Printed from https://ideas.repec.org/n/nep-rmg/2012-06-25.html
Report NEP-RMG-2012-06-25
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:
- Iacob, Constanta & Zaharia, Stefan, 2012, "Risk management – a new priority system customs and its consequences," MPRA Paper, University Library of Munich, Germany, number 39352, Jun.
- Alexandros Gabrielsen & Paolo Zagaglia & Axel Kirchner & Zhuoshi Liu, 2012, "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Working Paper series, Rimini Centre for Economic Analysis, number 34_12, Jun.
- Mandal, Maitreyi & Lagerkvist, Carl Johan, 2012, "A Comparison of Traditional and Copula based VaR with Agricultural portfolio," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association, number 124387, DOI: 10.22004/ag.econ.124387.
- Mauricio Labadie & Charles-Albert Lehalle, 2012, "Optimal starting times, stopping times and risk measures for algorithmic trading," Working Papers, HAL, number hal-00705056, May.
- António Rua & Luís Catela Nunes, 2012, "A wavelet-based assessment of market risk: The emerging markets case," Working Papers, Banco de Portugal, Economics and Research Department, number w201203.
- Daniel Alai & Zinoviy Landsman & Michael Sherris, 2012, "Lifetime Dependence Modelling using the Truncated Multivariate Gamma Distribution," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201211, May.
- Item repec:hhs:bofitp:2012_012 is not listed on IDEAS anymore
- Vic Norton, 2012, "An algorithm for the orthogonal decomposition of financial return data," Papers, arXiv.org, number 1206.2333, Jun, revised Nov 2014.
- Joseph Tracy & Joshua Wright, 2012, "Payment changes and default risk: theimpact of refinancing on expected credit losses," Staff Reports, Federal Reserve Bank of New York, number 562.
- K. Milanov & O. Kounchev, 2012, "Binomial Tree Model for Convertible Bond Pricing within Equity to Credit Risk Framework," Papers, arXiv.org, number 1206.1400, Jun.
- Elena Veprauskaite & Michael Sherris, 2012, "An Analysis of Reinsurance Optimisation in Life," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201204, Mar.
- Daniel Heller & Nicholas Vause, 2012, "Collateral requirements for mandatory central clearing of over-the-counter derivatives," BIS Working Papers, Bank for International Settlements, number 373, Mar.
- Carlos González-Aguado & Enrique Moral-Benito, 2012, "Determinants of corporate default: a BMA approach," Working Papers, Banco de España, number 1221, Jun.
- Christian Calmès & Raymond Théoret, 2012, "The procyclicality of Basel III leverage: Elasticity-based indicators and the Kalman filter," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp012012, Jan.
- Christian Calmès & Raymond Théoret, 2012, "Bank systemic risk and the business cycle: Canadian and U.S. evidence," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp022012, Apr.
- Ahmedov, Zafarbek & Woodard, Joshua D., 2012, "Do RIN Mandates and Blender's Tax Credit Affect Blenders' Hedging Strategies?," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association, number 124980, DOI: 10.22004/ag.econ.124980.
- Elena Andreou & Eric Ghysels & Constantinos Kourouyiannis, 2012, "Robust volatility forecasts in the presence of structural breaks," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 08-2012, May.
- Dominique Guegan & Fatima Jouad, 2012, "Aggregation of Market Risks using Pair-Copulas," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00706689, May.
- Howard Kunreuther & Geoffrey Heal, 2012, "Managing Catastrophic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 18136, Jun.
- Fraser, Rob W., 2012, "Price Insurance, Moral Hazard and Agri-environmental Policy," 2012 Conference (56th), February 7-10, 2012, Fremantle, Australia, Australian Agricultural and Resource Economics Society, number 124305, DOI: 10.22004/ag.econ.124305.