Report NEP-RMG-2011-03-05This 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:
- Alexander F. R. Koivusalo & Rudi Sch\"afer, 2011. "Calibration of structural and reduced-form recovery models," Papers 1102.4864, arXiv.org.
- Carmine De Franco & Peter Tankov, 2011. "Portfolio Insurance under a risk-measure constraint," Papers 1102.4489, arXiv.org.
- Ulrich Kirchner & Caroline Zunckel, 2011. "Measuring Portfolio Diversification," Papers 1102.4722, arXiv.org.
- Michal Barski, 2011. "Minimizing shortfall risk for multiple assets derivatives," Papers 1102.3928, arXiv.org.
- Jean-Marie Dufour & René Garcia & Abderrahim Taamouti, 2011. "Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility," CIRANO Working Papers 2011s-27, CIRANO.
- Nemes, Veronica & La Nauze, Andrea & O'Neill, James, 2011. "Contracts for environmental outcomes: the use of financial contracts in environmental markets," 2011 Conference (55th), February 8-11, 2011, Melbourne, Australia 100576, Australian Agricultural and Resource Economics Society.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011. "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Series Working Papers 533, University of Oxford, Department of Economics.
- Mai Hassan & Christian Kalhoefer, 2011. "Regulation of Credit Rating Agencies - Evidence from Recent Crisis," Working Papers 26, The German University in Cairo, Faculty of Management Technology.
- Ýlker Arslan, 2010. "Does Size of Banks Really Matter? Evidence from CDS Market Data," Working Papers 1008, Izmir University of Economics.
- Ph. Barbe & W. P. McCormick, 2011. "Ruin probabilities in tough times - Part 2 - Heavy-traffic approximation for fractionally differentiated random walks in the domain of attraction of a nonGaussian stable distribution," Papers 1102.3956, arXiv.org.
- Yang Li & Traian A Pirvu, 2011. "On Mean-Variance Analysis," Papers 1102.5078, arXiv.org, revised Nov 2011.
- Benjamin M. Tabak & Daniel O. Cajueiro & A. Luduvice, 2011. "Modeling Default Probabilities: the case of Brazil," Working Papers Series 232, Central Bank of Brazil, Research Department.
- Mazzeu, Joao & Otuki, Thiago & Da Silva, Sergio, 2011. "The canonical econophysics approach to the flash crash of May 6, 2010," MPRA Paper 29138, University Library of Munich, Germany.