Printed from https://ideas.repec.org/n/nep-rmg/2012-12-10.html
Report NEP-RMG-2012-12-10
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:
- Philippe Andrade & Eric Ghysels & Julien Idier., 2012, "Tails of Inflation Forecasts and Tales of Monetary Policy," Working papers, Banque de France, number 407.
- Tianyu Hao, 2012, "Optimal portfolio model based on WVAR," Papers, arXiv.org, number 1211.5628, Nov.
- Yoshiharu Maeno & Kenji Nishiguchi & Satoshi Morinaga & Hirokazu Matsushima, 2012, "Optimal portfolio for a robust financial system," Papers, arXiv.org, number 1211.5235, Nov, revised Feb 2013.
- Agnès Bénassy-Quéré & Guillaume Roussellet, 2012, "Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00755705, Nov.
- J. L. van Velsen, 2012, "Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling," Papers, arXiv.org, number 1212.0092, Dec.
- Fulli-Lemaire, Nicolas, 2012, "A Dynamic Inflation Hedging Trading Strategy Using a CPPI," MPRA Paper, University Library of Munich, Germany, number 42851, Jan, revised 13 Nov 2012.
- Avino, Davide & Lazar, Emese, 2012, "Rethinking Capital Structure Arbitrage," MPRA Paper, University Library of Munich, Germany, number 42850, Nov.
- Schuster, Philipp & Uhrig-Homburg, Marliese, 2012, "The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 45, DOI: 10.5445/IR/1000030964.
- Roxana Halbleib & Valeri Voev, 2012, "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2012-30, Oct.
- Sarah Meyer & Mark Trede, 2012, "Eliciting earnings risk from labor and capital income," Norface Discussion Paper Series, Norface Research Programme on Migration, Department of Economics, University College London, number 2012039, Nov.