Report NEP-RMG-2005-11-19This 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:
- Marno Verbeek & Jeroen VK Rombouts, 2005. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Computing in Economics and Finance 2005 40, Society for Computational Economics.
- Mattia Ciprian & Stefano d'Addona, 2005. "Time Varying Sensitivities on a GRID architecture," Finance 0511007, EconWPA.
- Guenter Franke & Jan Pieter Krahnen, 2005. "Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations," NBER Working Papers 11741, National Bureau of Economic Research, Inc.
- Kai Detlefsen & Giacomo Scandolo, 2005. "Conditional and Dynamic Convex Risk Measures," SFB 649 Discussion Papers SFB649DP2005-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Dr. Brian J. Jacobsen, 2005. "The Use of Downside Risk Measures in Portfolio Construction and Evaluation," Computing in Economics and Finance 2005 5, Society for Computational Economics.
- Jiali Liao & Theodore V. Theodosopoulos, 2005. "Optimal Timing of Mark-to-Market for Contingent Credit Risk Control," Computing in Economics and Finance 2005 220, Society for Computational Economics.
- Ritirupa Samanta & Blake LeBaron, 2005. "Extreme Value Theory and Fat Tails in Equity Markets," Computing in Economics and Finance 2005 140, Society for Computational Economics.