Report NEP-RMG-2008-01-12This 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:
- Wolfgang Härdle & Julius Mungo, 2008. "Value-at-Risk and Expected Shortfall when there is long range dependence," SFB 649 Discussion Papers SFB649DP2008-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Bartram, Söhnke M., 2007. "Corporate Cash Flow and Stock Price Exposures to Foreign Exchange Rate Risk," MPRA Paper 6662, University Library of Munich, Germany.
- Angela Romagnoli, 2007. "Balance-sheet ratios and stock returns: An analysis for Italian banks," Temi di discussione (Economic working papers) 648, Bank of Italy, Economic Research and International Relations Area.
- Caiado, Jorge & Crato, Nuno, 2007. "Identifying common spectral and asymmetric features in stock returns," MPRA Paper 6607, University Library of Munich, Germany.
- Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc.
- Item repec:pra:mprapa:6668 is not listed on IDEAS anymore
- Item repec:hal:papers:hal-00201393_v1 is not listed on IDEAS anymore
- Lorán Chollete & Randi Næs & Johannes A. Skjeltorp, 2007. "What captures liquidity risk? A comparison of trade and order based liquidity factors," Working Paper 2007/03, Norges Bank.
- Stéphane Loisel & Claude Lefèvre, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Post-Print hal-00201377, HAL.
- Fagan, Stephen & Gencay, Ramazan, 2008. "Liquidity-Induced Dynamics in Futures Markets," MPRA Paper 6677, University Library of Munich, Germany.
- Pavel Cizek & Wolfgang Härdle & Vladimir Spokoiny, 2008. "Adaptive pointwise estimation in time-inhomogeneous time-series models," SFB 649 Discussion Papers SFB649DP2008-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Junni L. Zhang & Wolfgang Härdle, 2008. "The Bayesian Additive Classification Tree Applied to Credit Risk Modelling," SFB 649 Discussion Papers SFB649DP2008-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Buiter, Willem H., 2007. "Lessons from the 2007 Financial Crisis," CEPR Discussion Papers 6596, C.E.P.R. Discussion Papers.
- Melecky, Martin, 2008. "An alternative framework for foreign exchange risk management of sovereign debt," Policy Research Working Paper Series 4458, The World Bank.