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Report NEP-RMG-2011-11-14
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:
- Dominique Guegan & Wayne Tarrant, 2011, "Viewing risk measures as information," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11054, Aug.
- Damiano Brigo, 2011, "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers, arXiv.org, number 1111.1331, Nov, 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, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11057, Sep.
- Areski Cousin & Elena Di Bernadino, 2013, "On Multivariate Extensions of Value-at-Risk," Working Papers, HAL, number hal-00638382, Apr.
- Chia-Lin Chang & Juan-à ngel Jiménez-MartÃn & Michael McAleer & Teodosio Pérez-Amaral, 2011, "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers, Kyoto University, Institute of Economic Research, number 795, Nov.
- 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, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11053, Sep.
- Miryana Grigorova, 2011, "Stochastic dominance with respect to a capacity and risk measures," Working Papers, HAL, number hal-00639667, Nov.
- Manganelli, Simone & Altunbas, Yener & Marqués-Ibáñez, David, 2011, "Bank risk during the financial crisis: do business models matter?," Working Paper Series, European Central Bank, number 1394, Nov.
- Viral V. Acharya, 2011, "A Transparency Standard for Derivatives," NBER Working Papers, National Bureau of Economic Research, Inc, number 17558, Nov.
- Luis García-Álvarez & Richard Luger, 2011, "Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis," Working Papers, CEMFI, number wp2011_1103, Apr, revised Sep 2011.
- Julien Idier. & Lam , G. & Jean-Stéphane Mésonnier, 2011, "How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment," Working papers, Banque de France, number 348.
- Noureddine El Karoui & Andrew E. B. Lim & Gah-Yi Vahn, 2011, "Performance-based regularization in mean-CVaR portfolio optimization," Papers, arXiv.org, number 1111.2091, Nov, revised Mar 2012.
- Ke Du & Eckhard Platen, 2011, "Three-Benchmarked Risk Minimization for Jump Diffusion Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 296, Aug.
- Finke, Michael & Pfau, Wade Donald & Williams, Duncan, 2011, "Spending flexibility and safe withdrawal rates," MPRA Paper, University Library of Munich, Germany, number 34536, Nov.
- Timothy Bianco & Ryan Eiben & Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong & Jing Wang, 2011, "SAFE: An early warning system for systemic banking risk," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1129.
- Geetesh Bhardwaj & Rajdeep Sengupta, 2011, "Credit scoring and loan default," Working Papers, Federal Reserve Bank of St. Louis, number 2011-040, DOI: 10.20955/wp.2011.040.
- Ravi Bansal & Marcelo Ochoa, 2011, "Temperature, Aggregate Risk, and Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 17575, Nov.