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Report NEP-RMG-2010-09-18
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:
- Bandyopadhyay, Arindam, 2010, "Understanding the Effect of Concentration Risk in the Banks’ Credit Portfolio: Indian Cases," MPRA Paper, University Library of Munich, Germany, number 24822, Jul.
- Bernardo da Veiga & Felix Chan & Michael McAleer, 2009, "It Pays to Violate: How Effective are the Basel Accord Penalties?," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-186, Oct.
- Oxelheim, Lars & Wihlborg, Clas & Thorsheim, Marcus, 2010, "The CFO’s Information Challenge in Managing Macroeconomic Risk," Working Paper Series, Research Institute of Industrial Economics, number 847, Aug.
- Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi, 2010, "Collateral Posting and Choice of Collateral Currency -Implications for Derivative Pricing and Risk Management-," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-216, May.
- Virginie Coudert & Mathieu Gex, 2010, "The Credit Default Swap Market and the Settlement of Large Defaults," Working Papers, CEPII research center, number 2010-17, Aug.
- Katja Ignatieva & Eckhard Platen & Renata Rendek, 2010, "Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 284, Sep.
- Zongxia Liang & Lin He & Jiaoling Wu, 2010, "Optimal Dividend and reinsurance strategy of a Property Insurance Company under Catastrophe Risk," Papers, arXiv.org, number 1009.1269, Sep.
- Ojo, Marianne, 2010, "Measures aimed at enhancing the loss absorbency of regulatory capital at the point of non viability," MPRA Paper, University Library of Munich, Germany, number 24823, Sep.
- David E. Allen & Michael McAleer & Marcel Scharth, 2009, "Realized Volatility Risk," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-197, Dec, revised Jan 2010.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-202, Jan.
- Virginie Coudert & Hélène Raymond, 2010, "Gold and Financial Assets: Are There Any Safe Havens in Bear Markets?," Working Papers, CEPII research center, number 2010-13, Jul.
- Abhimanyu Mitra & Sidney I. Resnick, 2010, "Hidden Regular Variation: Detection and Estimation," Papers, arXiv.org, number 1001.5058, Jan, revised Sep 2010.
- R'emy Chicheportiche & Jean-Philippe Bouchaud, 2010, "The joint distribution of stock returns is not elliptical," Papers, arXiv.org, number 1009.1100, Sep, revised Jun 2012.
- Kristýna Ivanková, 2010, "Isobars and the Efficient Market Hypothesis," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2010/21, Sep, revised Sep 2010.
- Ralf Becker & Adam Clements & Robert O'Neill, 2010, "A Cholesky-MIDAS model for predicting stock portfolio volatility," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 149.