Report NEP-RMG-2025-01-13

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were announced in this report:

• Hansjoerg Albrecher & Michel M. Dacorogna, 2024. "Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks," Swiss Finance Institute Research Paper Series 24-73, Swiss Finance Institute.
• Peng Liu & Tiantian Mao & Ruodu Wang, 2024. "Quantiles under ambiguity and risk sharing," Papers 2412.19546, arXiv.org.
• Gauch, Kevin, 2024. "Risk Disclosure and Related Assurance Services," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 150929, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
• Nico Herrig, 2025. "Risk forecasting using Long Short-Term Memory Mixture Density Networks," Papers 2501.01278, arXiv.org.
• Lorenzo Frattarolo, 2024. "Copula Central Asymmetry of Equity Portfolios," Papers 2501.00634, arXiv.org, revised Jan 2025.
• Jie Cao & Amit Goyal & Yajing (Stella) Wang & Xintong Zhan & Weiming Elaine Zhang, 2024. "Opioid Crisis and Firm Downside Tail Risks: Evidence from the Option Market," Swiss Finance Institute Research Paper Series 24-74, Swiss Finance Institute.
• Wenjie Lan, 2024. "A Dynamic Spillover Effect Investigation on Cryptocurrency Market Before and After Pandemic," Papers 2412.19983, arXiv.org.
• Item repec:hal:cesptp:hal-03902513 is not listed on IDEAS anymore

