Printed from https://ideas.repec.org/n/nep-rmg/2005-11-19.html
Report NEP-RMG-2005-11-19
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:
- Marno Verbeek & Jeroen VK Rombouts, 2005, "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Computing in Economics and Finance 2005, Society for Computational Economics, number 40, Nov.
- Mattia Ciprian & Stefano d'Addona, 2005, "Time Varying Sensitivities on a GRID architecture," Finance, University Library of Munich, Germany, number 0511007, Nov.
- Guenter Franke & Jan Pieter Krahnen, 2005, "Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations," NBER Working Papers, National Bureau of Economic Research, Inc, number 11741, Nov.
- Item repec:hum:wpaper:sfb649dp2005-006 is not listed on IDEAS anymore
- Dr. Brian J. Jacobsen, 2005, "The Use of Downside Risk Measures in Portfolio Construction and Evaluation," Computing in Economics and Finance 2005, Society for Computational Economics, number 5, Nov.
- Jiali Liao & Theodore V. Theodosopoulos, 2005, "Optimal Timing of Mark-to-Market for Contingent Credit Risk Control," Computing in Economics and Finance 2005, Society for Computational Economics, number 220, Nov.
- Ritirupa Samanta & Blake LeBaron, 2005, "Extreme Value Theory and Fat Tails in Equity Markets," Computing in Economics and Finance 2005, Society for Computational Economics, number 140, Nov.