Report NEP-RMG-2011-04-09

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:

• John Cotter & Kevin Dowd & Wyn Morgan, 2011, "Extreme Measures of Agricultural Financial Risk," Papers, arXiv.org, number 1103.5962, Mar.
• Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," KIER Working Papers, Kyoto University, Institute of Economic Research, number 767, Apr.
• John Cotter & Kevin Dowd, 2011, "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," Papers, arXiv.org, number 1103.5653, Mar.
• john cotter & kevin dowd, 2011, "Estimating financial risk measures for futures positions: a non-parametric approach," Papers, arXiv.org, number 1103.5666, Mar.
• John Cotter, 2011, "Varying the VaR for Unconditional and Conditional Environments," Papers, arXiv.org, number 1103.5649, Mar.
• Kevin Dowd & John Cotter, 2011, "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," Papers, arXiv.org, number 1103.5665, Mar.
• John Cotter & Jim Hanly, 2011, "Hedging Effectiveness under Conditions of Asymmetry," Papers, arXiv.org, number 1103.5411, Mar.
• John Cotter & Kevin Dowd, 2011, "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," Papers, arXiv.org, number 1103.5408, Mar.
• Kevin Dowd & John Cotter, 2011, "Exponential Spectral Risk Measures," Papers, arXiv.org, number 1103.5409, Mar.
• john cotter, 2011, "Modelling catastrophic risk in international equity markets: An extreme value approach," Papers, arXiv.org, number 1103.5656, Mar.
• John Cotter & Jim Hanly, 2011, "Time Varying Risk Aversion: An Application to Energy Hedging," Papers, arXiv.org, number 1103.5968, Mar.
• Michiel Bijlsma & Sander Muns, 2011, "Systemic risk across sectors; Are banks different?," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 175, Apr.
• John Cotter & Franc{c}ois Longin, 2011, "Implied correlation from VaR," Papers, arXiv.org, number 1103.5655, Mar.
• John Cotter, 2011, "Uncovering Long Memory in High Frequency UK Futures," Papers, arXiv.org, number 1103.5651, Mar.
• John Cotter, 2011, "Absolute Return Volatility," Papers, arXiv.org, number 1103.5976, Mar.
• Kevin Dowd & John Cotter & Ghulam Sorwar, 2011, "Spectral Risk Measures: Properties and Limitations," Papers, arXiv.org, number 1103.5674, Mar.
• kevin dowd & john cotter, 2011, "Spectral Risk Measures and the Choice of Risk Aversion Function," Papers, arXiv.org, number 1103.5668, Mar.
• John Cotter, 2011, "Minimum Capital Requirement Calculations for UK Futures," Papers, arXiv.org, number 1103.5416, Mar.
• John Cotter & Simon Stevenson, 2011, "Modeling Long Memory in REITs," Papers, arXiv.org, number 1103.5414, Mar.
• John Cotter & Jim Hanly, 2011, "A Utility Based Approach to Energy Hedging," Papers, arXiv.org, number 1103.5973, Mar.
• Item repec:dgr:kubcen:2011031 is not listed on IDEAS anymore

• John Cotter, 2011, "Tail Behaviour of the Euro," Papers, arXiv.org, number 1103.5418, Mar.
• Item repec:ner:dauphi:urn:hdl:123456789/5385 is not listed on IDEAS anymore

• John Cotter & Simon Stevenson, 2011, "Multivariate Modeling of Daily REIT Volatility," Papers, arXiv.org, number 1103.5660, Mar.
• Item repec:dgr:kubcen:2011032 is not listed on IDEAS anymore

• John Cotter, 2011, "Scaling conditional tail probability and quantile estimators," Papers, arXiv.org, number 1103.5965, Mar.
• Item repec:hal:wpaper:hal-00580624 is not listed on IDEAS anymore

• Item repec:dgr:kubcen:2011013 is not listed on IDEAS anymore

• John Cotter & Jim Hanly, 2011, "Hedging: Scaling and the Investor Horizon," Papers, arXiv.org, number 1103.5966, Mar.
• john cotter & kevin dowd, 2011, "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," Papers, arXiv.org, number 1103.5661, Mar.
• John Cotter & Franc{c}ois Longin, 2011, "Margin setting with high-frequency data1," Papers, arXiv.org, number 1103.5412, Mar.
• John Cotter & Simon Stevenson, 2011, "Uncovering Volatility Dynamics in Daily REIT Returns," Papers, arXiv.org, number 1103.5417, Mar.
• Item repec:ner:dauphi:urn:hdl:123456789/5528 is not listed on IDEAS anymore

• Kevin Dowd & John Cotter & Chris Humphrey & Margaret Woods, 2011, "How Unlucky is 25-Sigma?," Papers, arXiv.org, number 1103.5672, Mar.

Report NEP-RMG-2011-04-09

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: