Printed from https://ideas.repec.org/n/nep-rmg/2010-10-02.html
Report NEP-RMG-2010-10-02
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:
- Ojo, Marianne, 2010, "Basel III and responding to the recent Financial Crisis: progress made by the Basel Committee in relation to the need for increased bank capital and increased quality of loss absorbing capital," MPRA Paper, University Library of Munich, Germany, number 25291, Sep.
- Item repec:imf:imfwpa:10/190 is not listed on IDEAS anymore
- Chernobai, Anna & Menn, Christian & Rachev, Svetlozar T. & Trück, Stefan, 2010, "Estimation of operational value-at-risk in the presence of minimum collection threshold: An empirical study," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 4, DOI: 10.5445/IR/1000019773.
- Young Shin Kim & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2010, "Time series analysis for financial market meltdowns," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 2, DOI: 10.5445/IR/1000019771.
- Ausín Olivera, María Concepción & Galeano, Pedro & Ghosh, Pulak, 2010, "A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws103822, Sep.
- Massimiliano Caporin & Michael McAleer, 2010, "Model Selection and Testing of Conditional and Stochastic Volatility Models," KIER Working Papers, Kyoto University, Institute of Economic Research, number 724, Sep.
- SBRANA, Giacomo & SILVESTRINI, Andrea, 2010, "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2010039, Jul.
- Burnecki, Krzysztof & Weron, Rafal, 2010, "Simulation of Risk Processes," MPRA Paper, University Library of Munich, Germany, number 25444.
- Nikolaus Rab & Richard Warnung, 2010, "Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations," Papers, arXiv.org, number 1009.3638, Sep, revised Nov 2011.
- Evarist Stoja & Arnold Polanski, 2009, "Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with an Application to Risk Management," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 09/617, Dec.
- Magda Schiegl, 2010, "On the Savety Loading for Chain Ladder Estimates: A Monte Carlo Simulation Study," Papers, arXiv.org, number 1009.4143, Sep.
- CARPANTIER, Jean - François, 2010, "Commodities inventory effect," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2010040, Jul.
- Item repec:hal:journl:halshs-00520050_v1 is not listed on IDEAS anymore
- Romera, Rosario & Runggaldier, Wolfgang, 2010, "Ruin probabilities in a finite-horizon risk model with investment and reinsurance," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws103721, Sep.
- Ghesquiere,Francis & Mahul,Olivier, 2010, "Financial protection of the state against natural disasters : a primer," Policy Research Working Paper Series, The World Bank, number 5429, Sep.
- Masaaki Fujii & Akihiko Takahashi, 2010, "Modeling of Interest Rate Term Structures under Collateralization and its Implications," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-230, Sep, revised Dec 2010.