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Report NEP-RMG-2011-04-30
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:
- Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011, "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper, University Library of Munich, Germany, number 30364, Apr.
- Dominique Guegan & Bertrand Hassani, 2012, "Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00587706, Apr.
- Christian Calmès & Raymond Théoret, 2011, "Shadow banking and the dynamics of aggregate leverage: An application of the Kalman filter to cyclical leverage measures," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp022011, Jan.
- Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011, "Dynamic factor value-at-risk for large, heteroskedastic portfolios," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-19.
- Christophe Boucher & Bertrand Maillet, 2011, "The Riskiness of Risk Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00587779, Mar.
- Kent Matthews, 2011, "Risk Management and Managerial Efficiency in Chinese Banks: A Network DEA Framework," Working Papers, Hong Kong Institute for Monetary Research, number 102011, Mar.
- Viral V. Acharya & Hamid Mehran & Til Schuermann & Anjan V. Thakor, 2011, "Robust capital regulation," Staff Reports, Federal Reserve Bank of New York, number 490.
- Niyogi Sinha Roy, Tanima & Bhattacharya, Basabi, 2011, "Macroeconomic Stress Testing and the Resilience of the Indian Banking System: A Focus on Credit Risk," MPRA Paper, University Library of Munich, Germany, number 30263, Mar.
- Marqués-Ibáñez, David & Carbó-Valverde, Santiago & Rodríguez Fernández, Francisco, 2011, "Securitization, bank lending and credit quality: the case of Spain," Working Paper Series, European Central Bank, number 1329, Apr.
- G. William Schwert, 2011, "Stock Volatility During the Recent Financial Crisis," NBER Working Papers, National Bureau of Economic Research, Inc, number 16976, Apr.
- Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2011, "Continuous Workout Mortgages," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1794, Apr.
- Benjamin Kauper & Karl-Kuno Kunze, 2011, "Modellierung von Aktienkursen im Lichte der Komplexitätsforschung," Statistische Diskussionsbeiträge, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät, number 49, Apr.
- Bell, Peter, 2011, "Use of put options as insurance," MPRA Paper, University Library of Munich, Germany, number 30469, Apr.
- Luati, Alessandra & Proietti, Tommaso & Reale, Marco, 2011, "The Variance Profile," MPRA Paper, University Library of Munich, Germany, number 30378, Apr.
- Alexander M. G. Cox & Jiajie Wang, 2011, "Root's barrier: Construction, optimality and applications to variance options," Papers, arXiv.org, number 1104.3583, Apr, revised Mar 2013.
- Francois-Éric Racicot & Raymond Théoret, 2011, "Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp032011, Apr.