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Report NEP-RMG-2011-01-30
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:
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-01.
- Zhou, Richard, 2010, "Counterparty Risk Subject To ATE," MPRA Paper, University Library of Munich, Germany, number 28067, Dec.
- Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou, 2011, "Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting," Papers, arXiv.org, number 1101.3926, Jan.
- Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010, "Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest," MPRA Paper, University Library of Munich, Germany, number 28250, Oct, revised 27 Dec 2010.
- Abbas, Qaiser & Rashid, Abdul, 2011, "Modeling Bankruptcy Prediction for Non-Financial Firms: The Case of Pakistan," MPRA Paper, University Library of Munich, Germany, number 28161, Jan.
- Christophe Boucher & Bertrand Maillet, 2011, "Une analyse temps-fréquences des cycles financiers," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11003, Jan.
- Guanghui Huang & Jianping Wan & Cheng Chen, 2011, "An Active Margin System and its Application in Chinese Margin Lending Market," Papers, arXiv.org, number 1101.3974, Jan.
- Ojo, Marianne, 2011, "A tale of three countries, dispersed ownership and greater risk taking levels by management: risk monitoring tools in bank regulation and supervision – developments since the collapse of Barings Plc (re – visited)," MPRA Paper, University Library of Munich, Germany, number 28131, Jan.
- Piluso, Fabio & Amerise, Ilaria Lucrezia, 2011, "L’asset allocation dei fondi hedge durante la crisi finanziaria: un’analisi empirica
[The asset allocation of hedge funds during the financial crisis: an empirical investigation]," MPRA Paper, University Library of Munich, Germany, number 28178, Jan. - Areski Cousin & Diana Dorobantu & Didier Rullière, 2011, "A note on the computation of an actuarial Waring formula in the finite-exchangeable case," Working Papers, HAL, number hal-00557751, Jan.
- Santos, Edward P. & Mapa, Dennis S. & Glindro, Eloisa T., 2011, "Estimating Inflation-at-Risk (IaR) using Extreme Value Theory (EVT)," MPRA Paper, University Library of Munich, Germany, number 28266, Jan.
- Gerald Cheang & Carl Chiarella, 2011, "A Modern View on Merton's Jump-Diffusion Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 287, Jan.
- Roxana Halbleib & Valerie Voev, 2011, "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2011-002, Jan.
- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter, 2011, "Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-782, Jan.
- Item repec:lam:wpaper:19-10 is not listed on IDEAS anymore