Report NEP-RMG-2005-12-01This 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:
- Alexis Bonnet & Isabelle Nagot, 2005. "Methodology of measuring performance in alternative investment," Cahiers de la Maison des Sciences Economiques b05078, Université Panthéon-Sorbonne (Paris 1).
- Morten Christensen & Eckhard Platen, 2005. "Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps," Research Paper Series 170, Quantitative Finance Research Centre, University of Technology, Sydney.
- Byström, Hans, 2005. "Using Credit Derivatives to Compute Market-Wide Default Probability Term Structures," Working Papers 2005:44, Lund University, Department of Economics.
- Victoria Geyfman, 2005. "Risk-adjusted performance measures at bank holding companies with section 20 subsidiaries," Working Papers 05-26, Federal Reserve Bank of Philadelphia.
- Leena Mörttinen & Paolo Poloni & Patrick Sandars & Jukka Vesala, 2005. "Analysing banking sector conditions - how to use macro-prudential indicators," Occasional Paper Series 26, European Central Bank.
- Luis Berggrun, 2005. "Currency Hedging for a Dutch Investor: The Case of Pension Funds and Insurers," DNB Working Papers 054, Netherlands Central Bank, Research Department.
- David K. Musto & Nicholas S. Souleles, 2005. "A portfolio view of consumer credit," Working Papers 05-25, Federal Reserve Bank of Philadelphia.
- Wolfgang Härdle & Rouslan A. Moro & Dorothea Schäfer, 2005. "Predicting Bankruptcy with Support Vector Machines," SFB 649 Discussion Papers SFB649DP2005-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Tomas Garbaravicius & Frank Dierick, 2005. "Hedge funds and their implications for financial stability," Occasional Paper Series 34, European Central Bank.
- H. Ooghe & C. Spaenjers & P. Vandermoere, 2005. "Business failure prediction: simple-intuitive models versus statistical models," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 05/338, Ghent University, Faculty of Economics and Business Administration.
- Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance 0511005, EconWPA.