Report NEP-RMG-2026-08-24

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:

• Ahnert, Toni & Bertsch, Christoph & Leonello, Agnese & Marquez, Robert, 2024, "Bank Fragility and Risk Management," CEPR Discussion Papers, Centre for Economic Policy Research, number 19523, Sep.
• Elliott, Matthew, 2026, "Optimizing Risk and Return for Commodity Producers Using Modern Portfolio Theory," 2026 Annual Meeting, July 26 - 28, 2026, Kansas City, Missouri, Agricultural and Applied Economics Association, number 404326, DOI: 10.22004/ag.econ.404326.
• Abad, Jorge & Martinez-Miera, David & Suarez, Javier, 2024, "A Macroeconomic Model of Banks' Systemic Risk Taking," CEPR Discussion Papers, Centre for Economic Policy Research, number 19532, Sep.
• Haifan Hu & Bingzhen Geng & Jiajun Liu & Shijie Wang, 2026, "The conditional higher moment risk measure: second-order asymptotics with FGM contagion," Papers, arXiv.org, number 2607.16601, Jul.
• Nader Karimi & Davood Ahmadian, 2026, "Determining Insolvency Regions in Banks: A Stochastic Dynamic Approach Integrating Liquidity and Credit Risk," Papers, arXiv.org, number 2607.17381, Jul.
• Ang Zhang, 2026, "Disclosed Human-Capital Disruption and Firm-Specific Risk," Papers, arXiv.org, number 2608.14859, Aug.
• Xu, Chenguang & He, Xinyue, 2026, "Taming Volatility, Feeding Crashes: Evidence from Algorithmic Trading in China's Agricultural Futures Markets," 2026 Annual Meeting, July 26 - 28, 2026, Kansas City, Missouri, Agricultural and Applied Economics Association, number 404354, DOI: 10.22004/ag.econ.404354.
• Tarik Jellouli & Hamza Ousi Moh, 2026, "The internal rating system and credit risk management: a critical and integrative literature review
  [Le système de la notation interne et la gestion du risque de crédit : une revue critique et intégrative de la littérature]," Post-Print, HAL, number hal-05649272, DOI: 10.5281/zenodo.20273749.
• Oscar Brooks & Dusica Bajalica & Yating Liu & Imen Ben Tahar, 2026, "Latent Flow Matching for Arbitrage-Aware Implied Volatility Surface Generation," Papers, arXiv.org, number 2608.00616, Aug, revised Aug 2026.
• Alexandre Alouadi & Charles-Albert Lehalle, 2026, "The Fundamental Structure of Risk: From Characteristics to Covariance," Papers, arXiv.org, number 2607.24410, Jul.
• Jan Fialkowski & Shlomo Havlin & Stefan Thurner, 2026, "Catastrophic disruption cascades driven by the nonlinearity of systemic risk," Papers, arXiv.org, number 2607.20068, Jul.
• Yingli Wang & Yinhao Wu & Lingjiong Zhu, 2026, "Microstructural Foundation for the Rough Hawkes--Heston Model," Papers, arXiv.org, number 2608.07709, Aug.
• Gabriel Bruneau & Sascha Clazie-Thomson & Thibaut Duprey & Ruben Hipp & Javier Ojea Ferreiro & Kerem Tuzcuoglu, 2026, "Understanding Systemic Risks in the Canadian Financial System," Staff Analytical Papers, Bank of Canada, number 2026-28, Jun, DOI: 10.34989/sap-2026-28.
• Dmitry Dagaev & Elina Ibragimova & Ekaterina Lodneva, 2026, "Risk-Taking in High-Stakes Competition: Evidence from Olympic Indoor Volleyball," Working Papers, New Economic School (NES), number w0298, Aug.
• Christian Oliver Ewald, 2026, "Risk Aversion in the Small and in the Large: Beyond Arrow-Pratt A Wiener Chaos Hierarchy of Dynamic Risk Premia," Papers, arXiv.org, number 2607.23161, Jul.
• Herv'e Andr`es & Alexandre Boumezoued & Arthur Bourdon & Benjamin Jourdain, 2026, "Approximation of stochastic insurer balance-sheet results using signatures of economic scenarios," Papers, arXiv.org, number 2607.24150, Jul.
• Furno, Francesco & Giannone, Domenico, 2024, "Nowcasting Recession Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 19483, Sep.
• Qi Wang, 2026, "AWARE-FX: An Auditable Knowledge-Guided AI System for Measuring Corporate Foreign-Exchange Hedging Disclosure," Papers, arXiv.org, number 2607.27611, Jul.
• Chernov, Mikhail & Dahlquist, Magnus & Lochstoer, Lars, 2024, "Reassessing Sources of Risk Premiums in Currency Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 19470, Sep.
• Bekaert, Geert & De Santis, Roberto & Mondino, Tomas, 2024, "The Global Cross-Section of Corporate Bonds: Market, Maturity and Liquidity," CEPR Discussion Papers, Centre for Economic Policy Research, number 19506, Sep.
• Barba, Francesca R. & Drichoutis, Andreas & Palma, Marco A. & Cerroni, Simone, 2026, "Higher-Order Risk Preferences and Risk-Management Behavior: Evidence from Italian Winegrowers," 2026 Annual Meeting, July 26 - 28, 2026, Kansas City, Missouri, Agricultural and Applied Economics Association, number 404409, DOI: 10.22004/ag.econ.404409.
• Takayuki Sakuma, 2026, "Robust Hedging Valuation Adjustment for Deep Hedging Policies under Market Frictions," Papers, arXiv.org, number 2607.25258, Jul.
• Perotti, Enrico & Terovitis, Spyros, 2024, "Achieving Safety: Personal, Private and Public Provision," CEPR Discussion Papers, Centre for Economic Policy Research, number 19405, Aug.
• Rahma Mzouri & Abdelkrim Kandrouch, 2026, "Business Failure Prediction: A Comparison of Discriminant Analysis, Logit Regression, and PLS Regression
  [Prévision de la défaillance des entreprises : comparaison de l'analyse discriminante, la régression logit et PLS Business Failure Prediction:," Post-Print, HAL, number hal-05652823, Jun, DOI: 10.5281/zenodo.20500100.
• Junyi Ye & Gargi Vijay Borde, 2026, "Regime-Gated Residual Mixture-of-Experts for Cross-Sectional Volatility Forecasting," Papers, arXiv.org, number 2608.12251, Aug.
• Tsuyoshi Iwata & Johannes Laurmaa & Ryohei Hisano, 2026, "No Data Is Not No Risk: Visibility Aware Graph-Based Inference of Business Conduct Risk," Papers, arXiv.org, number 2607.26859, Jul.
• Seoane, Hernan D. & Yurdagul, Emircan, 2024, "Expropriation Risk Over the Business Cycle," CEPR Discussion Papers, Centre for Economic Policy Research, number 19469, Sep.
• Symeon Vaidanis & Marios Kountouris, 2026, "Neilson's Weak vs. Strong Loss Aversion: A Characterization and a Generalized CPT-Utility Function," Papers, arXiv.org, number 2607.22085, Jul.
• Pierre Jacquet, 2026, "Building a Genuine Derisking Policy," Post-Print, HAL, number hal-05707536, Jul.
• Elliot Quiriconi & Anouck Adrot & Chabane Mazri, 2026, "Mapping NaTech Research Gaps: A Systematic Review of Reviews," Post-Print, HAL, number hal-05711012, DOI: 10.3850/ESREL2026061419_esrel26-p26.
• Marco Bianchetti & Camilla Ricci & Marco Scaringi, 2026, "Are cryptocurrencies real financial bubbles? Evidence from quantitative analyses," Papers, arXiv.org, number 2607.21826, Jul.
• Christian Bongiorno & Efstratios Manolakis & Rosario Nunzio Mantegna, 2026, "Neural Network-Driven Volatility Drag Mitigation under Aggressive Leverage," Papers, arXiv.org, number 2607.23068, Jul.