.org, number 2606.30037, Jun.
• Jun Sekine & Marcus Wunsch, 2026, "Minimizing Benchmark-Relative Drawdown Duration via Occupation Time Penalization," Papers, arXiv.org, number 2607.11335, Jul.
• Albuquerque, Rui & Zawadowski, Adam, 2025, "Private Credit: Risks and Benefits of a Maturity Wall," CEPR Discussion Papers, Centre for Economic Policy Research, number 20737, Oct.
• Chambers, David & Dimson, Elroy & Ilmanen, Antti & Rintamäki, Paul, 2025, "Long-Run Asset Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 20800, Oct.
• Castells-Jauregui, Madalen & Heider, Florian & Hoerova, Marie & Calomiris, Charles, 2026, "A theory of bank liquidity requirements," Working Paper Series, European Central Bank, number 3252, Jul.
• Lagrotta, Luiz Carlos Nacif, 2026, "Too Public to Fail? Concessionaire Insolvency, Public Service Continuity and the Hidden Fiscal Risk of Privatized Infrastructure," LawArchive, Center for Open Science, number gfy8x_v1, Jul, DOI: 10.31228/osf.io/gfy8x_v1.
• Xavier Fonseca, 2026, "The Decision Geometry of Covariance Estimation for the Global Minimum-Variance Portfolio under Heavy Tails," Papers, arXiv.org, number 2606.27462, Jun.
• Anastasis Kratsios & Giulia Livieri & Philipp Schmocker, 2026, "NeuralChaos: Optimal Adapted Approximation of Square Integrable Predictable Processes," Papers, arXiv.org, number 2607.14361, Jul.
• Han Feng & Difang Huang & Jue Wang & Zhengjun Zhang, 2026, "When and Why Na\"ive Diversification Works: A Simple Diagnostic Strategy," Papers, arXiv.org, number 2607.11054, Jul.
• Alejandro Rodriguez Dominguez, 2026, "Screening-Off Information and Conditional Risk in Portfolio Choice," Papers, arXiv.org, number 2607.05320, Jul, revised Sep 2026.
• Federico D. Forte, 2026, "It Takes Two to Tango, but More to Assess Systemic Risk: Credit Networks Through the Lens of Hypergraphs," Papers, arXiv.org, number 2607.10943, Jul.
• Jorge Abad & Saki Bigio & Salomón García-Villegas & Joël Marbet & Galo Nuño, 2026, "The Heterogeneous Bank Lending Channel of Monetary Policy," Working Papers, Banco de España, number 2620, Jul, DOI: https://doi.org/10.53479/44026.
• Corsetti, Giancarlo & Lloyd, Simon & Marin, Emile & Ostry, Daniel, 2025, "U.S. Risk and Treasury Convenience," CEPR Discussion Papers, Centre for Economic Policy Research, number 20657, Sep.
• Crosignani, Matteo & Hiti, Martin, 2025, "Losses from Natural Disasters: County-Level Data on Damages, Injuries, and Fatalities," CEPR Discussion Papers, Centre for Economic Policy Research, number 20516, Aug.
• Bruno E. Holtz & Carlos A. Abanto-Valle & Ricardo S. Ehlers & Gabriel Rodr'iguez, 2026, "Stochastic Volatility in Mean Models with Heavy Tails: A Fast Approximate Bayesian Inference Using Hidden Markov Models," Papers, arXiv.org, number 2606.22615, Jun.

Report NEP-RMG-2026-07-27

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: