Report NEP-RMG-2011-04-30This 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:
- Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper 30364, University Library of Munich, Germany.
- Dominique Guegan & Bertrand Hassani, 2012. "Multivariate VaRs for Operational Risk Capital Computation : a Vine Structure Approach," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00587706, HAL.
- Christian Calmès & Raymond Théoret, 2011. "Shadow banking and the dynamics of aggregate leverage: An application of the Kalman filter to cyclical leverage measures," RePAd Working Paper Series UQO-DSA-wp022011, Département des sciences administratives, UQO.
- Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011. "Dynamic factor value-at-risk for large, heteroskedastic portfolios," Finance and Economics Discussion Series 2011-19, Board of Governors of the Federal Reserve System (U.S.).
- Christophe Boucher & Bertrand Maillet, 2011. "The Riskiness of Risk Models," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00587779, HAL.
- Kent Matthews, 2011. "Risk Management and Managerial Efficiency in Chinese Banks: A Network DEA Framework," Working Papers 102011, Hong Kong Institute for Monetary Research.
- Viral Acharya & Hamid Mehran & Til Schuermann & Anjan Thakor, 2011. "Robust capital regulation," Staff Reports 490, Federal Reserve Bank of New York.
- Niyogi Sinha Roy, Tanima & Bhattacharya, Basabi, 2011. "Macroeconomic Stress Testing and the Resilience of the Indian Banking System: A Focus on Credit Risk," MPRA Paper 30263, University Library of Munich, Germany.
- Santiago Carbó-Valverde & David Marqués-Ibáñez & Francisco Rodríguez Fernández, 2011. "Securitization, bank lending and credit quality: the case of Spain," Working Paper Series 1329, European Central Bank.
- G. William Schwert, 2011. "Stock Volatility During the Recent Financial Crisis," NBER Working Papers 16976, National Bureau of Economic Research, Inc.
- Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2011. "Continuous Workout Mortgages," Cowles Foundation Discussion Papers 1794, Cowles Foundation for Research in Economics, Yale University.
- Benjamin Kauper & Karl-Kuno Kunze, 2011. "Modellierung von Aktienkursen im Lichte der Komplexitätsforschung," Statistische DiskussionsbeitrÃ¤ge 49, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
- Bell, Peter, 2011. "Use of put options as insurance," MPRA Paper 30469, University Library of Munich, Germany.
- Luati, Alessandra & Proietti, Tommaso & Reale, Marco, 2011. "The Variance Profile," MPRA Paper 30378, University Library of Munich, Germany.
- Alexander M. G. Cox & Jiajie Wang, 2011. "Root's barrier: Construction, optimality and applications to variance options," Papers 1104.3583, arXiv.org, revised Mar 2013.
- Francois-Éric Racicot & Raymond Théoret, 2011. "Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio," RePAd Working Paper Series UQO-DSA-wp032011, Département des sciences administratives, UQO.