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Report NEP-RMG-2005-11-19
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 or RSS Other reports in NEP-RMG
The following items were anounced in this report:
Marno Verbeek & Jeroen VK Rombouts, 2005.
"Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models Computing in Economics and Finance 2005
40, Society for Computational Economics.
[Downloadable!] Mattia Ciprian & Stefano d'Addona, 2005.
"Time Varying Sensitivities on a GRID architecture Finance
0511007, EconWPA.
[Downloadable!] Guenter Franke & Jan Pieter Krahnen, 2005.
"Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations NBER Working Papers
11741, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Kai Detlefsen & Giacomo Scandolo, 2005.
"Conditional and Dynamic Convex Risk Measures SFB 649 Discussion Papers
SFB649DP2005-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!] Dr. Brian J. Jacobsen, 2005.
"The Use of Downside Risk Measures in Portfolio Construction and Evaluation Computing in Economics and Finance 2005
5, Society for Computational Economics.
[Downloadable!] Jiali Liao & Theodore V. Theodosopoulos, 2005.
"Optimal Timing of Mark-to-Market for Contingent Credit Risk Control Computing in Economics and Finance 2005
220, Society for Computational Economics.
[Downloadable!] Ritirupa Samanta & Blake LeBaron, 2005.
"Extreme Value Theory and Fat Tails in Equity Markets Computing in Economics and Finance 2005
140, Society for Computational Economics.
[Downloadable!] This page was last updated on 2009-12-13.
IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .