Report NEP-RMG-2012-03-14This 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:
- Dubecq, S. & Gourieroux, C., 2012. "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working papers 368, Banque de France.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 2012-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Luo Ping, 2011. "The Current State of the Financial Sector and the Regulatory Framework in Asian Economiesâ€”The Case of the Peopleâ€™s Republic of China," Finance Working Papers 23226, East Asian Bureau of Economic Research.
- Santanu Dey & Sandeep Juneja, 2012. "Incorporating fat tails in financial models using entropic divergence measures," Papers 1203.0643, arXiv.org.
- Jeroen Rombouts & Lars Peter Stentoft & Francesco Violente, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options," CIRANO Working Papers 2012s-05, CIRANO.
- Carfì, David & Musolino, Francesco, 2012. "A coopetitive approach to financial markets stabilization and risk management," MPRA Paper 37098, University Library of Munich, Germany.
- Herz, Christian & Neunert, Daniela & Will, Sebastian & Wolf, Niko J. & Zwick, Tobias, 2012. "Portfolioallokation: Einbezug verschiedener Assetklassen," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-01, University of Bayreuth, Chair of Finance and Banking.
- Raffaella Calabrese, 2012. "Improving Classifier Performance Assessment of Credit Scoring Models," Working Papers 201204, Geary Institute, University College Dublin.