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Report NEP-RMG-2011-05-30
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:
- Düllmann, Klaus & Puzanova, Natalia, 2011, "Systemic risk contributions: a credit portfolio approach," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2011,08.
- Ricardo Schechtman & Wagner Piazza Gaglianone, 2011, "Macro Stress Testing of Credit Risk Focused on the Tails," Working Papers Series, Central Bank of Brazil, Research Department, number 241, May.
- Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011, "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers, Kyoto University, Institute of Economic Research, number 775, May.
- Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011, "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 29, DOI: 10.5445/IR/1000023240.
- Geurdes, Han / J. F., 2011, "On the mathematical form of CVA in Basel III," MPRA Paper, University Library of Munich, Germany, number 30955.
- Item repec:dnb:dnbwpp:296 is not listed on IDEAS anymore
- Basak, Suleyman & Chabakauri, Georgy, 2011, "Dynamic Hedging in Incomplete Markets: A Simple Solution," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8402, May.
- Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Racheva-Iotova, Boryana & Fabozzi, Frank J., 2011, "Fat-tailed models for risk estimation," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 30, DOI: 10.5445/IR/1000023244.
- Helder Ferreira de Mendonça & Délio José Cordeiro Galvão & Renato Falci Villela Loures, 2011, "Economic Activity and Financial Institutional Risk: an empirical analysis for the Brazilian banking industry," Working Papers Series, Central Bank of Brazil, Research Department, number 243, May.
- Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2011, "Portfolio selection problems in practice: a comparison between linear and quadratic optimization models," Papers, arXiv.org, number 1105.3594, May.
- Xiaohong Chen, 2011, "Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1804, May.
- Gaurab Aryal & Isabelle Perrigne & Quang Vuong, 2011, "Identification of Insurance Models with Multidimensional Screening," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2011-538, Feb.