Report NEP-RMG-2025-02-17

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:

• Duran-Fernandez, Roberto, 2025. "Reimagining Risk Beyond Normality: Managing Catastrophic Events and Higher-Order Moments," EconStor Preprints 310336, ZBW - Leibniz Information Centre for Economics.
• Peter Albrecht & Evžen Kočenda & Evžen Kocenda, 2025. "Event-Driven Changes in Return Connectedness Among Cryptocurrencies," CESifo Working Paper Series 11658, CESifo.
• Heming Chen, 2025. "Can optimal diversification beat the naive 1/N strategy in a highly correlated market? Empirical evidence from cryptocurrencies," Papers 2501.12841, arXiv.org.
• Stéphane Surprenant, 2025. "Quantile VARs and Macroeconomic Risk Forecasting," Staff Working Papers 25-4, Bank of Canada.
• Leslie Sheng Shen, 2025. "How Firms’ Perceptions of Geopolitical Risk Affect Investment," Current Policy Perspectives 25-3, Federal Reserve Bank of Boston.
• Jinghai He & Cheng Hua & Chunyang Zhou & Zeyu Zheng, 2025. "Reinforcement-Learning Portfolio Allocation with Dynamic Embedding of Market Information," Papers 2501.17992, arXiv.org.
• Miori Nagashima, 2024. "Institutional Risk Management: Roles of Consistency and Accountability," RAIS Conference Proceedings 2022-2024 0469, Research Association for Interdisciplinary Studies.
• Laura Capera Romero & Anne Opschoor, 2024. "Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting," Tinbergen Institute Discussion Papers 24-059/III, Tinbergen Institute.
• Ying Chen & Paul Griffin & Paolo Recchia & Lei Zhou & Hongrui Zhang, 2025. "Hybrid Quantum Neural Networks with Amplitude Encoding: Advancing Recovery Rate Predictions," Papers 2501.15828, arXiv.org, revised Feb 2025.
• Yun-Shi Dai & Peng-Fei Dai & St'ephane Goutte & Duc Khuong Nguyen & Wei-Xing Zhou, 2025. "Multiscale risk spillovers and external driving factors: Evidence from the global futures and spot markets of staple foods," Papers 2501.15173, arXiv.org.
• Jiawen Luo & Shengjie Fu & Oguzhan Cepni & Rangan Gupta, 2025. "The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach," Working Papers 202501, University of Pretoria, Department of Economics.
• Ayush Jha & Abootaleb Shirvani & Ali Jaffri & Svetlozar T. Rachev & Frank J. Fabozzi, 2025. "Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks," Papers 2501.15793, arXiv.org.
• Liliana Rojas-Suarez, 2025. "Aligning International Banking Regulation with the SDGs," Policy Papers 351, Center for Global Development.
• Hazell, Peter & Timu, Anne G., 2024. "What’s holding back private sector agricultural insurance?," IFPRI discussion papers 2316, International Food Policy Research Institute (IFPRI).
• Thibaut Duprey & Victoria Fernandes & Kerem Tuzcuoglu & Ruhani Walia, 2025. "Effects of macroprudential policy announcements on perceptions of systemic risks," Staff Analytical Notes 2025-4, Bank of Canada.
• Federico Huneeus & Joseph P. Kaboski & Mauricio Larrain & Sergio L. Schmukler & Mario Vera, 2025. "Crisis Credit, Employment Protection, Indebtedness, and Risk," CESifo Working Paper Series 11652, CESifo.
• Tibor Szendrei, 2025. "Crossing penalised CAViaR," Papers 2501.10564, arXiv.org.