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Report NEP-RMG-2026-09-07
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:
- Somnath Chatterjee & David Humphry, 2026, "Solvency and systemic risk of European life insurers," Bank of England Staff Working Paper series, Bank of England, number 1168, Jan.
- Lee, Woongki, 2026, "Dual Exposure: Systematic and Systemic Risk," SocArXiv, Center for Open Science, number 4qkbe_v1, Aug, DOI: 10.31235/osf.io/4qkbe_v1.
- Wenyuan Li & Haoqi Lyu & Pengyu Wei, 2026, "Non-concave Corporate Management with Option Incentives under Value-at-Risk Constraint," Papers, arXiv.org, number 2608.05623, Aug.
- Ignas Gasparaviv{c}ius & Andrius Grigutis, 2026, "Generalizing Markowitz Portfolio Optimization by a Quadratic Risk Measure," Papers, arXiv.org, number 2608.24449, Aug.
- Lucas Carvalho, 2026, "The Reconfiguration Premium: Co-movement Structure as an Unspanned Dimension of the Variance Risk Premium," Papers, arXiv.org, number 2608.20020, Aug.
- Ryu, Jaehyeon & Yu, Jisang, 2026, "Reducing Basis Risk in Index Insurance Using Satellite-Based Vegetation Indices and Machine Learning," 2026 Annual Meeting, July 26 - 28, 2026, Kansas City, Missouri, Agricultural and Applied Economics Association, number 404414, DOI: 10.22004/ag.econ.404414.
- Hirbod Assa, 2026, "NatPar: Natural Parametric Modeling," Papers, arXiv.org, number 2608.24871, Aug.
- Timothy Besley & Peter John Lambert & Isabelle Michalski-Roland & John Van Reenen, 2026, "The equilibrium impact of credit frictions: evidence from default risk using firm-level data," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp2201, Jul.
- Kräussl, Roman & Oladiran, Tobi & Stefanova, Denitsa, 2024, "ESG as Protection Against Downside Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 19292, Jul.
- Mohammad Ghaderi & Sébastien Plante & Nikolai Roussanov & Sang Byung Seo, 2026, "Reconstructing a Century of U.S. Corporate Bonds: Credit Risk in Historical Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 35578, Aug.
- Enrico Minnella & Ana Pereira & Eugen Tereanu, 2026, "The devil in the DeTail: assessing state-contingent tail effects of a releasable macroprudential capital buffer using a parsimonious agent-based framework," Bank of England Staff Working Paper series, Bank of England, number 1198, Jul.
- Yang, Liu & Yi, Fujin, 2026, "Less Coverage, Better Protection: Optimizing Weather Index Insurance Through Tail Similarity Analysis," 2026 Annual Meeting, July 26 - 28, 2026, Kansas City, Missouri, Agricultural and Applied Economics Association, number 404416, DOI: 10.22004/ag.econ.404416.
- Putri, Alya & Indrajaya, Danang, 2026, "Financial Risk Management Practices in a State-Owned Energy Enterprise: A Process-Based Case Study of Market Research Operations at PT Pertamina (Persero)," SocArXiv, Center for Open Science, number 5jxw6_v1, Aug, DOI: 10.31235/osf.io/5jxw6_v1.
- Jorjin F. Godoy, 2025, "Measuring the Systemic Risk Contribution of Philippine Industries and Conglomerate Groups," BSP Discussion Paper Series, Bangko Sentral ng Pilipinas, number 202508, Aug.
- Olivier Wang, 2026, "Rate Risk and Rate Insurance," NBER Working Papers, National Bureau of Economic Research, Inc, number 35636, Aug.
- Jaehyung Choi, 2026, "Entropic Value-at-Risk portfolio optimization for tempered stable L\'evy processes," Papers, arXiv.org, number 2608.18022, Aug.
- Siyuan Sun, 2026, "A generic nonparametric value-at-risk estimator for high dimensions," Papers, arXiv.org, number 2608.17481, Aug.
- Andrea De Polis & Leonardo Melosi & Ivan Petrella, 2026, "The Taming of the Skew: Asymmetric Inflation Risk and Monetary Policy," Working Papers, Banco de España, number 2626, Sep, DOI: https://doi.org/10.53479/44247.
- Remy Levin & Daniela Vidart, 2026, "The Yeoman's Portfolio: Measuring Historical Risk Preferences Using Crop Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 35634, Aug.
- Valentin Burban & Pavel Diev & Gilles Dufrénot & Nelson Mongeaud, 2026, "Have U.S. Treasuries Lost Their Momentum? Evidence From a New Taxonomy of Safe Assets," Working papers, Banque de France, number 1049.
- Zhongtian Chen & Nikolai Roussanov & Xiaoliang Wang & Dongchen Zou, 2026, "Common Risk Factors in the Returns on Stocks, Bonds (and Options), Redux," NBER Working Papers, National Bureau of Economic Research, Inc, number 35579, Aug.
- Maciej Wysocki, 2026, "Harvesting the Volatility Risk Premium: A Learning-to-Rank Approach," Papers, arXiv.org, number 2608.24786, Aug.
- Miquel Noguer i Alonso, 2026, "The Mathematics of Volatility Surfaces," Papers, arXiv.org, number 2608.05198, Aug.
- Yifan Wu & Junjie Lei & Wenjie Huang, 2026, "Adaptive Finite-Budget Training for CVaR Risk-Aware Q-Learning," Papers, arXiv.org, number 2608.04305, Aug.