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Report NEP-RMG-2026-10-19
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:
- Luisa Tibiletti & Simone Farinelli & Eric Dal Moro, 2026, "Recursive Copula Aggregation for Market and Credit Portfolios," Papers, arXiv.org, number 2610.08798, Jul.
- Jun Cai & Tiantian Mao & Zhiqiao Song, 2026, "Conditional value-at-risk under reward-penalty mechanism with applications to robust portfolio management," Papers, arXiv.org, number 2610.09246, Oct.
- Paul McCloud, 2026, "Model Risk Analysis for Entropic Hedging Strategies," Papers, arXiv.org, number 2610.06168, Oct, revised Nov 2026.
- Jun Cai & Zhiqiao Song, 2026, "Robust enhanced index tracking portfolio selection under distributional uncertainty," Papers, arXiv.org, number 2610.04221, Oct.
- Luisa Tibiletti & Simone Farinelli & Eric Dal Moro, 2026, "Explicit Finite-Sum Tail Risk Measures for Hierarchical Market--Credit Copula Aggregation," Papers, arXiv.org, number 2610.08799, Jul.
- G. Charles-Cadogan, 2026, "A Regulator's Career Option: Revolving Doors, Regulatory Signals, and Firm Tail Risk," Papers, arXiv.org, number 2610.08804, Aug.
- Sriram Nagaraj & Seung Jung Lee, 2026, "Agentic AI Systems and Financial Stability, From Model Risk to Systemic Risk," Papers, arXiv.org, number 2610.08806, Aug.
- Rupendra Yadav & Aparna Mehra, 2026, "Multi-period Mean-Expectile Portfolio Optimization under Wasserstein Ambiguity: Reformulation, Degeneracy and the Role of the Ground Metric," Papers, arXiv.org, number 2610.11917, Oct.
- Arthur Charpentier, 2026, "Optimal Transport for Actuarial Science," Papers, arXiv.org, number 2610.08797, Jul.
- Couaillier, Cyril & Faber, Finn & Rodriguez d’Acri, Costanza & Shaw, Frances & Passinhas, Joana, 2026, "Monitoring banks’ vulnerabilities using stressed depletion indices," Working Paper Series, European Central Bank, number 3295, Oct.
- Husnu C. Dalgic & Brittany Almquist Lewis & Andrea Modena, 2026, "Pledgeable Collateral, Dealer Leverage, and Runs," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2025_783, Sep.
- Mihaela-Adriana Nistor & Ionel Popescu, 2026, "Two-Regime Risk Measures under Convex Loss," Papers, arXiv.org, number 2610.08821, Sep.
- Arno Botha & Henko Crewe & Marcel Muller & Janette Larney, 2026, "Comparing two approaches for modelling the loss given default of credit cards: Run-off triangles vs regression," Papers, arXiv.org, number 2610.05926, Oct.
- Andres Medina & Wei Wei, 2026, "Optimal Catastrophe Bond Design and its Applications to Climate Change Risk," Papers, arXiv.org, number 2610.03793, Sep.
- Graeber, Daniel & Meister, Lorenz & Murray, Neil, 2026, "Risk Aversion in the Shadow of Terrorism," INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford, number 2026-27, Sep.
- Yang Liu & Qiuqi Wang & Yihan Wang, 2026, "Robust distortion riskmetrics under Wasserstein ambiguity," Papers, arXiv.org, number 2610.09622, Oct.
- David Beers & Obiageri Ndukwe & Joe Berry, 2026, "BoC–BoE Sovereign Default Database: What’s new in 2026?," Staff Analytical Papers, Bank of Canada, number 2026-48, Oct, DOI: 10.34989/sap-2026-48.
- Li Gan, 2026, "Risk Ceilings and Development Deadlines: Pacing AI under Uncertain Safety Productivity," Papers, arXiv.org, number 2610.11093, Oct, revised Oct 2026.
- Lokman A Abbas-Turki & Chassagneux Jean-Fran{c c}ois & Jean-Philippe Lemor & Gr{'e}goire Loeper & Simon Sananes, 2026, "A posteriori error bounds for the Uncertain Volatility Model," Papers, arXiv.org, number 2610.06495, Oct.
- Philipp J. Schneider & Lukas Looser & Antoine Garin & Shuhan Liu & Daniel Kuhn, 2026, "Adversarial Training for Deep Hedging in Nonstationary Markets," Papers, arXiv.org, number 2610.07162, Oct.