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Report NEP-RMG-2007-06-18
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:
- Georges Dionne & Robert Gagné & Abdelhakim Nouira, 2007, "Determinants of Insurers’ Performance in Risk Pooling, Risk Management, and Financial Intermediation Activities," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 07-03, Apr.
- Cotter, John, 2007, "Extreme risk in Asian equity markets," MPRA Paper, University Library of Munich, Germany, number 3536.
- Cotter, John & Dowd, Kevin, 2007, "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," MPRA Paper, University Library of Munich, Germany, number 3504.
- Nikola A. Tarashev & Haibin Zhu, 2006, "The pricing of portfolio credit risk," BIS Working Papers, Bank for International Settlements, number 214, Sep.
- Nikola A. Tarashev, 2005, "An empirical evaluation of structural credit risk models," BIS Working Papers, Bank for International Settlements, number 179, Jul.
- Rikhardsson, Pall & Best, Peter & Green, Peter & Rosemann, Michael, 2006, "Business Process Risk Management, Compliance and Internal Control: A Research Agenda," Management Accounting Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number M-2006-05, Sep.
- Cotter, John & Hanly, James, 2007, "Hedging Effectiveness under Conditions of Asymmetry," MPRA Paper, University Library of Munich, Germany, number 3501.
- Cotter, John & Dowd, Kevin, 2007, "Estimating financial risk measures for futures positions: a non-parametric approach," MPRA Paper, University Library of Munich, Germany, number 3503.
- Jesús Saurina & Carlos Trucharte, 2007, "An assessment of Basel II procyclicality in mortgage portfolios," Working Papers, Banco de España, number 0712, May.
- Cotter, John & Dowd, Kevin, 2007, "Exponential Spectral Risk Measures," MPRA Paper, University Library of Munich, Germany, number 3499.
- Claudio E. V. Borio & Kostas Tsatsaronis, 2006, "Risk in financial reporting: status, challenges and suggested directions," BIS Working Papers, Bank for International Settlements, number 213, Aug.
- Cotter, John & Stevenson, Simon, 2007, "Modeling Long Memory in REITs," MPRA Paper, University Library of Munich, Germany, number 3500.
- Cotter, John & Dowd, Kevin, 2007, "Intra-Day Seasonality in Foreign Exchange Market Transactions," MPRA Paper, University Library of Munich, Germany, number 3502.
- Cotter, John & Dowd, Kevin, 2007, "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," MPRA Paper, University Library of Munich, Germany, number 3493.
- Jessica A. Wachter & Missaka Warusawitharana, 2007, "Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?," NBER Working Papers, National Bureau of Economic Research, Inc, number 13165, Jun.