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Report NEP-RMG-2011-07-02
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, 2011, "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," Working Papers, Geary Institute, University College Dublin, number 200516, Jun.
- John Cotter & Jim Hanly, 2011, "Re-evaluating Hedging Performance," Working Papers, Geary Institute, University College Dublin, number 200518, Jun.
- John Cotter & Kevin Dowd, 2011, "Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach," Working Papers, Geary Institute, University College Dublin, number 200613, Jun.
- John Cotter & Kevin Dowd, 2011, "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," Working Papers, Geary Institute, University College Dublin, number 200616, Jun.
- Lidia Sanchis-Marco & Antonio Rubia Serrano, 2011, "On downside risk predictability through liquidity and trading activity: a quantile regression approach," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2011-14, Jun.
- John Cotter, 2011, "Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach," Working Papers, Geary Institute, University College Dublin, number 200515, Jun.
- Matthieu Chauvigny & Laurent Devineau & Stéphane Loisel & Véronique Maume-Deschamps, 2011, "Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management," Post-Print, HAL, number hal-00517766.
- John Cotter & Francois Longin, 2011, "Margin Requirements with Intraday Dynamics," Working Papers, Geary Institute, University College Dublin, number 200519, Jun.
- Kevin Dowd & John Cotter, 2011, "Intra-Day Seasonality in Foreign Market Transactions," Working Papers, Geary Institute, University College Dublin, number 200746, Jun.
- John Cotter & Kevin Dowd, 2011, "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," Working Papers, Geary Institute, University College Dublin, number 200743, Jun.
- Carlos Castro & Stijn Ferrari, 2011, "Measuring and testing for the systemically important financial institutions," Documentos de Trabajo, Universidad del Rosario, number 8779, Jun.
- John Cotter, 2011, "Modelling Long Memory in REITs," Working Papers, Geary Institute, University College Dublin, number 200614, Jun.
- Mario Genco, 2011, "Studio di un indicatore per la valutazione del rischio delprogetto nella metodologia dell’analisi costi benefici - Proposed risk indicators in the cost-benefit analisys methodology," Working Papers, CSIL Centre for Industrial Studies, number 201102, Apr.
- John Cotter & Simon Stevenson, 2011, "Multivariate Modelling of Daily REIT Volatility," Working Papers, Geary Institute, University College Dublin, number 200517, Jun.
- Item repec:imf:imfwpa:11/111 is not listed on IDEAS anymore
- Ojo, Marianne, 2011, "Successfully implementing major financial stability regulatory reforms: the risk weighting based controversy (Basel v Dodd Frank) and the role of national supervisors," MPRA Paper, University Library of Munich, Germany, number 31777, Jun.
- David Blake & John Cotter & Kevin Dowd, 2011, "Financial Risks and the Pension Protection Fund:Can It Survive Them?," Working Papers, Geary Institute, University College Dublin, number 200615, Jun.