Report NEP-RMG-2011-01-30This 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:
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Zhou, Richard, 2010. "Counterparty Risk Subject To ATE," MPRA Paper 28067, University Library of Munich, Germany.
- Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou, 2011. "Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting," Papers 1101.3926, arXiv.org.
- Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010. "Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest," MPRA Paper 28250, University Library of Munich, Germany, revised 27 Dec 2010.
- Abbas, Qaiser & Rashid, Abdul, 2011. "Modeling Bankruptcy Prediction for Non-Financial Firms: The Case of Pakistan," MPRA Paper 28161, University Library of Munich, Germany.
- Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Documents de travail du Centre d'Economie de la Sorbonne 11003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Guanghui Huang & Jianping Wan & Cheng Chen, 2011. "An Active Margin System and its Application in Chinese Margin Lending Market," Papers 1101.3974, arXiv.org.
- Ojo, Marianne, 2011. "A tale of three countries, dispersed ownership and greater risk taking levels by management: risk monitoring tools in bank regulation and supervision – developments since the collapse of Barings Plc," MPRA Paper 28131, University Library of Munich, Germany.
- Piluso, Fabio & Amerise, Ilaria Lucrezia, 2011.
"L’asset allocation dei fondi hedge durante la crisi finanziaria: un’analisi empirica
[The asset allocation of hedge funds during the financial crisis: an empirical investigation]," MPRA Paper 28178, University Library of Munich, Germany.
- Areski Cousin & Diana Dorobantu & Didier Rullière, 2011. "A note on the computation of an actuarial Waring formula in the finite-exchangeable case," Working Papers hal-00557751, HAL.
- Santos, Edward P. & Mapa, Dennis S. & Glindro, Eloisa T., 2011. "Estimating Inflation-at-Risk (IaR) using Extreme Value Theory (EVT)," MPRA Paper 28266, University Library of Munich, Germany.
- Gerald Cheang & Carl Chiarella, 2011. "A Modern View on Merton's Jump-Diffusion Model," Research Paper Series 287, Quantitative Finance Research Centre, University of Technology, Sydney.
- Roxana Halbleib & Valerie Voev, 2011. "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Papers ECARES ECARES 2010-002, ULB -- Universite Libre de Bruxelles.
- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter, 2011. "Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form," CIRJE F-Series CIRJE-F-782, CIRJE, Faculty of Economics, University of Tokyo.
- Item repec:lam:wpaper:19-10 is not listed on IDEAS anymore