NEP-RMG: Risk Management
@repec-nep-rmg.bsky.social
The latest working papers from RePEc. NEP report RMG (Risk Management)
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Optimal bidding of uncertain renewable electricity in sequential markets - Implications of risk aversion and imperfect competition: Amir Ashour Novirdoust; Pia Hoffmann-Willers; Julian Keutz
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November 21, 2025 at 7:45 AM
Optimal bidding of uncertain renewable electricity in sequential markets - Implications of risk aversion and imperfect competition: Amir Ashour Novirdoust; Pia Hoffmann-Willers; Julian Keutz
From rational to behavioral: An epistemological bridge between Markowitz, Fama, and Shiller
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November 21, 2025 at 6:45 AM
From rational to behavioral: An epistemological bridge between Markowitz, Fama, and Shiller
The Costs of Counterparty Risk in Long-Term Contracts: Natalia Fabra; Gerard Llobet
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November 21, 2025 at 5:45 AM
The Costs of Counterparty Risk in Long-Term Contracts: Natalia Fabra; Gerard Llobet
Risk-constrained stochastic scheduling of multi-market energy storage systems: Gabriel D. Patr\'on; Di Zhang; Lavinia M. P. Ghilardi; Evelin Blom; Maldon Goodridge; Erik Solis; Hamidreza Jahangir; Jorge Angarita; Nandhini Ganesan; Kevin West; Nilay Shah; Calvin Tsay
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November 21, 2025 at 4:45 AM
Risk-constrained stochastic scheduling of multi-market energy storage systems: Gabriel D. Patr\'on; Di Zhang; Lavinia M. P. Ghilardi; Evelin Blom; Maldon Goodridge; Erik Solis; Hamidreza Jahangir; Jorge Angarita; Nandhini Ganesan; Kevin West; Nilay Shah; Calvin Tsay
Banking Analytics: Understanding Credit Risk with the Texas Ratio: Suzanne Jenkins; Reed Romanko
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November 21, 2025 at 3:45 AM
Banking Analytics: Understanding Credit Risk with the Texas Ratio: Suzanne Jenkins; Reed Romanko
Cost-of-capital valuation with risky assets: Hansj\"org Albrecher; Filip Lindskog; Herv\'e Zumbach
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November 21, 2025 at 2:45 AM
Cost-of-capital valuation with risky assets: Hansj\"org Albrecher; Filip Lindskog; Herv\'e Zumbach
Causal and Predictive Modeling of Short-Horizon Market Risk and Systematic Alpha Generation Using Hybrid Machine Learning Ensembles
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November 21, 2025 at 1:45 AM
Causal and Predictive Modeling of Short-Horizon Market Risk and Systematic Alpha Generation Using Hybrid Machine Learning Ensembles
The Equilibrium Effects of Mortality Risk: Andrea Modena; Luca Regis; Giorgio Rizzini
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November 21, 2025 at 12:45 AM
The Equilibrium Effects of Mortality Risk: Andrea Modena; Luca Regis; Giorgio Rizzini
Spectral analysis of high-dimensional spot volatility matrix with applications: Qiang Liu; Yiming Liu; Zhi Liu; Wang Zhou
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November 20, 2025 at 11:45 PM
Spectral analysis of high-dimensional spot volatility matrix with applications: Qiang Liu; Yiming Liu; Zhi Liu; Wang Zhou
Rare Disasters, Tail Aversion, and Asset Pricing Puzzles
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November 20, 2025 at 10:45 PM
Rare Disasters, Tail Aversion, and Asset Pricing Puzzles
On the estimation of leverage effect and volatility of volatility in the presence of jumps: Qiang Liu; Zhi Liu; Wang Zhou
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November 20, 2025 at 9:45 PM
On the estimation of leverage effect and volatility of volatility in the presence of jumps: Qiang Liu; Zhi Liu; Wang Zhou
ChatGPT in Systematic Investing -- Enhancing Risk-Adjusted Returns with LLMs: Nikolas Anic; Andrea Barbon; Ralf Seiz; Carlo Zarattini
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November 20, 2025 at 8:45 PM
ChatGPT in Systematic Investing -- Enhancing Risk-Adjusted Returns with LLMs: Nikolas Anic; Andrea Barbon; Ralf Seiz; Carlo Zarattini
An econometric investigation on the stability of stablecoins: Are these coins stable or is their stability just a flip of the coin?: Lala AlAsadi; Oluwasegun Bewaji; Aayush Gugnani; Tarush Gupta; Ronald Heijmans
