Printed from https://ideas.repec.org/n/nep-rmg/2011-12-13.html
Report NEP-RMG-2011-12-13
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:
- Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011, "The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting," MPRA Paper, University Library of Munich, Germany, number 35252, Oct.
- Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2011, "Risk measures for autocorrelated hedge fund returns," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 831, Nov.
- Puzanova, Natalia, 2011, "A hierarchical Archimedean copula for portfolio credit risk modelling," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2011,14.
- Janda, Karel & Vylezik, Tomas, 2011, "Financial Management of Weather Risk with Energy Derivatives," MPRA Paper, University Library of Munich, Germany, number 35037, Nov.
- Coskun, Yener & Kayacan, Murad, 2011, "Küresel Kriz ve Finansal Aracılarda Risk Yönetimi: Beyaz Sayfa Mı?
[Global Financial Crisis and Risk Management in Financial Intermediaries: Is It White Page?]," MPRA Paper, University Library of Munich, Germany, number 34910, Oct. - Graham Andersen & David Chisholm, 2011, "A Mathematical Method for Deriving the Relative Effect of Serviceability on Default Risk," Papers, arXiv.org, number 1111.5397, Nov.
- Nielsen, Caren Yinxia, 2011, "Hidden in the Factors? The Effect of Credit Risk on the Cross-section of Equity Returns," Working Papers, Lund University, Department of Economics, number 2011:38, Nov, revised 01 Oct 2016.
- Guglielmo D'Amico & Raimondo Manca & Giovanni Salvi, 2011, "Bivariate Semi-Markov Process for Counterparty Credit Risk," Papers, arXiv.org, number 1112.0226, Dec, revised Oct 2012.
- Kelly, Robert, 2011, "The Good, The Bad and The Impaired - A Credit Risk Model of the Irish Mortgage Market," Research Technical Papers, Central Bank of Ireland, number 13/RT/11, Nov.
- Dicembrino, Claudio & Scandizzo, Pasquale Lucio, 2011, "Can portfolio diversification increase systemic risk? evidence from the U.S and European mutual funds market," MPRA Paper, University Library of Munich, Germany, number 33715, Nov.
- John Geanakoplos & Lasse H. Pedersen, 2011, "Monitoring Leverage," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1838, Dec.
- Jarko Fidrmuc & Pavel Ciaian & d'Artis Kancs & Jan Pokrivcak, 2011, "Credit Constraints, Heterogeneous Firms and Loan Defaults," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2011_17, Nov.
- Emmanuel A. Abbe & Amir E. Khandani & Andrew W. Lo, 2011, "Privacy-Preserving Methods for Sharing Financial Risk Exposures," Papers, arXiv.org, number 1111.5228, Nov, revised Nov 2011.
- Liu, Xiaochun & Jacobsen, Brian, 2011, "The Dynamic International Optimal Hedge Ratio," MPRA Paper, University Library of Munich, Germany, number 35260, Feb.
- Robert A. Jones & Mohammad Zanganeh, 2011, "Estimation of Equicorrelated Diffusions from Incomplete Data," Discussion Papers, Department of Economics, Simon Fraser University, number dp11-03, Oct.
- Dominique Guegan & Pierre-André Maugis, 2011, "An econometric Study for Vine Copulas," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00645799.
- Aslanidis, Nektarios & Christiansen, Charlotte, 2011, "Quantiles of the Realized Stock-Bond Correlation," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/151809.
- Giulio Bottazzi & Marco Grazzi & Angelo Secchi & Federico Tamagni, 2011, "Financial and Economic Determinants of Firm Default," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00642699.
- Zagonov, Maxim, 2011, "Securitization and bank intermediation function," MPRA Paper, University Library of Munich, Germany, number 34961, Sep, revised Sep 2011.
- Takatoshi ITO & Satoshi KOIBUCHI & Kiyotaka SATO & Junko SHIMIZU, 2011, "Invoice Currency Choice and Exchange Rate Risk Management in Japanese Firms' Trade Network: "RIETI Survey on Japanese Overseas Subsidiaries 2010" (Japanese)," Discussion Papers (Japanese), Research Institute of Economy, Trade and Industry (RIETI), number 11070, Nov.