Report NEP-RMG-2012-03-08This 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:
- Item repec:imf:imfwpa:12/3 is not listed on IDEAS anymore
- Jaume Belles-Sampera & José M. Merigó & Montserrat Guillén & Miguel Santolino, 2012. "The connection between distortion risk measures and ordered weighted averaging operators," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics 201201, University of Barcelona, Research Institute of Applied Economics, revised Jan 2012.
- Andreas H. Hamel & Birgit Rudloff & Mihaela Yankova, 2012. "Set-valued average value at risk and its computation," Papers, arXiv.org 1202.5702, arXiv.org, revised Jan 2013.
- Ralf Sabiwalsky, 2012. "Does Basel II Pillar 3 Risk Exposure Data help to Identify Risky Banks?," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2012-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Shih-Kang Chao & Wolfgang Karl Härdle & Weining Wang, 2012. "Quantile Regression in Risk Calibration," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2012-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Elena-Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012. "Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests," Working Papers, HAL halshs-00671658, HAL.
- Chollete, Loran, 2011. "A Model of Endogenous Extreme Events," UiS Working Papers in Economics and Finance, University of Stavanger 2012/2, University of Stavanger.
- Pablo Federico & Francisco F. VÃ¡zquez, 2012. "Bank Funding Structures and Risk," IMF Working Papers, International Monetary Fund 12/29, International Monetary Fund.
- Niamh Sheridan & B. Jang, 2012. "Bank Capital Adequacy in Australia," IMF Working Papers, International Monetary Fund 12/25, International Monetary Fund.
- Guanghui Huang & Weiqing Gu & Wenting Xing & Hongyu Li, 2012. "Active margin system for margin loans using cash and stock as collateral and its application in Chinese market," Papers, arXiv.org 1202.5180, arXiv.org.
- Roy Zilberman, 2012. "Supply Shocks and the Cyclical Behaviour of Bank Lending Rates under the Basel Accords," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester 161, Economics, The Univeristy of Manchester.