Report NEP-RMG-2011-07-13This 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:
- Jens Hilscher & Mungo Wilson, 2011. "Credit ratings and credit risk," Working Papers 31, Brandeis University, Department of Economics and International Businesss School.
- Liu, L. & Daniels, H.A.M., 2011. "Towards a Value-based Method for Risk Assessment in Supply Chain Operations," Research Paper ERS-2011-014-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
- Chen, C.W.S. & Gerlach, R. & Hwang, B.B.K. & McAleer, M.J., 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range," Econometric Institute Report EI 2011-17, Erasmus University Rotterdam, Econometric Institute.
- Dan A. Iancu & Marek Petrik & Dharmashankar Subramanian, 2011. "Tight Approximations of Dynamic Risk Measures," Papers 1106.6102, arXiv.org, revised Aug 2013.
- Rocco Ciciretti & Raffaele Corvino, 2011. "How homogeneous diversification in balanced investment funds affects portfolio and systemic risk," CEIS Research Paper 204, Tor Vergata University, CEIS, revised 04 Jul 2011.
- Josep Perell\'o & Mario Guti\'errez-Roig & Jaume Masoliver, 2011. "Scaling properties and universality of first-passage time probabilities in financial markets," Papers 1107.1174, arXiv.org, revised Sep 2011.
- Khalfaoui Rabeh, K & Boutahar Mohamed, B, 2011. "A time-scale analysis of systematic risk: wavelet-based approach," MPRA Paper 31938, University Library of Munich, Germany.
- Alexandre Boumezoued & Yoboua Angoua & Laurent Devineau & Jean-Philippe Boisseau, 2011. "One-year reserve risk including a tail factor: closed formula and bootstrap approaches," Working Papers hal-00605329, HAL.
- Athanasoglou, Panayiotis, 2011. "Bank capital and risk in the South Eastern European region," MPRA Paper 32002, University Library of Munich, Germany.