Report NEP-RMG-2008-01-26This 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:
- Thiemo Krink & Sandra Paterlini, 2008. "Differential Evolution for Multiobjective Portfolio Optimization," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08012, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Van Laere, Elisabeth & Baesens, Bart & Thibeault, André, 2008. "Bank capital: a myth resolved," Vlerick Leuven Gent Management School Working Paper Series 2007-35, Vlerick Leuven Gent Management School.
- Andreas Andrikopoulos & Timotheos Angelidis, 2008. "Idiosyncratic risk, returns and liquidity in the London Stock Exchange: a spillover approach," Working Papers 0017, University of Peloponnese, Department of Economics.
- Marcos Souto & Theodore M. Barnhill, 2007. "Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate," IMF Working Papers 07/290, International Monetary Fund.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2008. "High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence," NBER Working Papers 13739, National Bureau of Economic Research, Inc.
- Wolfgang Härdle & Yuh-Jye Lee & Dorothea Schäfer & Yi-Ren Yeh, 2007. "The Default Risk of Firms Examined with Smooth Support Vector Machines," Discussion Papers of DIW Berlin 757, DIW Berlin, German Institute for Economic Research.
- Yinqiu Lu & Salih N. Neftci, 2008. "Financial Instruments to Hedge Commodity Price Risk for Developing Countries," IMF Working Papers 08/6, International Monetary Fund.
- Dinger, Valeriya & Hagen, Jürgen von, 2007. "Does Interbank Borrowing Reduce Bank Risk?," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 223, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- Brian Lucey, Ali Nejadmalayeri and Manohar Singh, 2008. "Impact of US Macroeconomic Surprises on Stock Market Returns in Developed Economies," The Institute for International Integration Studies Discussion Paper Series iiisdp240, IIIS.