Report NEP-RMG-2010-03-13This 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:
- Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.
- Muliaman D. Hadad & Maximilian J. B. Hall & Wimboh Santoso & Karligash Kenjegalieva & Richard Simper, 2010. "Productivity Changes and Risk Management in Indonesian Banking: An Application of a New Approach to Constructing Malmquist Indices," Discussion Paper Series 2010_04, Department of Economics, Loughborough University, revised Feb 2010.
- Ruipeng Liu & Thomas Lux, 2010. "Flexible and Robust Modelling of Volatility Comovements: A Comparison of Two Multifractal Models," Kiel Working Papers 1594, Kiel Institute for the World Economy.
- Dhaene, Jan & Tsanakas, Andreas & Valdez, Emiliano & Vanduffel, Steven, 2009. "Optimal capital allocation principles," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/253127, Katholieke Universiteit Leuven.
- Kawai, Masahiro & Pomerleano, Michael, 2010. "Regulating Systemic Risk," ADBI Working Papers 189, Asian Development Bank Institute.
- Ebiere Okah & James Orr, 2010. "Subprime mortgage lending in New York City: prevalence and performance," Staff Reports 432, Federal Reserve Bank of New York.
- Chialin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," CIRJE F-Series CIRJE-F-718, CIRJE, Faculty of Economics, University of Tokyo.
- Stephanou, Constantinos, 2010. "Rethinking market discipline in banking : lessons from the financial crisis," Policy Research Working Paper Series 5227, The World Bank.
- Adi Schnytzer & Sara Westreich, 2009. "A General Index of Inherent Risk," Working Papers 2009-9, Department of Economics, Bar-Ilan University.
- Vernic, Raluca & Dhaene, Jan & Sundt, Bjorn, 2009. "Inequalities for the De Pril approximation to the distribution of the number of policies with claims," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/220846, Katholieke Universiteit Leuven.