Report NEP-RMG-2011-11-14This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.
The following items were announced in this report:
- Dominique Guegan & Wayne Tarrant, 2011. "Viewing risk measures as information," Documents de travail du Centre d'Economie de la Sorbonne 11054, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
- Dominique Guegan & Bertrand K. Hassani, 2011. "A mathematical resurgence of risk management: an extreme modeling of expert opinions," Documents de travail du Centre d'Economie de la Sorbonne 11057, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Areski Cousin & Elena Di Bernadino, 2013. "On Multivariate Extensions of Value-at-Risk," Working Papers hal-00638382, HAL.
- Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers 795, Kyoto University, Institute of Economic Research.
- Dominique Guegan & Bertrand K. Hassani, 2011. "Operational risk: a Basel II++ step before Basel III," Documents de travail du Centre d'Economie de la Sorbonne 11053, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Miryana Grigorova, 2011. "Stochastic dominance with respect to a capacity and risk measures," Working Papers hal-00639667, HAL.
- Manganelli, Simone & Altunbas, Yener & Marqués-Ibáñez, David, 2011. "Bank risk during the financial crisis: do business models matter?," Working Paper Series 1394, European Central Bank.
- Viral V. Acharya, 2011. "A Transparency Standard for Derivatives," NBER Working Papers 17558, National Bureau of Economic Research, Inc.
- Luis García-Álvarez & Richard Luger, 2011. "Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis," Working Papers wp2011_1103, CEMFI, revised Sep 2011.
- Idier, J. & Lamé, G. & Mésonnier, J S., 2011. "How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment," Working papers 348, Banque de France.
- Noureddine El Karoui & Andrew E. B. Lim & Gah-Yi Vahn, 2011. "Performance-based regularization in mean-CVaR portfolio optimization," Papers 1111.2091, arXiv.org, revised Mar 2012.
- Ke Du & Eckhard Platen, 2011. "Three-Benchmarked Risk Minimization for Jump Diffusion Markets," Research Paper Series 296, Quantitative Finance Research Centre, University of Technology, Sydney.
- Finke, Michael & Pfau, Wade Donald & Williams, Duncan, 2011. "Spending flexibility and safe withdrawal rates," MPRA Paper 34536, University Library of Munich, Germany.
- Mikhail V. Oet & Ryan Eiben & Timothy Bianco & Dieter Gramlich & Stephen J. Ong & Jing Wang, 2011. "SAFE: An early warning system for systemic banking risk," Working Paper 1129, Federal Reserve Bank of Cleveland.
- Geetesh Bhardwaj & Rajdeep Sengupta, 2011. "Credit scoring and loan default," Working Papers 2011-040, Federal Reserve Bank of St. Louis.
- Ravi Bansal & Marcelo Ochoa, 2011. "Temperature, Aggregate Risk, and Expected Returns," NBER Working Papers 17575, National Bureau of Economic Research, Inc.