Report NEP-RMG-2011-03-12This 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:
- Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Thomas Conlon & John Cotter, 2011. "An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition," Working Papers 201104, Geary Institute, University College Dublin.
- William T. Shaw, 2011. "Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution," Papers 1102.5665, arXiv.org.
- Éric Tymoigne, 2011. "Measuring Macroprudential Risk: Financial Fragility Indexes," Economics Working Paper Archive wp_654, Levy Economics Institute.
- Jo\~ao P. da Cruz & Pedro G. Lind, 2011. "The dynamics of financial stability in complex networks," Papers 1103.0717, arXiv.org, revised Jan 2013.
- Pflüger, Michael P. & Russek, Stephan, 2011. "Business Conditions and Default Risks across Countries," IZA Discussion Papers 5541, Institute for the Study of Labor (IZA).
- John Cotter & Jim Hanly, 2011. "A Utility Based Approach to Energy Hedging," Working Papers 201106, Geary Institute, University College Dublin.
- Item repec:qut:auncer:2011_1 is not listed on IDEAS anymore
- Xiaolin Luo & Pavel V. Shevchenko, 2011. "Bayesian Model Choice of Grouped t-copula," Papers 1103.0606, arXiv.org.
- Gregor Wergen & Miro Bogner & Joachim Krug, 2011. "Record statistics for biased random walks, with an application to financial data," Papers 1103.0893, arXiv.org.
- Paolo Angelini & Laurent Clerc & Vasco Cúrdia & Leonardo Gambacorta & Andrea Gerali & Alberto Locarno & Roberto Motto & Werner Roeger & Skander Van den Heuvel & Jan Vlcek, 2011. "BASEL III: Long-term impact on economic performance and fluctuations," BIS Working Papers 338, Bank for International Settlements.
- Alejandro Balbás & Beatriz Balbás & Raquel Balbás, 2011. "Good deals in markets with frictions," Business Economics Working Papers wb110302, Universidad Carlos III, Departamento de Economía de la Empresa.
- Katja Drechsel & Rolf Scheufele, 2011. "The Financial Crisis from a Forecaster’s Perspective," IWH Discussion Papers 5, Halle Institute for Economic Research.