Report NEP-RMG-2009-12-11

This 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.

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Other reports in NEP-RMG

The following items were announced in this report:

• da Veiga, B. & Chan, F. & McAleer, M.J., 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," Econometric Institute Research Papers EI 2009-39, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Santos, André A. P. & Nogales, Francisco J. & Ruiz Ortega, Esther, 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws097222, Universidad Carlos III de Madrid. Departamento de Estadística.
• Item repec:hal:cesptp:halshs-00384398_v2 is not listed on IDEAS anymore

• Item repec:hhs:bofrdp:2009_026 is not listed on IDEAS anymore

• Item repec:hhs:bofrdp:2009_025 is not listed on IDEAS anymore

• Item repec:hhs:bofrdp:2009_029 is not listed on IDEAS anymore

• Nathalie Rey, 2009. "Credit derivatives: instruments of hedging and factors of instability. The example of “Credit Default Swaps” on French reference entities," Working Papers hal-00433883, HAL.
• Klaus, Benjamin & Rzepkowski, Bronka, 2009. "Risk spillover among hedge funds: The role of redemptions and fund failures," Working Paper Series 1112, European Central Bank.