Report NEP-RMG-2026-08-17

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:

• Acharya, Viral & Brunnermeier, Markus & Pierret, Diane, 2024, "Systemic Risk Measures: From the Panic of 1907 to the Banking Stress of 2023," CEPR Discussion Papers, Centre for Economic Policy Research, number 19727, Nov.
• Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Elie Bouri, 2026, "Price Conflict and US Stock Return Volatility Forecasting: Insights from over 150 Years with a Mixed-Frequency Framework," Working Papers, University of Pretoria, Department of Economics, number 202620, Aug.
• Junyu Chen & Tom Boot & Lingwei Kong & Weining Wang, 2026, "Transformer-based CoVaR: Systemic Risk in Textual Information," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 26/840, 01.
• Ting-Jung Lee & Abootaleb Shirvani & Farzana Afroz & Svetlozar T. Rachev & Frank J. Fabozzi, 2026, "Portfolio Optimization under Heavy Tails and Asymmetric Volatility: Evidence from Taiwan-Exposed ETFs," Papers, arXiv.org, number 2607.16450, Jul.
• Vizcarrondo, Esteban & Serra, Teresa & McKenzie, Andrew, 2026, "How Much Is the Smirk Worth? Downside Risk Pricing in Cattle Options," 3rd ASEAN University Symposium for Sustainable Food Systems, Faculty of Agriculture, Chiang Mai University, Thailand, May 21-22, 2026, Association of Southeast Asian Nations (ASEAN), number 404809, DOI: 10.22004/ag.econ.404809.
• Aloka, Atta Selorm & Ejimakor, Godfrey, 2026, "Predicting Agribusiness Insolvency Risk in North Carolina: A Random Forest Approach to Crop Insurance Indemnities," 2026 Annual Meeting, July 26 - 28, 2026, Kansas City, Missouri, Agricultural and Applied Economics Association, number 404323, DOI: 10.22004/ag.econ.404323.
• Rohith Surya M & Dr. Arpita Choudhary, 2026, "Regime-Aware Portfolio Robustness Across Emerging and Developed Equity Markets," Working Papers, Madras School of Economics,Chennai,India, number 2026-302, May.
• De Polis, Andrea & Melosi, Leonardo & Petrella, Ivan, 2024, "The Taming of the Skew: Asymmetric Inflation Risk and Monetary Policy," CEPR Discussion Papers, Centre for Economic Policy Research, number 19760, Dec.
• Muñoz, Manuel A. & Smets, Frank, 2024, "The Positive Neutral Countercyclical Capital Buffer," CEPR Discussion Papers, Centre for Economic Policy Research, number 19790, Dec.
• Chahad, Mohammed & Mogliani, Matteo & Bańbura, Marta & Kulikov, Dmitry & Montes-Galdón, Carlos & Landau, Bettina & Meunier, Baptiste & Odendahl, Florens & Paredes, Joan & Sigwalt, Antoine & Theofilako, 2026, "Macro-at-Risk in the euro area Expert Group on Macro-at-Risk Time-Series Workstream," Occasional Paper Series, European Central Bank, number 396, Aug.
• Stephen Millard, 2026, "Scenario Analysis as a Tool for Communicating Risks in Macroeconomic Forecasts," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 584, Aug.
• Weiye Xi & Ciamac C. Moallemi & Mallesh Pai & Shouqiao Wang, 2026, "Volatility in Prediction Markets: A Structural Approach," Papers, arXiv.org, number 2607.08199, Jul, revised Jul 2026.
• Fan, Fan & Lee, Seowoo & Liu, Yong, 2026, "Local Impact of Hurricane Exposure on Agricultural Insurance Behavior and Losses: Evidence from Spatial Boundary Discontinuities," 2026 Annual Meeting, July 26 - 28, 2026, Kansas City, Missouri, Agricultural and Applied Economics Association, number 404410, DOI: 10.22004/ag.econ.404410.
• Conlon, Thomas & Corbet, Shaen & Larkin, Charles & Muñiz, Jose Antonio, 2026, "Systemic risk transmission to energy futures: weekend information gaps and the breakdown of pricing efficiency," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 140276, Sep.
• Rachid Maghniwi, 2026, "Federated Learning with Differential Privacy for Credit Risk Assessment in the Moroccan Banking Sector: A Data-Driven Approach for Secure Open Banking," Post-Print, HAL, number hal-05638586, May, DOI: 10.36948/ijfmr.2026.v08i03.79267.
• Gyöngyi Loranth & Anatoli Segura & Jing Zeng, 2026, "Common Deposit Insurance, Cross-Border Banks and Welfare," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2025_769, Jul.
• Guo, Hongfei & Marín Díazaraque, Juan Miguel & Veiga, Helena, 2026, "Diagnosing and Stabilizing Dynamic Correlations in Multivariate Stochastic Volatility Models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 50561, Jul.
• Fredy Gamboa & Jose Vicente Romero, 2026, "Geopolitical risk and emerging market sovereign risk premia," BIS Working Papers, Bank for International Settlements, number 1368, Jul.
• Alessandro Bucciol & Silvana Robone & Luca Zarri, 2026, "Exposure to Traumatic Events and Financial Risk Attitudes: The Role of Locus of Control," Working Papers, University of Verona, Department of Economics, number 04/2026, Aug.
• Yan, Hongqiang & Manfredo, Mark & Mishra, Ashok, 2026, "How Economic News Drives Implied Volatility in Agricultural Commodity Markets," 3rd ASEAN University Symposium for Sustainable Food Systems, Faculty of Agriculture, Chiang Mai University, Thailand, May 21-22, 2026, Association of Southeast Asian Nations (ASEAN), number 404810, DOI: 10.22004/ag.econ.404810.
• Kellner, Domenic & Lang, Jan Hannes & Rusnák, Marek & Nagy, Lukas Joseph, 2026, "A SPOT in the dark: using AI to assess financial stability risks," Working Paper Series, European Central Bank, number 3262, Jul.
• Seungduck Lee & Angelo Ranaldo & Tomohiro Tsuruga, 2026, "Settlement Risk and Currency Markets," IMF Working Papers, International Monetary Fund, number 2026/156, Jul.
• Wagner, Wolf & Zeng, Jing, 2025, "Bailout Bifurcation," CEPR Discussion Papers, Centre for Economic Policy Research, number 19976, Feb.
• Federico, Salvatore & Modena, Andrea & Regis, Luca, 2026, "Coordinating bank dividend and capital regulation," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 487.
• Nam, Hosung & Jo, Jungkeon & Lee, Wonseok, 2026, "Exogenous Risk, Hedging Pressure, and Risk Premia in Agricultural Commodity Markets," 2026 Annual Meeting, July 26 - 28, 2026, Kansas City, Missouri, Agricultural and Applied Economics Association, number 404411, DOI: 10.22004/ag.econ.404411.

Report NEP-RMG-2026-08-17

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: