Report NEP-RMG-2009-03-28

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:

• McAleer, M.J., 2008. "The ten commandments for optimizing value-at-risk and daily capital charges," Econometric Institute Research Papers EI 2008-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2008. "A decision rule to minimize daily capital charges in forecasting value-at-risk," Econometric Institute Research Papers EI 2008-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Item repec:dgr:eureir:1765013050 is not listed on IDEAS anymore

• Henrik Andersen, 2009. "Norwegian banks in a recession: Procyclical implications of Basel II," Working Paper 2009/04, Norges Bank.
• Thorsell, Håkan, 2009. "Returns to Defaulted Corporate Bonds," SSE/EFI Working Paper Series in Business Administration 2009:7, Stockholm School of Economics.
• Tigran Poghosyan & Martin Cihak, 2009. "Distress in European Banks; An Analysis Basedon a New Dataset," IMF Working Papers 09/9, International Monetary Fund.
• de Walque, Gregory & Pierrard, Olivier & Rouabah, Abdelaziz, 2009. "Financial (In)stability, Supervision and Liquidity Injections: A Dynamic General Equilibrium Approach," CEPR Discussion Papers 7202, C.E.P.R. Discussion Papers.
• Henry Aray, 2008. "Effects of Macroeconomic Announcements on Stock Returns across Volatility Regimes," ThE Papers 08/17, Department of Economic Theory and Economic History of the University of Granada..
• Jodi G Scarlata & Juan Sole & Alicia Novoa, 2009. "Procyclicality and Fair Value Accounting," IMF Working Papers 09/39, International Monetary Fund.
• Raimond Maurer & Gyöngyi Bugár & Huy Thanh Vo, 2009. "Gauging Risk with Higher Moments: Handrails in Measuring and Optimising Conditional Value at Risk," Working Paper Series: Finance and Accounting 199, Department of Finance, Goethe University Frankfurt am Main.
• Michel Fliess & Cédric Join, 2009. "Towards new technical indicators for trading systems and risk management," Post-Print inria-00370168, HAL.