Report NEP-RMG-2010-11-06This 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:
- Georg Mainik & Ludger Ruschendorf, 2010. "Ordering of multivariate probability distributions with respect to extreme portfolio losses," Papers 1010.5171, arXiv.org.
- Balakrishna, B S, 2010. "Levy Subordinator Model: A Two Parameter Model of Default Dependency," MPRA Paper 26274, University Library of Munich, Germany.
- Artmann, Sabine & Finter, Philipp & Kempf, Alexander, 2010. "Determinants of expected stock returns: Large sample evidence from the German market," CFR Working Papers 10-01, University of Cologne, Centre for Financial Research (CFR).
- Rui Castro & Gian Luca Clementi & Yoonsoo Lee, 2010. "Cross–Sectoral Variation in Firm–Level Idiosyncratic Risk," Working Paper series 28_10, Rimini Centre for Economic Analysis.
- Delphine Lautier & Franck Raynaud, 2010. "Statistical properties of derivatives: a journey in term structures," Papers 1010.6026, arXiv.org.
- Hatemi-J, Abdulnasser & El-Khatib, Youssef, 2010. "Stochastic optimal hedge ratio: Theory and evidence," MPRA Paper 26153, University Library of Munich, Germany.