Report NEP-RMG-2012-02-20This 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:
- Cayton, Peter Julian A. & Mapa, Dennis S., 2012. "Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology," MPRA Paper 36206, University Library of Munich, Germany.
- Baranovski, Alexander L., 2012. "Calibration of factor models with equity data: parade of correlations," MPRA Paper 36300, University Library of Munich, Germany.
- Marco Bardoscia & Roberto Bellotti, 2012. "A Dynamical Approach to Operational Risk Measurement," Papers 1202.2532, arXiv.org.
- Gabrielle Demange, 2012. "Contagion in financial networks: a threat index," PSE Working Papers halshs-00662513, HAL.
- Ojo, Marianne, 2012. "Harmonising Basel III and the Dodd Frank Act through greater collaboration between standard setters and national supervisors," MPRA Paper 36164, University Library of Munich, Germany.
- Hibbeln, Martin & Gürtler, Marc, 2011. "Pitfalls in modeling loss given default of bank loans," Working Papers IF35V1, Technische Universität Braunschweig, Institute of Finance.
- Adam E Clements & Annastiina Silvennoinen, 2011. "Volatility timing and portfolio selection: How best to forecast volatility," NCER Working Paper Series 76, National Centre for Econometric Research.
- Fäßler, Robert & Kraus, Christina & Weiler, Sebastian M. & Abukadyrova, Kamila, 2011. "Portfolio-Management für Privatanleger auf Basis des State Preference Ansatzes," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2011-03, University of Bayreuth, Chair of Finance and Banking.
- Ojo, Marianne, 2012. "Harmonising Basel III and the Dodd Frank Act through international accounting standards: reasons why international accounting standards should serve as “thermostats”," MPRA Paper 36149, University Library of Munich, Germany.
- Fulvio Baldovin & Francesco Camana & Massimiliano Caporin & Attilio L. Stella, 2012. "Ensemble properties of high frequency data and intraday trading rules," Papers 1202.2447, arXiv.org.
- Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2011. "Stable solutions for optimal reinsurance problems involving risk measures," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/13079, Universidad Carlos III de Madrid.
- Joanna Gray, 2011. "What is Systemic Risk and what can be done about it? A Legal Perspective," EUI-RSCAS Working Papers 55, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS).