Report NEP-RMG-2011-03-26

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:

• Chia-Lin Chang & Juan-à ngel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," KIER Working Papers 761, Kyoto University, Institute of Economic Research.
• Rama Cont & Yu Hang Kan, 2011. "Dynamic hedging of portfolio credit derivatives," Post-Print hal-00578008, HAL.
• Item repec:dgr:uvatin:20110039 is not listed on IDEAS anymore

• Chiara Pederzoli & Grid Thoma & Costanza Torricelli, 2011. "Modelling credit risk for innovative firms: the role of innovation measures," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 11031, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Paolo Angelini & Laurent Clerc & Vasco Curdia & Leonardo Gambacorta & Andrea Gerali & Skander J. van den Heuvel & Alberto Locarno & Roberto Motto & Werner Roeger & Jan Vlček, 2011. "BASEL III: long-term impact on economic performance and fluctuations," Staff Reports 485, Federal Reserve Bank of New York.
• Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andre Lucas, 2011. "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," Tinbergen Institute Discussion Papers 11-042/2/DSF16, Tinbergen Institute.
• Panetti, Ettore, 2011. "Unobservable savings, risk sharing and default in the financial system," MPRA Paper 29542, University Library of Munich, Germany.
• Skogsvik, Kenth & Skogsvik, Stina & Thorsell, Håkan, 2011. "Disentangling the Enteprise Book-to-Price and Leverage Effects in Stock Returns," SSE/EFI Working Paper Series in Business Administration 2011:1, Stockholm School of Economics.
• Estrada, Fernando, 2011. "Theory of financial risk," MPRA Paper 29665, University Library of Munich, Germany.
• Garratt, Rodney & Mahadeva, Lavan & Svirydzenka, Katsiaryna, 2011. "Mapping systemic risk in the international banking network," Bank of England working papers 413, Bank of England.