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. 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:

• 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 25291, University Library of Munich, Germany.
• Manmohan Singh & Karim Youssef, 2010. "Price of Risk; Recent Evidence From Large Financials," IMF Working Papers 10/190, International Monetary Fund.
• 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 4, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• 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 2, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• 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 ws103822, Universidad Carlos III de Madrid. Departamento de Estadística.
• Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," KIER Working Papers 724, Kyoto University, Institute of Economic Research.
• SBRANA, Giacomo & SILVESTRINI, Andrea, 2010. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," LIDAM Discussion Papers CORE 2010039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Burnecki, Krzysztof & Weron, Rafal, 2010. "Simulation of Risk Processes," MPRA Paper 25444, University Library of Munich, Germany.
• Nikolaus Rab & Richard Warnung, 2010. "Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations," Papers 1009.3638, arXiv.org, 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 09/617, School of Economics, University of Bristol, UK.
• Magda Schiegl, 2010. "On the Savety Loading for Chain Ladder Estimates: A Monte Carlo Simulation Study," Papers 1009.4143, arXiv.org.
• CARPANTIER, Jean - François, 2010. "Commodities inventory effect," LIDAM Discussion Papers CORE 2010040, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Yannick Malevergne & Béatrice Rey, 2009. "On Cross-risk Vulnerability," Post-Print halshs-00520050, HAL.
• Romera, Rosario & Runggaldier, Wolfgang, 2010. "Ruin probabilities in a finite-horizon risk model with investment and reinsurance," DES - Working Papers. Statistics and Econometrics. WS ws103721, Universidad Carlos III de Madrid. Departamento de Estadística.
• Ghesquiere,Francis & Mahul,Olivier, 2010. "Financial protection of the state against natural disasters : a primer," Policy Research Working Paper Series 5429, The World Bank.
• Masaaki Fujii & Akihiko Takahashi, 2010. "Modeling of Interest Rate Term Structures under Collateralization and its Implications," CARF F-Series CARF-F-230, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Dec 2010.