Report NEP-RMG-2013-06-04This 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:
- Terje Lensberg & Klaus Reiner Schenk-Hopp\'e, 2013. "Hedging without sweat: a genetic programming approach," Papers 1305.6762, arXiv.org.
- Item repec:dgr:uvatin:2013073 is not listed on IDEAS anymore
- Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Center for Research in Economics and Statistics.
- Xiao Qin & Chen Zhou, 2013. "Systemic Risk Allocation for Systems with A Small Number of Banks," DNB Working Papers 378, Netherlands Central Bank, Research Department.
- Item repec:dgr:uvatin:2013070 is not listed on IDEAS anymore
- Xiao, Tim, 2013. "An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk," MPRA Paper 47104, University Library of Munich, Germany.
- Taiane S. Prass & S\'ilvia R. C. Lopes, 2013. "Risk Measure Estimation On Fiegarch Processes," Papers 1305.5238, arXiv.org.
- Xiao, Tim, 2013. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," MPRA Paper 47136, University Library of Munich, Germany.
- PIERRET, Diane, 2013. "The systemic risk of energy markets," CORE Discussion Papers 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- David Ardia & Lennart F. Hoogerheide, 2013. "Worldwide equity Risk Prediction," Cahiers de recherche 1312, CIRPEE.
- Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012. "Survival of Hedge Funds : Frailty vs Contagion," Working Papers 2012-36, Center for Research in Economics and Statistics.
- Attilio Meucci & David Ardia & Simon Keel, 2013. "Fully Flexible Views in Multivariate Normal Markets," Cahiers de recherche 1311, CIRPEE.
- Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2013. "Pricing Default Events : Surprise, Exogeneity and Contagion," Working Papers 2013-03, Center for Research in Economics and Statistics.