Printed from https://ideas.repec.org/n/nep-rmg/2026-09-28.html
Report NEP-RMG-2026-09-28
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:
- Mingzhi Yang & Sheng Wang & Chao Zhang & Ruikun Li, 2026, "Universal Diffusion Models for Implied Volatility Surfaces: Learning Shared Dynamics Across Stocks," Papers, arXiv.org, number 2609.22893, Sep, revised Sep 2026.
- Onur Polat & Yuxiang Ye & Rangan Gupta, 2026, "Oil versus Non-Oil Geopolitical Risk and US Industry Stock Market Volatility," Working Papers, University of Pretoria, Department of Economics, number 202626, Sep.
- Guo, Hongfei & Marín, Juan Miguel & Veiga, Helena, 2026, "Testing Whether Volatility Model Gains Persist: A Prespecified Holdout in Tail Risk Forecasting," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 50798, Sep.
- Jaehyung Choi, 2026, "Entropic Value-at-Risk parity for tempered stable returns," Papers, arXiv.org, number 2609.11905, Sep.
- Chizhe Cheng & Paan Jindapon & Ajalavat Viriyavipart, 2026, "Informal Risk Sharing under Risk Heterogeneity," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 262, Sep.
- Kok, Christoffer & Barquero, Javier Arranz & Bertelsen, Christian Hellum, 2026, "Bank competition and credit risk: the conditioning role of capital," Working Paper Series, European Central Bank, number 3285, Sep.
- Yinbin Han & Jack Yuxiang Zhang & Manuel Torres & Fernando Acero & Renyuan Xu, 2026, "Diffusion models for dynamic volatility surface generation and data-driven hedging," Papers, arXiv.org, number 2609.13402, Sep, revised Sep 2026.
- Masaaki Fukasawa, 2026, "Short-maturity skew stickiness ratio under local volatility," Papers, arXiv.org, number 2609.11586, Sep.
- Antonio Cabrales & Gregorio Curello & Olivier Gossner & Roberto Serrano, 2026, "Comparative Statics of Information Acquisition and Risk Aversion," Papers, arXiv.org, number 2609.12149, Sep, revised Sep 2026.
- Paula Prakash & Leon Stolle, 2026, "Hedging as a Match-Maker: Unlocking Industrial Demand Flexibility for Renewable Energy Integration," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 2180.
- Giancarlo Mazzoni, 2026, "Geopolitical risk, banks' exposure and supervisory assessment framework," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 1052, Sep.
- LiYang Wang & Zhen Zhong & Zhen Tian & Keyu Chen & Keyu Chen, 2026, "Design of a Deep Learning Credit Risk Early Warning System Integrating Multi-source Heterogeneous Data," Papers, arXiv.org, number 2609.15744, Sep.
- Mikkel Bennedsen & Kim Christensen & Peter Korsbakke Christensen & Jun Yu & Chen Zhang, 2026, "The "Rough" HAR Model," Papers, arXiv.org, number 2609.21587, Sep.
- Wenjun Jiang & Yiying Zhang & Zhenfeng Zou, 2026, "Extremal Mean-Variance Functionals over Wasserstein Balls: Applications to Risk Sharing," Papers, arXiv.org, number 2609.23571, Sep.
- Mikkel Bennedsen & Kim Christensen & Peter Korsbakke Christensen & Jun Yu & Chen Zhang, 2026, "The "Rough" HAR model," Working Papers, University of Macau, Faculty of Business Administration, number 202646, Sep.
- Xu, Yongdeng, 2026, "Learn the measure, estimate the moment: machine-learned drivers in dynamic conditional correlation models," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2026/12, Sep.
- Christopher Blier-Wong, 2026, "Towards foundation models for insurance risk modelling," Papers, arXiv.org, number 2609.14576, Sep.
- Nacira Agram & Jan Rems & Emanuela Rosazza Gianin, 2026, "Risk Measures under Paired-Ambiguity: A Deep Learning Reflected BSDE Framework," Papers, arXiv.org, number 2609.23768, Sep.
- Xudong An & Jan Harren & Saket Hegde & Mete Kilic & Rodney Ramcharan, 2026, "The Fed Put and Bank Risk-Taking: Evidence from the Loan Book," CESifo Working Paper Series, CESifo, number 12980.
- Said Khalil & Fatima Zahrae Chaayra, 2026, "Quantifying the 2027 Solvency II Risk Margin Reform," Papers, arXiv.org, number 2609.15741, Sep.
- Yu Peng & Matloob Khushi & Josiah Poon, 2026, "CAST: A Cross-Asset State-Space Trading System for Drawdown Control in Stock Markets," Papers, arXiv.org, number 2609.14205, Sep.
- Maarten Meeuwis & Dimitris Papanikolaou & Lawrence D.W. Schmidt, 2026, "Risk Premia, Firm Insurance, and Endogenous Labor Income Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 35781, Sep.
- Craig A. Chikis & Jonathan Goldberg & David López-Salido, 2026, "The Innovator's Risk Premium: Sticky Hurdle Rates, the Cost of Capital, and Creative Destruction," Working Papers, Banco de España, number 2628, Sep, DOI: https://doi.org/10.53479/44406.
- Gangadharan, Lata & Gsottbauer, Elisabeth & Leslie, Gordon & Pretto, Madeline, 2026, "Tail-risk in real-time electricity pricing: experimental evidence on preferences, perception and comprehension," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 140854, Sep.
- Aditya Gupta & Nick Polson, 2026, "Perpetual Futures for Stocks: The SpaceX Pre-IPO Market," Papers, arXiv.org, number 2609.05433, Jun.
- Lilian Hu & Congxin He & Yue Kuen Kwok & Gongqiu Zhang, 2026, "Simulation of stochastic volatility models via operator splitting schemes," Papers, arXiv.org, number 2609.21301, Sep.