Report NEP-RMG-2025-02-03

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:

• Qiqi Li & Wei Wang & Yiying Zhang, 2024. "Self-protection and insurance demand with convex premium principles," Papers 2411.19436, arXiv.org, revised Feb 2025.
• Ling Chen, 2024. "Risk Management with Feature-Enriched Generative Adversarial Networks (FE-GAN)," Papers 2411.15519, arXiv.org.
• Jiahao Zhu & Hengzhi Wu, 2024. "Dynamic ETF Portfolio Optimization Using enhanced Transformer-Based Models for Covariance and Semi-Covariance Prediction(Work in Progress)," Papers 2411.19649, arXiv.org.
• H'el`ene Cossette & Benjamin C^ot'e & Alexandre Dubeau & Etienne Marceau, 2024. "Risk models from tree-structured Markov random fields following multivariate Poisson distributions," Papers 2412.00607, arXiv.org.
• Alessandro Bondi & Sergio Pulido & Simone Scotti, 2024. "The rough Hawkes Heston stochastic volatility model," Post-Print hal-03827332, HAL.
• Mario Ghossoub & Qinghua Ren & Ruodu Wang, 2024. "Counter-monotonic Risk Sharing with Heterogeneous Distortion Risk Measures," Papers 2412.00655, arXiv.org.
• Peter Albrecht & Evžen Kočenda & Evžen Kocenda, 2025. "Event-Driven Changes in Volatility Connectedness in Global Forex Markets," CESifo Working Paper Series 11606, CESifo.
• Bo Yuan & Damiano Brigo & Antoine Jacquier & Nicola Pede, 2024. "Deep learning interpretability for rough volatility," Papers 2411.19317, arXiv.org.
• Fengler, Matthias & Koeniger, Winfried & Minger, Stephan, 2024. "The transmission of monetary policy to the cost of hedging," CFS Working Paper Series 726, Center for Financial Studies (CFS).
• Kun Liu & Jin Zhao, 2024. "KACDP: A Highly Interpretable Credit Default Prediction Model," Papers 2411.17783, arXiv.org.
• Arnone, Massimo & Costantiello, Alberto & Leogrande, Angelo, 2025. "Analyzing Risk Exposure Determinants in European Banking: A Regulatory Perspective," OSF Preprints 2u4jb, Center for Open Science.
• Chaitanya Joshi & Jinming Yang & Sergeja Slapnicar & Ryan K L Ko, 2024. "Contrasting the optimal resource allocation to cybersecurity and cyber insurance using prospect theory versus expected utility theory," Papers 2411.18838, arXiv.org.
• Qianli Zhao & Chao Wang & Richard Gerlach & Giuseppe Storti & Lingxiang Zhang, 2024. "Autoencoder Enhanced Realised GARCH on Volatility Forecasting," Papers 2411.17136, arXiv.org.
• Mr. Augusto Azael Pérez Azcárraga & José M García-Sanjinés & Rossana A San Juan & Selvin A Lemus & Philip R Wood & Mr. Robert Kokoli, 2025. "Developing a Risk-Based Compliance Improvement Plan for Customs Administrations," IMF Technical Notes and Manuals 2025/002, International Monetary Fund.
• Stella C. Dong & James R. Finlay, 2025. "A Hybrid Framework for Reinsurance Optimization: Integrating Generative Models and Reinforcement Learning," Papers 2501.06404, arXiv.org.
• Jialun Cao & David v{S}iv{s}ka, 2024. "Ergodic optimal liquidations in DeFi," Papers 2411.19637, arXiv.org.
• Abraham Atsiwo & Andrey Sarantsev, 2024. "Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index," Papers 2411.19444, arXiv.org, revised Dec 2024.
• Antony Millner, 2024. "Ambiguity and the Language of Long Run Risk," NBER Working Papers 33291, National Bureau of Economic Research, Inc.
• Pérez Velilla, Alejandro & Beheim, Bret & Smaldino, Paul E., 2025. "The Development of Risk Attitudes and their Cultural Transmission," SocArXiv 9yjes, Center for Open Science.
• Bernhard K Meister, 2024. "Application of the Kelly Criterion to Prediction Markets," Papers 2412.14144, arXiv.org.
• de Castro, Luciano & Frischtak, Claudio & Rodrigues, Arthur, 2025. "How to deal with exchange rate risk in infrastructure and other long-lived projects," LSE Research Online Documents on Economics 126881, London School of Economics and Political Science, LSE Library.
• Florig, Michael & Gossner, Olivier, 2024. "Market equilibrium with management costs and implications for insurance accounting," LSE Research Online Documents on Economics 125396, London School of Economics and Political Science, LSE Library.
• Igor Martins & Hedibert Freitas Lopes, 2024. "What events matter for exchange rate volatility ?," Papers 2411.16244, arXiv.org.
• Antonello Cirulli & Gianluca De Nard & Joshua Traut & Patrick Walker, 2025. "Low risk, high variability: practical guide for portfolio construction," ECON - Working Papers 463, Department of Economics - University of Zurich.
• Samantha Ajovalasit & Andrea Consiglio & Giovanni Pagliardi & Stavros Zenios, 2025. "Are bad governments a threat to sovereign defaults? The effects of political risk on debt sustainability," Bruegel Working Papers node_10592, Bruegel.
• Ken-ichi Hashimoto & Ryonghun Im & Takuma Kunieda & Akihisa Shibata, 2025. "Relative Risk Aversion and Business Fluctuations," ISER Discussion Paper 1272, Institute of Social and Economic Research, Osaka University.
• Ms. Elena D'Agosto & Michael A Hardy & Stefano Pisani & Anthony Siouclis, 2025. "Using Top-Down Compliance Gap Techniques to Supplement the Compliance Risk Management Framework," IMF Technical Notes and Manuals 2025/003, International Monetary Fund.
• Olaniran, Abeeb & Akanni, Lateef & Salisu, Afees, 2024. "Migration fears and exchange rate volatility in France, Germany, and the UK: A GARCH-MIDAS framework," MPRA Paper 123196, University Library of Munich, Germany.
• José Andrée Camarena & Juan Pablo Medina & Daniel Riera-Crichton & Carlos A. Vegh & Guillermo Vuletin, 2025. "We Are Not in a Gaussian World Anymore: Implications for the Composition of Official Foreign Assets," NBER Working Papers 33366, National Bureau of Economic Research, Inc.
• Jingchu Zhang, 2025. "Empirical Study on the Factors Influencing Stock Market Volatility in China," Papers 2501.08668, arXiv.org.
• Huy N. Chau & Miklos Rasonyi, 2024. "A general framework for pricing and hedging under local viability," Papers 2411.19206, arXiv.org.
• Laura Recuero Virto & Adrien Comte & Linwood Pendleton, 2024. "In support of decision-making: Assessing and monitoring the social and ecological vulnerability of coral reef-dependent socio-ecosystems : policy brief [Aide à la prise de décision : évaluation et ," Post-Print hal-04851832, HAL.