Report NEP-RMG-2005-11-19

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Marno Verbeek & Jeroen VK Rombouts, 2005. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Computing in Economics and Finance 2005 40, Society for Computational Economics.
• Mattia Ciprian & Stefano d'Addona, 2005. "Time Varying Sensitivities on a GRID architecture," Finance 0511007, University Library of Munich, Germany.
• Guenter Franke & Jan Pieter Krahnen, 2005. "Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations," NBER Working Papers 11741, National Bureau of Economic Research, Inc.
• Detlefsen, Kai & Scandolo, Giacomo, 2005. "Conditional and dynamic convex risk measures," SFB 649 Discussion Papers 2005-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Dr. Brian J. Jacobsen, 2005. "The Use of Downside Risk Measures in Portfolio Construction and Evaluation," Computing in Economics and Finance 2005 5, Society for Computational Economics.
• Jiali Liao & Theodore V. Theodosopoulos, 2005. "Optimal Timing of Mark-to-Market for Contingent Credit Risk Control," Computing in Economics and Finance 2005 220, Society for Computational Economics.
• Ritirupa Samanta & Blake LeBaron, 2005. "Extreme Value Theory and Fat Tails in Equity Markets," Computing in Economics and Finance 2005 140, Society for Computational Economics.