Report NEP-RMG-2012-05-29This 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:
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
- Brahim Brahimi, 2012. "Involving copula functions in Conditional Tail Expectation," Papers 1205.4345, arXiv.org, revised Apr 2014.
- Zvezdov, Ivelin, 2012. "Insurance portfolio risk aggregation and solvency capital computation with mathematical copula techniques," MPRA Paper 38953, University Library of Munich, Germany.
- Item repec:hal:wpaper:halshs-00662513 is not listed on IDEAS anymore
- Item repec:hal:wpaper:hal-00657327 is not listed on IDEAS anymore
- Zvezdov, Ivelin, 2012. "Rational and mechanics of a peak risk variance swap for a property insurance portfolio," MPRA Paper 38954, University Library of Munich, Germany.
- Raffaella Calabrese & Francesco Porro, 2012. "Single-name concentration risk in credit portfolios: a comparison of concentration indices," Working Papers 201214, Geary Institute, University College Dublin.
- Matthias R. Fengler & Ostap Okhrin, 2012. "Realized Copula," SFB 649 Discussion Papers SFB649DP2012-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Govori, Arbiana, 2012. "Measuring and managing the impact of risk on organizations: The Case of Kosovo," MPRA Paper 38975, University Library of Munich, Germany, revised 22 May 2012.
- Riccardo De Bonis & Matteo Piazza & Roberto Tedeschi, 2012. "The perverse effect of government credit subsidies on banking risk," Mo.Fi.R. Working Papers 68, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
- Mohamed Azzim Gulamhussen & Carlos Pinheiro & Alberto Franco Pozzolo, 2012. "Were multinational banks taking excessive risks before the recent financial crisis?," Mo.Fi.R. Working Papers 69, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
- Distinguin, Isabelle & Hasan, Iftekhar & Tarazi , Amine, 2012. "Predicting rating changes for banks: How accurate are accounting and stock market indicators?," Research Discussion Papers 15/2012, .
- Michele Leonardo Bianchi & Agostino Chiabrera, 2012. "Italian real estate investment funds: market structure and risk measurement," Questioni di Economia e Finanza (Occasional Papers) 120, Bank of Italy, Economic Research and International Relations Area.
- Viscusi, Kip W. & Zeckhauser, Richard Jay, 2011. "Addressing Catastrophic Risks: Disparate Anatomies Require Tailored Therapies," Scholarly Articles 5688700, Harvard Kennedy School of Government.