Printed from https://ideas.repec.org/n/nep-rmg/2011-07-27.html
Report NEP-RMG-2011-07-27
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, 2011, "Varying the VaR for Unconditional and Conditional Environments," Working Papers, Geary Institute, University College Dublin, number 200419, 07.
- Michael McAleer & Roberto Casarin & Chia-Lin Chang & Juan-à ngel Jiménez-MartÃn & Teodosio Pérez-Amaral, 2011, "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," KIER Working Papers, Kyoto University, Institute of Economic Research, number 784, Jul.
- Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-27.
- John Cotter & Jim Hanly, 2011, "Hedging Effectiveness under Conditions of Asymmetry," Working Papers, Geary Institute, University College Dublin, number 200843, 07.
- John Cotter & Francois Longin, 2011, "Implied Correlation from VaR," Working Papers, Geary Institute, University College Dublin, number 200618, 07.
- John Cotter, 2011, "Minimum Capital Requirement Calculations for UK Futures," Working Papers, Geary Institute, University College Dublin, number 200418, 07.
- John Cotter, 2011, "Tail Behaviour of the Euro," Working Papers, Geary Institute, University College Dublin, number 200417, 07.
- Angelo Baglioni & Umberto Cherubini, 2011, "Marking-to-Market Government Guarantees to Financial Systems.Theory and Evidence for Europe," DISCE - Quaderni dell'Istituto di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number ief0103, Jul.