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Report NEP-RMG-2026-10-05
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:
- Prashanth Bhaskara & Aadit Jerfy, 2026, "Public Opinion as an Option: Leveraging Prediction Markets to Hedge Exposure to Spot Crypto Volatility," Papers, arXiv.org, number 2609.14267, Sep.
- Vemareddy, Manas, 2026, "Formulating an equally weighted stock portfolio based on downside risk (Sortino Ratio)," SocArXiv, Center for Open Science, number z8t4j_v1, Sep, DOI: 10.31235/osf.io/z8t4j_v1.
- Andrzej Tokajuk & Jaros{l}aw A. Chudziak, 2026, "Loss Choice or Model Choice? The Role of Forecast Level in Cryptocurrency Volatility Forecasting," Papers, arXiv.org, number 2609.27024, Sep.
- Mihaela Nistor, 2026, "Forging A Resilient Path," Speech, Federal Reserve Bank of New York, number 103817, Sep.
- Shuping Shi & Jun Yu & Chen Zhang, 2026, "Beyond the HAR: A New Benchmark for Volatility Forecasting," Working Papers, University of Macau, Faculty of Business Administration, number 202648, Sep.
- Nektarios Aslanidis & Aurelio Bariviera & George Kapetanios & Vasilis Sarafidis & Alexia Ventouri, 2026, "The Anatomy of Commodity Risk: Micro, Market, and Economy-Wide Sources," Papers, arXiv.org, number 2610.00581, Sep.
- Masaaki Fukasawa & Jun Maeda & Tatsuya Ogiwara, 2026, "Basket implied volatility skew and stickiness," Papers, arXiv.org, number 2609.38230, Sep.
- Haroon Mumtaz & Sofia Velasco, 2026, "Nonlinear Drivers of Macroeconomic Tail Risk: A Threshold Stochastic Volatility-in-Mean VAR with Regime-Dependent Leverage," Papers, arXiv.org, number 2609.26994, Sep, revised Oct 2026.
- Xinyu Song, 2026, "Network Realized GARCH--It\^o Models: Volatility Spillovers with High-Frequency Identification," Papers, arXiv.org, number 2609.29515, Aug.
- José Martínez, 2026, "Heterogeneous Idiosyncratic Risk and the Composition of Household Financial Portfolios," Working Papers, Banco de México, number 2026-05, Sep.
- Peng Liu & Tiantian Mao, 2026, "Risk diversification for infinitely divisible distributions," Papers, arXiv.org, number 2609.25452, Sep, revised Sep 2026.
- Masaaki Fukasawa, 2026, "Yet another asymptotic formula for implied volatility," Papers, arXiv.org, number 2609.13961, Sep.
- Florian Gach & Simon Hochgerner, 2026, "On the asymptotic shape of quantile surfaces," Papers, arXiv.org, number 2609.31345, Sep, revised Oct 2026.
- Schröder, Maximilian, 2026, "Multivariate uncertainty and distributional transmission," Working Paper Series, European Central Bank, number 3290, Sep.
- Onur Polat & Hardik A. Marfatia & Christophe Andre & Rangan Gupta, 2026, "Housing Network Connectedness and Policy Spillovers: Evidence from a Time-Varying Parameter VAR Approach," Working Papers, University of Pretoria, Department of Economics, number 202630, Sep.
- Walter Kurz, 2026, "Multi-Agent AI Architecture for Regulated Insurers: A generic AI framework under Solvency II and the AI Act in Austria and Germany," Papers, arXiv.org, number 2609.27636, Sep, revised Sep 2026.
- Mathias Beiglbock & Manuel Hasenbichler & Gudmund Pammer, 2026, "Stochastic Knothe-Rosenblatt: Light-speed Calibration of Stochastic Local Volatility Models," Papers, arXiv.org, number 2609.39256, Sep, revised Oct 2026.
- Abbas Fathiazar & Silvia De Angeli & Serena Cattari, 2026, "A microscale framework for harmonized flood and earthquake risk assessment and multi-hazard intervention appraisal," Post-Print, HAL, number hal-05751280, Oct, DOI: 10.1016/j.ijdrr.2026.106427.
- Micha{l} Balcerek & Micha{l} Wronka, 2026, "Modeling interest rate swap volatility with GARCH processes," Papers, arXiv.org, number 2609.25965, Sep.
- Drew Fudenberg & Andrew Koh, 2026, "Cooperating against Catastrophe," Papers, arXiv.org, number 2609.28291, Sep.
- Anup Basnet & Magnus Blomkvist & Karl Felixson & Eva Liljeblom & Hitesh Vyas, 2026, "The Impact of the Dodd-Frank Act on Acquisition Activity," Post-Print, HAL, number hal-05741138, May, DOI: 10.1086/737770.
- Jarrod Burgh & Emerson Melo, 2026, "Risk-Averse Welfare Maximization via Marginal Treatment Effects," Papers, arXiv.org, number 2609.30617, Sep.
- Alejandro Rodriguez Dominguez, 2026, "Causal Price-of-Risk Mandates under Overlapping Information," Papers, arXiv.org, number 2610.00158, Sep.
- Mathias Drehmann & Sonya Zhu, 2026, "High public debt, NBFIs and the risk of market dysfunction," BIS Bulletins, Bank for International Settlements, number 136, Sep.
- Francisco Blasques & Nepomuk Dunz & Erik Feyen & Charl Jooste & Jose Marzluf & Gabriele Mingoli, 2026, "New Early-Warning Indicators of Macro-Financial Risk: A Mixture-of-Experts Approach," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 26-074/III, Sep.
- Hartmut Egger & Peter Egger & Katharina Erhardt & Leandro Navarro, 2026, "Hedging Trade-Cost Uncertainty," CESifo Working Paper Series, CESifo, number 13009.
- Alfred Muller, 2026, "Weighted universal Value-at-Risk Superadditivity for discrete distributions," Papers, arXiv.org, number 2609.26398, Sep.
- Enrique Bátiz-Zuk & Anuar Bechara & Fabrizio López-Gallo & Corrado Macchiarelli, 2026, "How Digital Lending Shapes Bank Risk and Competition: Evidence from an Emerging Economy," IMF Working Papers, International Monetary Fund, number 2026/198, Sep.
- Giovanni Bonaccolto & Massimiliano Caporin & Rangan Gupta, 2026, "Rethinking Quantile-on-Quantile Connectedness," Working Papers, University of Pretoria, Department of Economics, number 202629, Sep.
- Sheybanivaziri, Samaneh & Kyritsis, Evangelos, 2026, "The influence of gas and renewable energy sources on the tail of the electricity price distribution," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2026/11, Sep.
- Varela, Angel & Cortez, Juan & Colmenares, Alejandro, 2026, "Gobernanza de la IA como infraestructura económica: riesgos sistémicos, intermediación institucional y confianza en los mercados
[AI governance as economic infrastructure: systemic risks, institutional intermediation and market trust]," MPRA Paper, University Library of Munich, Germany, number 131077, Jun, revised 12 Sep 2026. - Duong Hien Chi Kien & Thanh Trung Huynh, 2026, "PPO-HRAP: Proximal Policy Optimization with a Hybrid Regime-Aware Policy for Risk-Controlled Trading," Papers, arXiv.org, number 2610.01325, Oct.