• Radoslav Raykov, 2024. "Is This Normal? The Cost of Assuming that Derivatives Have Normal Returns," Staff Working Papers 24-46, Bank of Canada.
• Kagerer, B., 2024. "Geopolitics and corporate risk: Evidence from EU-Russia conflict shocks," Cambridge Working Papers in Economics 2471, Faculty of Economics, University of Cambridge.
• Chengyue Huang & Yahe Yang, 2024. "Time Series Feature Redundancy Paradox: An Empirical Study Based on Mortgage Default Prediction," Papers 2501.00034, arXiv.org.
• Xu, Yongdeng, 2024. "Extended multivariate EGARCH model: A model for zero†return and negative spillovers," Cardiff Economics Working Papers E2024/24, Cardiff University, Cardiff Business School, Economics Section.
• Daniel Barth & Phillip J. Monin & Emil N. Siriwardane & Adi Sunderam, 2024. "Hidden Risk," Finance and Economics Discussion Series 2024-098, Board of Governors of the Federal Reserve System (U.S.).
• Laura Alfaro & Saleem Bahaj & Robert Czech & Jonathon Hazell & Ioana Neamtu, 2024. "LASH risk and Interest Rates," Discussion Papers 2443, Centre for Macroeconomics (CFM).
• Mukashov, A., 2023. "Parameter uncertainty in policy planning models: Using portfolio management methods to choose optimal policies under world market volatility," Open Access Publications from Kiel Institute for the World Economy 307023, Kiel Institute for the World Economy (IfW Kiel).
• Matias Quiroz & Laleh Tafakori & Hans Manner, 2024. "Forecasting Realized Covariances Using HAR-Type Models," Graz Economics Papers 2024-20, University of Graz, Department of Economics.
• Fulvia Fringuellotti & Thomas Kroen, 2025. "Do Payout Restrictions Reduce Bank Risk?," Liberty Street Economics 20250108, Federal Reserve Bank of New York.
• Isaak, Niklas & Jessen, Robin, 2024. "Moderation in Higher-Order Earnings Risk? Evidence from German Cohorts," IZA Discussion Papers 17568, Institute of Labor Economics (IZA).
• Ofelia Bonesini & Emilio Ferrucci & Ioannis Gasteratos & Antoine Jacquier, 2024. "Rough differential equations for volatility," Papers 2412.21192, arXiv.org.
• Lee, Heungmin, 2025. "Unleashing the Potential of Large Language Models in the Finance Industry," OSF Preprints ahkd3, Center for Open Science.
• Fengler, Matthias & Koeniger, Winfried & Minger, Stephan, 2025. "The Transmission of Monetary Policy to the Cost of Hedging," Economics Working Paper Series 2501, University of St. Gallen, School of Economics and Political Science.
• Francesco Audrino & Jessica Gentner & Simon Stalder, 2024. "Quantifying Uncertainty: A New Era of Measurement through Large Language Models," Swiss Finance Institute Research Paper Series 24-68, Swiss Finance Institute.
• Herbst, Tobias & Plaasch, Jannick & Stammwitz, Florian, 2024. "A price-at-risk approach for the German commercial real estate market," Technical Papers 08/2024, Deutsche Bundesbank.
• Lorenzo Bretscher & Aytek Malkhozov & Andrea Tamoni & Haoxi Yang, 2024. "Distorted Beliefs and Asset Prices," Swiss Finance Institute Research Paper Series 24-66, Swiss Finance Institute.
• Jens Hilscher & Alon Raviv & Ricardo Reis, 2024. "How likely is an inflation disaster?," Discussion Papers 2437, Centre for Macroeconomics (CFM).
• Carol C. Bertaut & Stephanie E. Curcuru & Ester Faia & Pierre-Olivier Gourinchas, 2024. "New Evidence on the US Excess Return on Foreign Portfolios," IMF Working Papers 2024/241, International Monetary Fund.
• Wolf Wagner & Jing Zeng, 2024. "Too-Many-To-Fail and the Design of Bailout Regimes," CRC TR 224 Discussion Paper Series crctr224_2024_613, University of Bonn and University of Mannheim, Germany.
• Abdollah Rida, 2024. "Machine and Deep Learning for Credit Scoring: A compliant approach," Papers 2412.20225, arXiv.org.
• Tomer Ifergane, 2024. "Concentrated Risk: Misallocation and Granular Business Cycles," Discussion Papers 2438, Centre for Macroeconomics (CFM).
• Yijia Xiao & Edward Sun & Di Luo & Wei Wang, 2024. "TradingAgents: Multi-Agents LLM Financial Trading Framework," Papers 2412.20138, arXiv.org, revised Jan 2025.
• Bernardus Van Doornik & Armando Gomes & David Schoenherr & Janis Skrastins, 2024. "Savings-and-Credit Contracts," Working Papers Series 610, Central Bank of Brazil, Research Department.
• Jorge P. Zubelli & Kuldeep Singh & Vinicius Albani & Ioannis Kourakis, 2024. "Travelling wave solutions of an equation of Harry Dym type arising in the Black-Scholes framework," Papers 2412.19020, arXiv.org.
• Ponthiere, Gregory, 2024. "Higher Education Subsidies and the Universal Insurance against a Short Life," GLO Discussion Paper Series 1528, Global Labor Organization (GLO).
• Paulo M.M. Rodrigues & Nicolau João, 2024. "A simple but powerful tail index regression," Working Papers w202412, Banco de Portugal, Economics and Research Department.
• De Polis, Andrea & Melosi, Leonardo & Petrella, Ivan, 2024. "The Taming of the Skew : Asymmetric Inflation Risk and Monetary Policy," The Warwick Economics Research Paper Series (TWERPS) 1530, University of Warwick, Department of Economics.
• Dan Li & Phillip J. Monin & Lubomir Petrasek, 2024. "Credit Supply and Hedge Fund Performance: Evidence from Prime Broker Surveys," Finance and Economics Discussion Series 2024-089, Board of Governors of the Federal Reserve System (U.S.).
• Kramer, Berber & Pattnaik, Subhransu & Ward, Patrick S. & Xu, Yingchen, 2024. "Impacts of an innovative credit + insurance bundle for marginalized farmers: Evidence from a cluster randomized trial in Odisha, India," IFPRI discussion papers 2288, International Food Policy Research Institute (IFPRI).
• Denisa Millo & Blerina Vika & Nevila Baci, 2024. "Integrating Natural Language Processing Techniques of Text Mining Into Financial System: Applications and Limitations," Papers 2412.20438, arXiv.org.
• Gordon Anderson & Oliver Linton, 2024. "Should Expected or Most Likely Returns be the Focus in Investment Decisions? Introducing “Most Likely†Versions of Sharpe and Sortino Ratios," Working Papers tecipa-787, University of Toronto, Department of Economics.
• Jourdan, Sara, 2024. "From Assistance to Empowerment: Human-AI Collaboration in High-Risk Decision Making," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 150768, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).