Report NEP-RMG-2025-01-27

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:

• Guanyu Jin & Roger J. A. Laeven & Dick den Hertog & Aharon Ben-Tal, 2024. "Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $\phi$-Divergences Approach to Combat Tail Uncertainty," Papers 2412.05234, arXiv.org.
• Zong Ke & Yuchen Yin, 2024. "Tail Risk Alert Based on Conditional Autoregressive VaR by Regression Quantiles and Machine Learning Algorithms," Papers 2412.06193, arXiv.org.
• Viral V. Acharya & Markus K. Brunnermeier & Diane Pierret, 2024. "Systemic Risk Measures: Taking Stock from 1927 to 2023," NBER Working Papers 33211, National Bureau of Economic Research, Inc.
• Fu Lei & Ge Shi, 2024. "Research on Financial Multi-Asset Portfolio Risk Prediction Model Based on Convolutional Neural Networks and Image Processing," Papers 2412.03618, arXiv.org, revised Feb 2025.
• Andr'es Garc'ia-Medina, 2024. "High-dimensional covariance matrix estimators on simulated portfolios with complex structures," Papers 2412.08756, arXiv.org.
• Howard Caulfield & James P. Gleeson, 2024. "Systematic comparison of deep generative models applied to multivariate financial time series," Papers 2412.06417, arXiv.org.
• Guohui Guan & Zongxia Liang & Yi Xia, 2024. "Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets," Papers 2412.09157, arXiv.org.
• Zong Ke & Jingyu Xu & Zizhou Zhang & Yu Cheng & Wenjun Wu, 2024. "A Consolidated Volatility Prediction with Back Propagation Neural Network and Genetic Algorithm," Papers 2412.07223, arXiv.org, revised Feb 2025.
• Kasper Johansson & Stephen Boyd, 2024. "Simple and Effective Portfolio Construction with Crypto Assets," Papers 2412.02654, arXiv.org.
• Sahar Yarmohammadtoosky Dinesh Chowdary Attota, 2024. "Optimizing Fintech Marketing: A Comparative Study of Logistic Regression and XGBoost," Papers 2412.16333, arXiv.org.
• Yuhan Wang & Zhen Xu & Yue Yao & Jinsong Liu & Jiating Lin, 2024. "Leveraging Convolutional Neural Network-Transformer Synergy for Predictive Modeling in Risk-Based Applications," Papers 2412.18222, arXiv.org.
• Rik Ghosh & Arka Datta & Vidhi Aggarwal & Sudipan Sinha & Abhimanyu Nag, 2024. "On-Chain Credit Risk Score (OCCR Score) in DeFi," Papers 2412.00710, arXiv.org.
• Liwei Deng & Tianfu Wang & Yan Zhao & Kai Zheng, 2024. "MILLION: A General Multi-Objective Framework with Controllable Risk for Portfolio Management," Papers 2412.03038, arXiv.org.
• Sung Hoon Choi & Donggyu Kim, 2024. "Cubic-based Prediction Approach for Large Volatility Matrix using High-Frequency Financial Data," Papers 2412.04293, arXiv.org.
• Ulrich Horst & Wei Xu & Rouyi Zhang, 2024. "Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures," Papers 2412.16436, arXiv.org.
• Item repec:hal:journl:hal-04358505 is not listed on IDEAS anymore

• Item repec:hal:journl:hal-03473431 is not listed on IDEAS anymore

• David Landriault & Fangda Liu & Ziyue Shi, 2024. "Performance-based variable premium scheme and reinsurance design," Papers 2412.01704, arXiv.org.
• Guohui Guan & Zongxia Liang & Yi Xia, 2024. "Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty," Papers 2412.09171, arXiv.org.
• Wenying Sun & Zhen Xu & Wenqing Zhang & Kunyuan Ma & You Wu & Mengfang Sun, 2024. "Advanced Risk Prediction and Stability Assessment of Banks Using Time Series Transformer Models," Papers 2412.03606, arXiv.org.
• Igor L. R. Azevedo & Toyotaro Suzumura, 2024. "From Votes to Volatility Predicting the Stock Market on Election Day," Papers 2412.11192, arXiv.org.
• Matias Quiroz & Laleh Tafakori & Hans Manner, 2024. "Forecasting realized covariances using HAR-type models," Papers 2412.10791, arXiv.org.
• Ruodu Wang & Qinyu Wu, 2024. "Prudence and higher-order risk attitudes in the rank-dependent utility model," Papers 2412.15350, arXiv.org.
• Maria Teresa Medeiros Garcia & Carolina e Silva Correia de Carvalho, 2025. "Measuring Sentiment: The Impact on Financial Markets Volatility," Working Papers REM 2025/0365, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "Multivariate Rough Volatility," Papers 2412.14353, arXiv.org.
• Zheng Cao & Helyette Geman, 2024. "A Hype-Adjusted Probability Measure for NLP Stock Return Forecasting," Papers 2412.07587, arXiv.org, revised Feb 2025.
• Kasper Johansson & Thomas Schmelzer & Stephen Boyd, 2024. "A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages," Papers 2412.02660, arXiv.org.
• Fengpei Li & Haoxian Chen & Jiahe Lin & Arkin Gupta & Xiaowei Tan & Gang Xu & Yuriy Nevmyvaka & Agostino Capponi & Henry Lam, 2024. "Prediction-Enhanced Monte Carlo: A Machine Learning View on Control Variate," Papers 2412.11257, arXiv.org.
• You Wu & Mengfang Sun & Hongye Zheng & Jinxin Hu & Yingbin Liang & Zhenghao Lin, 2024. "Integrative Analysis of Financial Market Sentiment Using CNN and GRU for Risk Prediction and Alert Systems," Papers 2412.10199, arXiv.org.
• Svetlana Boyarchenko & Sergei Levendorskiv{i}, 2024. "Correct implied volatility shapes and reliable pricing in the rough Heston model," Papers 2412.16067, arXiv.org.
• A. V. Kuliga & I. N. Shnurnikov, 2024. "Turnover of investment portfolio via covariance matrix of returns," Papers 2412.03305, arXiv.org.
• Ken-ichi Hashimoto & Ryonghun Im & Takuma Kunieda & Akihisa Shibata, 2025. "Relative Risk Aversion and Business Fluctuations," Discussion Paper Series 285, School of Economics, Kwansei Gakuin University.
• Siqiao Zhao & Dan Wang & Raphael Douady, 2024. "PolyModel for Hedge Funds' Portfolio Construction Using Machine Learning," Papers 2412.11019, arXiv.org.