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Report NEP-RMG-2005-12-09
This 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.Subscribe to this report: email or RSS Other reports in NEP-RMG
The following items were anounced in this report:
Casper G. de Vries & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005.
"Comparing Downside Risk Measures for Heavy Tailed Distributions FMG Discussion Papers
dp551, Financial Markets Group.
[Downloadable!] (restricted) Pesaran, M Hashem & Zaffaroni, Paolo, 2005.
"Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management CEPR Discussion Papers
5279, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Viviana Fernández, 2005.
"The International CAPM and a wavelet-based decomposition of Value at Risk Documentos de Trabajo
203, Centro de Economía Aplicada, Universidad de Chile.
[Downloadable!] Martina Nardon, 2005.
"Valuing defaultable bonds: an excursion time approach Finance
0511015, EconWPA.
[Downloadable!] Michael McAleer & Riaz Shareef & Bernardo da Veiga, 2005.
"Risk Management of Daily Tourist Tax Revenues for the Maldives Working Papers
2005.137, Fondazione Eni Enrico Mattei.
[Downloadable!] Andrew Ang & Joseph Chen & Yuhang Xing, 2005.
"Downside Risk NBER Working Papers
11824, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Marta Cardin & Graziella Pacelli, 2005.
"On characterization of a class of convex operators for pricing insurance risks Game Theory and Information
0511011, EconWPA.
[Downloadable!] Casper G. de Vries & Gennady Samorodnitsky & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005.
"Subadditivity Re–Examined: the Case for Value-at-Risk FMG Discussion Papers
dp549, Financial Markets Group.
[Downloadable!] (restricted) Gaspar, Raquel M. & Schmidt, Thorsten, 2005.
"Quadratic Portfolio Credit Risk models with Shot-noise Effects Working Paper Series in Economics and Finance
616, Stockholm School of Economics.
[Downloadable!] This page was last updated on 2009-11-8.
IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .