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Report NEP-RMG-2011-03-05
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:
- Alexander F. R. Koivusalo & Rudi Schafer, 2011, "Calibration of structural and reduced-form recovery models," Papers, arXiv.org, number 1102.4864, Feb.
- Carmine De Franco & Peter Tankov, 2011, "Portfolio Insurance under a risk-measure constraint," Papers, arXiv.org, number 1102.4489, Feb.
- Ulrich Kirchner & Caroline Zunckel, 2011, "Measuring Portfolio Diversification," Papers, arXiv.org, number 1102.4722, Feb.
- Micha{l} Barski, 2011, "Integral representations of risk functions for basket derivatives," Papers, arXiv.org, number 1102.3928, Feb, revised Jan 2016.
- Jean-Marie Dufour & René Garcia & Abderrahim Taamouti, 2011, "Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility," CIRANO Working Papers, CIRANO, number 2011s-27, Feb.
- Nemes, Veronica & La Nauze, Andrea & O'Neill, James, 2011, "Contracts for environmental outcomes: the use of financial contracts in environmental markets," 2011 Conference (55th), February 8-11, 2011, Melbourne, Australia, Australian Agricultural and Resource Economics Society, number 100576, DOI: 10.22004/ag.econ.100576.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011, "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 533, Feb.
- Mai Hassan & Christian Kalhoefer, 2011, "Regulation of Credit Rating Agencies - Evidence from Recent Crisis," Working Papers, The German University in Cairo, Faculty of Management Technology, number 26, Feb.
- Item repec:izm:wpaper:1008 is not listed on IDEAS anymore
- Ph. Barbe & W. P. McCormick, 2011, "Ruin probabilities in tough times - Part 2 - Heavy-traffic approximation for fractionally differentiated random walks in the domain of attraction of a nonGaussian stable distribution," Papers, arXiv.org, number 1102.3956, Feb.
- Yang Li & Traian A Pirvu, 2011, "On Mean-Variance Analysis," Papers, arXiv.org, number 1102.5078, Feb, revised Nov 2011.
- Benjamin M. Tabak & Daniel O. Cajueiro & A. Luduvice, 2011, "Modeling Default Probabilities: the case of Brazil," Working Papers Series, Central Bank of Brazil, Research Department, number 232, Jan.
- Mazzeu, Joao & Otuki, Thiago & Da Silva, Sergio, 2011, "The canonical econophysics approach to the flash crash of May 6, 2010," MPRA Paper, University Library of Munich, Germany, number 29138.