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Report NEP-RMG-2012-10-20
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:
- Carlos Castro & Stijn Ferrari, 2012, "Measuring and testing for the systemically important financial institutions," Working Paper Research, National Bank of Belgium, number 228, Oct.
- Zhiguo He & Arvind Krishnamurthy, 2012, "A macroeconomic framework for quantifying systemic risk," Working Paper Research, National Bank of Belgium, number 233, Oct.
- Francesca Biagini & Alessandra Cretarola & Eckhard Platen, 2012, "Local Risk-Minimization under the Benchmark Approach," Papers, arXiv.org, number 1210.2337, Oct.
- Bielecki, Tomasz R. & Cousin, Areski & Crépey, Stéphane & Herbertsson, Alexander, 2011, "Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model (Previous title: Dynamic Modeling of Portfolio Credit Risk with Common Shocks)," Working Papers in Economics, University of Gothenburg, Department of Economics, number 502, May, revised 12 Oct 2012.
- Item repec:hum:wpaper:sfb649dp2012-060 is not listed on IDEAS anymore
- Valerie De Bruyckere & Maria Gerhardt & Glenn Schepens & Rudi Vander Vennet, 2012, "Bank/sovereign risk spillovers in the European debt crisis," Working Paper Research, National Bank of Belgium, number 232, Oct.
- Hau, Harald & , & Langfield, Sam, 2012, "Bank ratings: What determines their quality?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9171, Oct.
- Jason M. DeBacker & Bradley T. Heim & Vasia Panousi & Shanthi Ramnath & Ivan Vidangos, 2012, "The properties of income risk in privately held businesses," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-69.
- Hans Dewachter & Raf Wouters, 2012, "Endogenous risk in a DSGE model with capital-constrained financial intermediaries," Working Paper Research, National Bank of Belgium, number 235, Oct.
- Delphine Lautier & Franck Raynaud, 2012, "Systemic risk in energy derivative markets: a graph theory analysis," Post-Print, HAL, number halshs-00738201.
- Abdul Razaque & Christian Bach & Nyembo salama & Aziz Alotaibi, 2012, "Fostering Project Scheduling and Controlling Risk Management," Papers, arXiv.org, number 1210.2021, Oct.
- Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Michel Terraza, 2012, "Fuzzy risk adjusted performance measures: application to Hedge funds," Working Papers, LAMETA, Universtiy of Montpellier, number 12-24, Sep, revised Sep 2012.
- Cesar Sosa-Padilla, 2012, "Sovereign Defaults and Banking Crises," Department of Economics Working Papers, McMaster University, number 2012-09, Sep, revised Aug 2015.
- Item repec:fip:feddop:1 is not listed on IDEAS anymore
- Jean Pinquet, 2012, "Experience rating in non-life insurance," Working Papers, HAL, number hal-00677100, Mar.
- Item repec:ehu:dfaeii:8767 is not listed on IDEAS anymore
- Lina Escobar Rangel & François Lévêque, 2012, "How did Fukushima-Daiichi core meltdown change the probability of nuclear accidents?," Working Papers, HAL, number hal-00740684, Oct.
- Lóránth, Gyöngyi & Castiglionesi, Fabio & Feriozzi, Fabio, 2012, "Liquidity Coinsurance and Bank Capital," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9162, Oct.
- Kris Boudt & Jon Danielsson & Siem Jan Koopman & Andre Lucas, 2012, "Regime switches in the volatility and correlation of financial institutions," Working Paper Research, National Bank of Belgium, number 227, Oct.
- Gürtler, M. & Hibbeln, M. & Winkelvos, C., 2012, "The impact of the financial crisis and natural catastrophes on CAT bonds," Working Papers, Technische Universität Braunschweig, Institute of Finance, number IF40V1.
- Bozic, Marin & Newton, John & Thraen, Cameron S. & Gould, Brian W., 2012, "Parametric Bootstrap Tests for Futures Price and Implied Volatility Biases with Application to Rating Livestock Margin Insurance for Dairy Cattle," Staff Papers, University of Minnesota, Department of Applied Economics, number 135077, Oct, DOI: 10.22004/ag.econ.135077.
- Tiexin Guo & Shien Zhao & Xiaolin Zeng, 2012, "On random convex analysis -- the analytic foundation of the module approach to conditional risk measures," Papers, arXiv.org, number 1210.1848, Oct, revised Mar 2013.
- Imre Kondor & Istv'an Csabai & G'abor Papp & Enys Mones & G'abor Czimbalmos & M'at'e Csaba S'andor, 2012, "Strong random correlations in networks of heterogeneous agents," Papers, arXiv.org, number 1210.3324, Oct, revised Feb 2014.
- Lönnbark, Carl, 2012, "Occurrence of long and short term asymmetry in stock market volatilities," Umeå Economic Studies, Umeå University, Department of Economics, number 848, Oct.
- Lönnbark, Carl, 2012, "Asymmetry with respect to the memory in stock market volatilities," Umeå Economic Studies, Umeå University, Department of Economics, number 849, Oct.