Report NEP-RMG-2012-12-10This 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:
- Andrade, P. & Ghysels, E. & Idier, J., 2012. "Tails of Inflation Forecasts and Tales of Monetary Policy," Working papers, Banque de France 407, Banque de France.
- Tianyu Hao, 2012. "Optimal portfolio model based on WVAR," Papers, arXiv.org 1211.5628, arXiv.org.
- Yoshiharu Maeno & Kenji Nishiguchi & Satoshi Morinaga & Hirokazu Matsushima, 2012. "Optimal portfolio for a robust financial system," Papers, arXiv.org 1211.5235, arXiv.org, revised Feb 2013.
- Agnès Bénassy-Quéré & Guillaume Roussellet, 2012. "Fiscal Sustainability in the Presence of Systemic Banks : the Case of EU Countries," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers), HAL halshs-00755705, HAL.
- J. L. van Velsen, 2012. "Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling," Papers, arXiv.org 1212.0092, arXiv.org.
- Fulli-Lemaire, Nicolas, 2012. "A Dynamic Inflation Hedging Trading Strategy Using a CPPI," MPRA Paper 42851, University Library of Munich, Germany, revised 13 Nov 2012.
- Avino, Davide & Lazar, Emese, 2012. "Rethinking Capital Structure Arbitrage," MPRA Paper 42850, University Library of Munich, Germany.
- Schuster, Philipp & Uhrig-Homburg, Marliese, 2012. "The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering 45, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
- Roxana Halbleib & Valeri Voev, 2012. "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz 2012-30, Department of Economics, University of Konstanz.
- Sarah Meyer & Mark Trede, 2012. "Eliciting earnings risk from labor and capital income," Norface Discussion Paper Series, Norface Research Programme on Migration, Department of Economics, University College London 2012039, Norface Research Programme on Migration, Department of Economics, University College London.