Report NEP-RMG-2007-03-10

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, RSS, or Mastodon.

Other reports in NEP-RMG

The following items were announced in this report:

• Vulpes, Giuseppe & Brasili, Andrea, 2006. "Banking integration and co-movements in EU banks’ fragility," MPRA Paper 1964, University Library of Munich, Germany.
• Item repec:hhs:bofrdp:2007_004 is not listed on IDEAS anymore

• C.J.M. Kool, 2006. "An Analysis of Financial Stability Indicators in European Banking: The Role of Common Factors," Working Papers 06-12, Utrecht School of Economics.
• Olmo, J., 2007. "An asset pricing model for mean-variance-downside-risk averse investors," Working Papers 07/01, Department of Economics, City University London.
• Norman Swanson & Geetesh Bhardwaj, 2006. "A Predictive Comparison of Some Simple Long Memory and Short Memory Models of Daily U.S. Stock Returns, With Emphasis on Business Cycle Effects," Departmental Working Papers 200613, Rutgers University, Department of Economics.
• Schotman, Peter C & Lutgens, Frank, 2007. "Robust Portfolio Optimisation with Multiple Experts," CEPR Discussion Papers 6161, C.E.P.R. Discussion Papers.
• Krätschmer, Volker, 2007. "On {sigma}-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model," SFB 649 Discussion Papers 2007-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Ladekarl, Jeppe & Ladekarl, Regitze & Andersen, Erik Brink & Vittas, Dimitri, 2007. "The use of derivatives to hedge embedded options : the case of pension institutions in Denmark," Policy Research Working Paper Series 4159, The World Bank.
• Schrimpf, Andreas & Schröder, Michael & Stehle, Richard, 2006. "Evaluating conditional asset pricing models for the German stock market," ZEW Discussion Papers 06-043, ZEW - Leibniz Centre for European Economic Research.