Report NEP-RMG-2012-05-02This 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:
- Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 2012-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Dominique Guegan & Xin Zhao, 2012. "Alternative Modeling for Long Term Risk," Documents de travail du Centre d'Economie de la Sorbonne 12025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012. "Risk spillovers in international equity portfolios," Working Papers 2012-03, Swiss National Bank.
- Holger Capa Santos & Marie Kratz & Franklin Mosquera Munoz, 2012. "Modelling macroeconomic effects and expert judgements in operational risk : a Bayesian approach," Post-Print hal-00690448, HAL.
- Wolfgang Karl Härdle & Dedy Dwi Prastyo & Christian Hafner, 2012. "Support Vector Machines with Evolutionary Feature Selection for Default Prediction," SFB 649 Discussion Papers SFB649DP2012-030, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Maarten van Oordt, 2012. "Securitization and the dark side of diversification," DNB Working Papers 341, Netherlands Central Bank, Research Department.
- Yoshiharu Maeno & Satoshi Morinaga & Hirokazu Matsushima & Kenichi Amagai, 2012. "Transmission of distress in a bank credit network," Papers 1204.5661, arXiv.org, revised Nov 2012.
- Carlos Léon, 2012. "Estimating financial institutions’ intraday liquidity risk: a Monte Carlo simulation approach," BORRADORES DE ECONOMIA 009441, BANCO DE LA REPÚBLICA.
- Zvika Afik & Ohad Arad & Koresh Galil, 2012. "Using Merton model: an empirical assessment of alternatives," Working Papers 1202, Ben-Gurion University of the Negev, Department of Economics.