Report NEP-RMG-2005-12-09This 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.
The following items were announced in this report:
- Casper G. de Vries & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005. "Comparing Downside Risk Measures for Heavy Tailed Distributions," FMG Discussion Papers, Financial Markets Group dp551, Financial Markets Group.
- Pesaran, M Hashem & Zaffaroni, Paolo, 2005. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5279, C.E.P.R. Discussion Papers.
- Viviana Fern�ndez, 2005. "The International CAPM and a wavelet-based decomposition of Value at Risk," Documentos de Trabajo, Centro de EconomÃa Aplicada, Universidad de Chile 203, Centro de Economía Aplicada, Universidad de Chile.
- Martina Nardon, 2005. "Valuing defaultable bonds: an excursion time approach," Finance, EconWPA 0511015, EconWPA.
- Michael McAleer & Riaz Shareef & Bernardo da Veiga, 2005. "Risk Management of Daily Tourist Tax Revenues for the Maldives," Working Papers, Fondazione Eni Enrico Mattei 2005.137, Fondazione Eni Enrico Mattei.
- Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc.
- Marta Cardin & Graziella Pacelli, 2005. "On characterization of a class of convex operators for pricing insurance risks," Game Theory and Information, EconWPA 0511011, EconWPA.
- Casper G. de Vries & Gennady Samorodnitsky & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005. "Subadditivity Re–Examined: the Case for Value-at-Risk," FMG Discussion Papers, Financial Markets Group dp549, Financial Markets Group.
- Gaspar, Raquel M. & Schmidt, Thorsten, 2005. "Quadratic Portfolio Credit Risk models with Shot-noise Effects," Working Paper Series in Economics and Finance, Stockholm School of Economics 616, Stockholm School of Economics.