Report NEP-RMG-2007-07-13

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:

• Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2007. "Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation," MPRA Paper 3963, University Library of Munich, Germany.
• Schmidt, Rafael & Schmieder, Christian, 2007. "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Discussion Paper Series 2: Banking and Financial Studies 2007,07, Deutsche Bundesbank.
• Lanne, Markku & Luoto, Jani, 2007. "Robustness of the Risk-Return Relationship in the U.S. Stock Market," MPRA Paper 3879, University Library of Munich, Germany.
• Prabhath Jayasinghe & Albert K. Tsui, 2007. "Exchange Rate Exposure of Sectoral Returns and Volatilities: Evidence from Japanese Industrial Sectors," SCAPE Policy Research Working Paper Series 0710, National University of Singapore, Department of Economics, SCAPE.
• Nataliya Fedorenko & Dorothea Schäfer & Oleksandr Talavera, 2007. "The Effects of the Bank-Internal Ratings on the Loan Maturity," Discussion Papers of DIW Berlin 704, DIW Berlin, German Institute for Economic Research.
• Joshua Rauh, 2007. "Risk Shifting versus Risk Management: Investment Policy in Corporate Pension Plans," NBER Working Papers 13240, National Bureau of Economic Research, Inc.
• Prat, Andrea & Dasgupta, Amil & Verardo, Michela, 2007. "Institutional Trade Persistence and Long-Term Equity Returns," CEPR Discussion Papers 6374, C.E.P.R. Discussion Papers.
• Item repec:hal:papers:halshs-00159846_v1 is not listed on IDEAS anymore