Printed from https://ideas.repec.org/n/nep-rmg/2005-04-16.html
Report NEP-RMG-2005-04-16
This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-RMG
The following items were announced in this report:
- Olivier SCAILLET, 2004, "Nonparametric Estimation of Conditional Expected Shortfall," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp112, May.
- Paul EHLING & Sofia B. RAMOS, 2004, "Geographic Versus Industry Diversification: Contraints Matter," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp113, Aug.
- Amine JALAL & Michael ROCKINGER, 2004, "Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp115, Jun.
- Olivier Scaillet, 2005, "A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp128, Jan.
- Item repec:eab:macroe:122 is not listed on IDEAS anymore
- Raoul Pietersz & Antoon Pelsser, 2005, "Risk Managing Bermudan Swaptions in the Libor BGM Model," Finance, University Library of Munich, Germany, number 0502004, Feb.
- Raoul Pietersz & Antoon Pelsser, 2005, "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance, University Library of Munich, Germany, number 0502008, Feb.
- Raoul Pietersz & Marcel van Regenmortel, 2005, "Generic Market Models," Finance, University Library of Munich, Germany, number 0502009, Feb.
- rea cipollini & giuseppe missaglia, 2005, "Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis," Finance, University Library of Munich, Germany, number 0502010, Feb.
- Cornelis A. Los, 2005, "Measurement of Financial Risk Persistence," Finance, University Library of Munich, Germany, number 0502013, Feb.
- Marcos Mailoc López de Prado & Achim Peijan, 2005, "Measuring Loss Potential of Hedge Fund Strategies," Finance, University Library of Munich, Germany, number 0503010, Mar.
- Norbert_Jobst & Arnaud_de_Servigny, 2005, "An Empirical Analysis of Equity Default Swaps (II): Multivariate Insights," Finance, University Library of Munich, Germany, number 0503025, Mar.
- Sebastián Alberto Rey & Javier Ignacio García-Fronti & María Teresa Casparri, 2005, "Liquidity Risk Estimation Using Fuzzy Measure Theory," Finance, University Library of Munich, Germany, number 0504012, Apr.
- Olivier Bonroy & Jean-Philippe Gervais & Bruno Larue, 2005, "Investigating Non-Linearities in the Relationship Between Real Exchange Rate Volatility and Trade," International Finance, University Library of Munich, Germany, number 0501003, Jan.
- Lucjan T Orlowski, 2005, "Monetary Convergence And Risk Premiums In The EU Candidate Countries," Macroeconomics, University Library of Munich, Germany, number 0501037, Jan.
- Krzysztof Burnecki & Rafal Weron, 2005, "Modeling the risk process in the XploRe computing environment," Risk and Insurance, University Library of Munich, Germany, number 0502001, Feb.
- William Goetzmann & Roger Ibbotson, 2005, "History and the Equity Risk Premium," Yale School of Management Working Papers, Yale School of Management, number ysm448, Apr.
- William N. Goetzmann & Stephen J. Brown, 2005, "Performance Persistence," Yale School of Management Working Papers, Yale School of Management, number ysm451, Apr.
- Alexis Derviz, 2003, "Components of the Czech Koruna Risk Premium in a Multiple-Dealer FX Market," Working Papers, Czech National Bank, Research and Statistics Department, number 2003/04, Jun.
- Alexis Derviz & Jiri Podpiera, 2004, "Predicting Bank CAMELS and S&P Ratings: The Case of the Czech Republic," Working Papers, Czech National Bank, Research and Statistics Department, number 2004/01, Jan.