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Report NEP-RMG-2026-10-12
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:
- Nawaf Mohammed & Edward Furman, 2026, "A tale of two allocations: Risk capital contributions versus risk contributions in the tail," Papers, arXiv.org, number 2609.36177, Sep.
- Matteo Crosignani & Lina Han & Marco Macchiavelli, 2026, "Navigating Geoeconomic Risk in the U.S. Stock Market," Liberty Street Economics, Federal Reserve Bank of New York, number 20261001, Oct, DOI: 10.59576/lse.20261001.
- Hyeyoon Jung & Jaehoon (Kyle) Jung, 2026, "Insured, but Still on the Hook: Who Bears the Most Risk in Homeowner’s Insurance?," Liberty Street Economics, Federal Reserve Bank of New York, number 20261005, Oct, DOI: 10.59576/lse.20261005.
- Ryan M. Engel & Kibaek Lee & Namid Stillman, 2026, "Financial Tail Risk Beyond Lipschitz Continuity via Semi-Discrete Optimal Transport," Papers, arXiv.org, number 2609.27785, Aug.
- Wee Ling Tan & Stephen Roberts & Stefan Zohren, 2026, "Taming the Greeks: Option Portfolios with Inductive Biases," Papers, arXiv.org, number 2609.33767, Sep.
- Jonas Brunholm & Bjarne H{o}jgaard & Thomas D. Nielsen & Orimar Sauri, 2026, "A Functional Representation of Credit Behavior for Probability of Default Modeling," Papers, arXiv.org, number 2610.07888, Oct, revised Oct 2026.
- Jean-Loup Dupret & Donatien Hainaut & Edouard Motte, 2026, "Deep kernel hedging," Papers, arXiv.org, number 2609.34474, Sep, revised Oct 2026.
- Thomas Schmelzer, 2026, "The Efficient Frontier from a LASSO Solver," Papers, arXiv.org, number 2609.37108, Sep, revised Oct 2026.
- Wenyuan Wang & Zuo Quan Xu & Kaixin Yan, 2026, "Optimal Reinsurance-Dividend Strategy with Fixed Transaction Costs in a Regime-Switching Brownian Risk Model: A Viscosity Solution to the Impulse Control Problem," Papers, arXiv.org, number 2609.32686, Sep.
- Shain Afzali & Serena Della Corte & Antonis Papapantoleon, 2026, "Shapley-based Structural Analysis of Neural Calibration for Stochastic Volatility Models," Papers, arXiv.org, number 2610.03076, Oct.
- Masahiro Kato, 2026, "Expected Utility Regret Rule: Minimax and Bayes Optimal Portfolio Choice," Papers, arXiv.org, number 2610.02290, Oct.
- Fr'ed'eric Pauquay, 2026, "Dyson-Schwinger Effective-Action Methods for Rough Volatility: A Correlation-Response Architecture for Calibration, Exotics and Risk," Papers, arXiv.org, number 2609.37741, Sep, revised Oct 2026.
- Alexander Ardaiz & Varun Budati & Ali Habibnia, 2026, "Mixture-of-Experts for Cryptocurrency Order Execution: Training Stability, Tail Risk, and Failure Modes," Papers, arXiv.org, number 2610.03369, Oct, revised Oct 2026.
- Ingrid Ott & Susanne Soretz, 2026, "Dynamic Risk Externalities, Institutional Inertia, and the Limits of Viability," CESifo Working Paper Series, CESifo, number 13024.
- Kelvin J. L. Koa & Filip Orestav & Shengqiong Wu & Michael J. Wooldridge & Ke-Wei Huang, 2026, "Self-Evolving Multi-Agent Symbolic Discovery for Financial Fundamental Analysis," Papers, arXiv.org, number 2609.32746, Sep.
- Arthur Charpentier & Pierre-Charles Pradier, 2026, "Mutual Insurance and the Governance of Risk: User Control and Institutional Change," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-05767232, Sep.