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Report NEP-RMG-2005-12-09
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:
- Casper G. de Vries & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005, "Comparing Downside Risk Measures for Heavy Tailed Distributions," FMG Discussion Papers, Financial Markets Group, number dp551, Nov.
- Pesaran, M. Hashem & Zaffaroni, Paolo, 2005, "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5279, Oct.
- Viviana Fernández, 2005, "The International CAPM and a wavelet-based decomposition of Value at Risk," Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile, number 203.
- Martina Nardon, 2005, "Valuing defaultable bonds: an excursion time approach," Finance, University Library of Munich, Germany, number 0511015, Nov.
- Michael McAleer & Riaz Shareef & Bernardo da Veiga, 2005, "Risk Management of Daily Tourist Tax Revenues for the Maldives," Working Papers, Fondazione Eni Enrico Mattei, number 2005.137, Oct.
- Andrew Ang & Joseph Chen & Yuhang Xing, 2005, "Downside Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11824, Dec.
- Marta Cardin & Graziella Pacelli, 2005, "On characterization of a class of convex operators for pricing insurance risks," Game Theory and Information, University Library of Munich, Germany, number 0511011, Nov.
- Casper G. de Vries & Gennady Samorodnitsky & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005, "Subadditivity Re–Examined: the Case for Value-at-Risk," FMG Discussion Papers, Financial Markets Group, number dp549, Nov.
- Gaspar, Raquel M. & Schmidt, Thorsten, 2005, "Quadratic Portfolio Credit Risk models with Shot-noise Effects," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 616, Dec.