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November 20, 2025 at 7:45 PM
An econometric investigation on the stability of stablecoins: Are these coins stable or is their stability just a flip of the coin?: Lala AlAsadi; Oluwasegun Bewaji; Aayush Gugnani; Tarush Gupta; Ronald Heijmans
A Quantitative Approach to Central Bank Haircuts and Counterparty Risk Management
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November 20, 2025 at 6:45 PM
A Quantitative Approach to Central Bank Haircuts and Counterparty Risk Management
Ruin Probabilities for Strategies with Asymmetric Risk
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November 20, 2025 at 5:45 PM
Ruin Probabilities for Strategies with Asymmetric Risk
Probabilistic Rule Models as Diagnostic Layers: Interpreting Structural Concept Drift in Post-Crisis Finance: Dmitry Lesnik; Tobias Schaefer
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November 20, 2025 at 4:44 PM
Probabilistic Rule Models as Diagnostic Layers: Interpreting Structural Concept Drift in Post-Crisis Finance: Dmitry Lesnik; Tobias Schaefer
Lambda Value-at-Risk under ambiguity and risk sharing: Peng Liu; Alexander Schied
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November 20, 2025 at 3:45 PM
Lambda Value-at-Risk under ambiguity and risk sharing: Peng Liu; Alexander Schied
Estimating the Hurst parameter from the zero vanna implied volatility and its dual: Elisa Alos; Frido Rolloos; Kenichiro Shiraya
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November 20, 2025 at 2:45 PM
Estimating the Hurst parameter from the zero vanna implied volatility and its dual: Elisa Alos; Frido Rolloos; Kenichiro Shiraya
Contemporaneous and Lagged 𝑅2 Decomposed Connectedness: Evidence for Stock Market Indices, Thematic ETFs, Bitcoin, Brent Crude Oil and Geopolitical Risks: Fekria Belhouichet; Guglielmo Maria Caporale; Luis Alberiko Gil-Alana
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November 20, 2025 at 1:45 PM
Contemporaneous and Lagged 𝑅2 Decomposed Connectedness: Evidence for Stock Market Indices, Thematic ETFs, Bitcoin, Brent Crude Oil and Geopolitical Risks: Fekria Belhouichet; Guglielmo Maria Caporale; Luis Alberiko Gil-Alana
Design and valuation of multi-region CoCoCat bonds: Jacek Wszo{\l}a; Krzysztof Burnecki; Marek Teuerle; Martyna Zdeb
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November 20, 2025 at 12:45 PM
Design and valuation of multi-region CoCoCat bonds: Jacek Wszo{\l}a; Krzysztof Burnecki; Marek Teuerle; Martyna Zdeb
Hierarchical AI Multi-Agent Fundamental Investing: Evidence from China's A-Share Market: Chujun He; Zhonghao Huang; Xiangguo Li; Ye Luo; Kewei Ma; Yuxuan Xiong; Xiaowei Zhang; Mingyang Zhao
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November 20, 2025 at 11:45 AM
Hierarchical AI Multi-Agent Fundamental Investing: Evidence from China's A-Share Market: Chujun He; Zhonghao Huang; Xiangguo Li; Ye Luo; Kewei Ma; Yuxuan Xiong; Xiaowei Zhang; Mingyang Zhao
"On the nexus between currency risk and hedging across different time scales: Evidence from Healthcare firms in Malaysia "
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November 20, 2025 at 10:45 AM
"On the nexus between currency risk and hedging across different time scales: Evidence from Healthcare firms in Malaysia "
A Topological Approach to Parameterizing Deep Hedging Networks: Alok Das; Kiseop Lee
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November 20, 2025 at 9:45 AM
A Topological Approach to Parameterizing Deep Hedging Networks: Alok Das; Kiseop Lee
Distributional regression for seasonal data: an application to river flows: Samuel Perreault; Silvana M. Pesenti; Daniyal Shahzad
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November 20, 2025 at 8:45 AM
Distributional regression for seasonal data: an application to river flows: Samuel Perreault; Silvana M. Pesenti; Daniyal Shahzad
Tail-Safe Stochastic-Control SPX-VIX Hedging: A White-Box Bridge Between AI Sensitivities and Arbitrage-Free Market Dynamics
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November 20, 2025 at 7:45 AM
Tail-Safe Stochastic-Control SPX-VIX Hedging: A White-Box Bridge Between AI Sensitivities and Arbitrage-Free Market Dynamics