Report NEP-RMG-2013-01-26This 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:
- Afrasiab Mirza, 2012. "Dynamic Prudential Regulation," Discussion Papers 12-13, Department of Economics, University of Birmingham.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
- Frank Riedel & Tobias Hellmann, 2013. "The Foster-Hart Measure of Riskiness for General Gambles," Working Papers 474, Bielefeld University, Center for Mathematical Economics.
- Thomas Breuer & Imre Csiszar, 2013. "Measuring Model Risk," Papers 1301.4832, arXiv.org.
- Audrone Virbickaite & M. Concepci\'on Aus\'in & Pedro Galeano, 2013. "A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection," Papers 1301.5129, arXiv.org, revised Jan 2014.
- Item repec:dgr:uvatin:20130021 is not listed on IDEAS anymore
- Item repec:dgr:uvatin:20130020 is not listed on IDEAS anymore
- René Garcia & Daniel Mantilla-Garcia & Lionel Martellini, 2013. "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," CIRANO Working Papers 2013s-01, CIRANO.
- Item repec:dgr:uvatin:20130022 is not listed on IDEAS anymore
- Item repec:dgr:uvatin:20130013 is not listed on IDEAS anymore
- Fulbert, Tchana Tchana & Georges, Tsafack, 2013. "The Implications of VaR and Short-Selling Restrictions on the Portfolio Manager Performance," MPRA Paper 43797, University Library of Munich, Germany.
- Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013. "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper 43862, University Library of Munich, Germany.