Report NEP-RMG-2025-03-17

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-RMG

The following items were announced in this report:

• Richard Gerlach & Antonio Naimoli & Giuseppe Storti, 2025. "Using quantile time series and historical simulation to forecast financial risk multiple steps ahead," Papers 2502.20978, arXiv.org, revised Mar 2025.
• Ying-Hui Shao & Yan-Hong Yang & Wei-Xing Zhou, 2025. "Dynamic spillovers and investment strategies across artificial intelligence ETFs, artificial intelligence tokens, and green markets," Papers 2503.01148, arXiv.org, revised Mar 2025.
• Rath Minati & Date Hema, 2025. "Quantum Powered Credit Risk Assessment: A Novel Approach using hybrid Quantum-Classical Deep Neural Network for Row-Type Dependent Predictive Analysis," Papers 2502.07806, arXiv.org.
• Paul McCloud, 2025. "The Relative Entropy of Expectation and Price," Papers 2502.08613, arXiv.org, revised Mar 2025.
• Junyi Guo & Xia Han & Hao Wang, 2025. "Dynamic reinsurance design with heterogeneous beliefs under the mean-variance framework," Papers 2502.05474, arXiv.org, revised Mar 2025.
• Mostapha Benhenda, 2025. "FinRL-DeepSeek: LLM-Infused Risk-Sensitive Reinforcement Learning for Trading Agents," Papers 2502.07393, arXiv.org.
• Jan Fialkowski & Christian Diem & Andr'as Borsos & Stefan Thurner, 2025. "A data-driven econo-financial stress-testing framework to estimate the effect of supply chain networks on financial systemic risk," Papers 2502.17044, arXiv.org.
• Isaak, Niklas & Jessen, Robin, 2024. "Moderation in higher-order earnings risk? Evidence from German cohorts," Ruhr Economic Papers 1118, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
• Xiangdong Liu & Sicheng Fu & Shaopeng Hong, 2025. "Forecasting realized volatility in the stock market: a path-dependent perspective," Papers 2503.00851, arXiv.org.
• Pierre Azoulay & Wesley H. Greenblatt, 2025. "Does Peer Review Penalize Scientific Risk Taking? Evidence from NIH Grant Renewals," NBER Working Papers 33495, National Bureau of Economic Research, Inc.
• de Castro,Luciano & Frischtak,Claudio R. & Rodrigues,Arthur, 2023. "How to Deal with Exchange Rate Risk in Infrastructure and Other Long-Lived Projects," Policy Research Working Paper Series 10568, The World Bank.
• Marc-Arthur Diaye & André Lapidus & Christian Schmidt, 2024. "From Decision in Risk to Decision in Time - and Return: A Restatement of Probability Discounting," Post-Print hal-03256606, HAL.
• Michael Pfarrhofer & Anna Stelzer, 2025. "Scenario Analysis with Multivariate Bayesian Machine Learning Models," Papers 2502.08440, arXiv.org, revised Mar 2025.
• Daniele Angelini & Fabrizio Di Sciorio, 2025. "Integrating the implied regularity into implied volatility models: A study on free arbitrage model," Papers 2502.07518, arXiv.org.
• Andrea Di Giovan Paolo & Jose Higueras, 2025. "Price Impact of Health Insurance," Papers 2503.01780, arXiv.org.
• Moustapha Pemy & Na Zhang, 2025. "Minimal Shortfall Strategies for Liquidation of a Basket of Stocks using Reinforcement Learning," Papers 2502.07868, arXiv.org.