Report NEP-RMG-2011-04-23This 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:
- Chia-Lin Chang & Juan-Ãngel JimÃ©nez-MartÃn & Michael McAleer & Teodosio PÃ©rez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 11/12, University of Canterbury, Department of Economics and Finance.
- Chun, So Yeon & Shapiro, Alexander & Uryasev, Stan, 2011. "Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics," MPRA Paper 30132, University Library of Munich, Germany.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, AndrÃ©, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series, European Central Bank 1327, European Central Bank.
- Kay Giesecke & Konstantinos Spiliopoulos & Richard B. Sowers, 2011. "Default clustering in large portfolios: Typical events," Papers 1104.1773, arXiv.org, revised Feb 2013.
- Rodrigo Alfaro & AndrÃ©s Sagner, 2011. "Stress Tests for Banking Sector: A Technical Note," Working Papers Central Bank of Chile, Central Bank of Chile 610, Central Bank of Chile.
- Masaaki Fujii & Akihiko Takahashi, 2011. "Collateralized CDS and Default Dependence -Implications for the Central Clearing-," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo CARF-F-246, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Orth, Walter, 2010. "The predictive accuracy of credit ratings: Measurement and statistical inference," MPRA Paper 30148, University Library of Munich, Germany, revised 16 Feb 2011.
- Knaup, M., 2011. "Market-based measures of bank risk and bank aggressiveness," Open Access publications from Tilburg University urn:nbn:nl:ui:12-4643186, Tilburg University.
- Srichander Ramaswamy, 2011. "Market structures and systemic risks of exchange-traded funds," BIS Working Papers 343, Bank for International Settlements.
- Rodrigo Alfaro & Natalia Gallardo & Roberto Stein, 2010. "The Determinants of Household Debt Defa," Working Papers Central Bank of Chile, Central Bank of Chile 574, Central Bank of Chile.