Report NEP-RMG-2011-11-21This 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:
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, School of Economics and Management, University of Aarhus.
- Dominique Guegan & Wayne Tarrant, 2011. "Viewing Risk Measures as information," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00639489, HAL.
- Dominique Guegan & Bertrand Hassani, 2011. "A mathematical resurgence of risk management : an extreme modeling of expert opinions," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00639666, HAL.
- Dominique Guegan & Bertrand Hassani, 2011. "Operational risk: A Basel II++ step before Basel III," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00639484, HAL.
- Cairns, Andrew & Dowd, Kevin & Blake, David & Coughlan, Guy, 2011. "Longevity hedge effectiveness: a decomposition," MPRA Paper 34236, University Library of Munich, Germany.
- Mikhail V. Oet & Ryan Eiben & Timothy Bianco & Dieter Gramlich & Stephen J. Ong, 2011. "The financial stress index: identification of systemic risk conditions," Working Paper 1130, Federal Reserve Bank of Cleveland.
- Xibin Zhang & Maxwell L. King, 2011. "Bayesian semiparametric GARCH models," Monash Econometrics and Business Statistics Working Papers 24/11, Monash University, Department of Econometrics and Business Statistics.
- Julián Andrada-Félix & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2011. "Historical financial analogies of the current crisis," Working Papers 11-08, Asociación Española de Economía y Finanzas Internacionales.
- Delis, Manthos D & Tsionas, Efthymios, 2011. "A new method to estimate the risk of financial intermediaries," MPRA Paper 34735, University Library of Munich, Germany.
- Alexandre Lazarow, 2011. "Lessons from International Central Counterparties: Benchmarking and Analysis," Discussion Papers 11-4, Bank of Canada.
- Skold, Alida S., 2011. "Intended and Unintended Results of the Proposed Volcker Rule," MPRA Paper 34672, University Library of Munich, Germany.