Printed from https://ideas.repec.org/n/nep-rmg/2011-04-23.html
Report NEP-RMG-2011-04-23
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:
- 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," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/12, Feb.
- Chun, So Yeon & Shapiro, Alexander & Uryasev, Stan, 2011, "Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics," MPRA Paper, University Library of Munich, Germany, number 30132, Apr.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011, "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series, European Central Bank, number 1327, Apr.
- Kay Giesecke & Konstantinos Spiliopoulos & Richard B. Sowers, 2011, "Default clustering in large portfolios: Typical events," Papers, arXiv.org, number 1104.1773, Apr, revised Feb 2013.
- Rodrigo Alfaro & Andrés Sagner, 2011, "Stress Tests for Banking Sector: A Technical Note," Working Papers Central Bank of Chile, Central Bank of Chile, number 610, Feb.
- Masaaki Fujii & Akihiko Takahashi, 2011, "Collateralized CDS and Default Dependence -Implications for the Central Clearing-," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-246, Apr.
- Orth, Walter, 2010, "The predictive accuracy of credit ratings: Measurement and statistical inference," MPRA Paper, University Library of Munich, Germany, number 30148, Mar, revised 16 Feb 2011.
- Item repec:ner:tilbur:urn:nbn:nl:ui:12-4643186 is not listed on IDEAS anymore
- Srichander Ramaswamy, 2011, "Market structures and systemic risks of exchange-traded funds," BIS Working Papers, Bank for International Settlements, number 343, Apr.
- Rodrigo Alfaro & Natalia Gallardo & Roberto Stein, 2010, "The Determinants of Household Debt Defa," Working Papers Central Bank of Chile, Central Bank of Chile, number 574, May.