Printed from https://ideas.repec.org/n/nep-rmg/2026-08-31.html
Report NEP-RMG-2026-08-31
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:
- Teemu Pennanen & Waleed Taoum, 2026, "Optimal Pricing and Hedging of SOFR Derivatives," Papers, arXiv.org, number 2608.10711, Aug.
- Marcin Pietrzak, 2026, "Pricing States in Geopolitical Risk Episodes," Working Papers, Institute of Economics, Polish Academy of Sciences, number 63, Jul.
- Lifeng Hao & Shaolin Ji, 2026, "Decoupled Probabilistic Forecasting and Arbitrage-Aware Refinement of Implied Volatility Surfaces," Papers, arXiv.org, number 2607.29220, Jul.
- H'el`ene Gu'erin & Michel Mandjes & Jean-Franc{c}ois Renaud & Arsene Brice Zotsa Ngoufack, 2026, "Insurance risk models in a heterogeneous time-dependent population: scaling limits and ruin probabilities," Papers, arXiv.org, number 2606.28031, Jun.
- Besley, Timothy & Lambert, Peter John & Michalski-Roland, Isabelle & Van Reenen, John, 2026, "The Equilibrium Impact of Credit Frictions: Evidence from Default Risk Using Firm-Level Data," CAGE Online Working Paper Series, Competitive Advantage in the Global Economy (CAGE), number 818.
- Stavrakeva, Vania & Tang, Jenny, 2024, "Explaining the Great Moderation Exchange Rate Volatility Puzzle," CEPR Discussion Papers, Centre for Economic Policy Research, number 19265, Jul.
- Nocciola, Luca & Scaglioni, Samuele, 2026, "Learning probability of default and stress testing," Working Paper Series, European Central Bank, number 3277, Aug.
- Henrik Karlholm & Marlon Moresco & Marcelo Righi, 2026, "Risk Measures on Lipschitz Spaces," Papers, arXiv.org, number 2607.17020, Jul.
- Lee, Woongki, 2026, "Intertemporal Dynamics of Asset Prices," SocArXiv, Center for Open Science, number pjhau_v1, Aug, DOI: 10.31235/osf.io/pjhau_v1.
- Miles, David & Sefton, James, 2024, "Optimal risk for pension funds: the sustainability of the UK Universities pension scheme," CEPR Discussion Papers, Centre for Economic Policy Research, number 19254, Jul.
- Francesco Landolfi, 2026, "Drawdown Risk Beyond Brownian Motion: A Monte-Carlo Framework, Non-Gaussian Extensions, and Long Memory," Papers, arXiv.org, number 2608.00127, Jul.
- Jongrim Ha & Haroon Mumtaz & Franz Ruch, 2026, "Risky Inflation: A Cross Country Analysis," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2026-72, Aug.
- Remy Levin & Daniela Vidart, 2026, "The Yeoman's Portfolio: Measuring Historical Risk Preferences Using Crop Choice," Papers, arXiv.org, number 2608.15876, Aug.
- Lorenzo Quirini, 2026, "An Information-Geometric Framework for Bayesian Credit Risk Monitoring," Papers, arXiv.org, number 2608.01294, Aug.
- Joy Buchanan & Joshua Foster, 2026, "The Innate Economic Preferences of Language Models," Papers, arXiv.org, number 2607.26288, Jul.
- Haelim Anderson & Charles W. Calomiris & Jennifer S. Rhee, 2026, "Choosing To Fail: Managerial Liability, Risk Management and Voluntary Exits of Banks," NBER Working Papers, National Bureau of Economic Research, Inc, number 35598, Aug.
- Vivien Czofa & Tibor Szendrei & Katalin Varga, 2026, "Macroprudential Policy and Downside Risk: Regime-Dependent Effects of Capital Regulation," Papers, arXiv.org, number 2608.14307, Aug.
- Nicola F. Zaugg & Lech A. Grzelak, 2026, "The VIX-Derived Volatility Model: A VIX-first Joint SPX-VIX Framework," Papers, arXiv.org, number 2608.01479, Aug.
- Mantu Gupta & Anand Deo, 2026, "Simulating Stress Laws under Extremal Dependence: Characterizing What Generative Models Must Preserve," Papers, arXiv.org, number 2608.13056, Aug.
- Damiano Brigo & Vladimir Lucic, 2026, "Local Stochastic Rough Volatility: Pathwise Filtering and the Conditional Density Equation," Papers, arXiv.org, number 2607.27588, Jul, revised Aug 2026.
- Giulio Principi, 2026, "A distance-based theory of lottery complexity," Papers, arXiv.org, number 2608.14464, Aug, revised Sep 2026.
- Robert A. Jarrow & Simon S. Kwok, 2026, "P-Bubbles, Q-Bubbles, and Risk Premia," Papers, arXiv.org, number 2608.01554, Aug.
- David Dillenberger & Jay Lu, 2026, "Pure Risk," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 26-011, 08.