Report NEP-RMG-2009-12-05

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:

• Gregory de Walque & Olivier Pierrard & Abdelaziz Rouabah, 2008. "Financial (in)stability, supervision and liquidity injections: a dynamic general equilibrium approach," BCL working papers 35, Central Bank of Luxembourg.
• Steve Zymler & Daniel Kuhn & Berc Rustem, 2009. "Worst-Case Value-at-Risk of Non-Linear Portfolios," Working Papers 017, COMISEF.
• Sakaimbo, Nicholas K. & Pederson, Glenn D., 2009. "Assessing the Relationship between Probability of Default and Loss Given Default in an Agricultural Loan Portfolio," Staff Papers 55281, University of Minnesota, Department of Applied Economics.
• ?tefan Rychtárik, 2009. "Liquidity Scenario Analysis in the Luxembourg Banking Sector," BCL working papers 41, Central Bank of Luxembourg.
• Torro, Hipolit, 2009. "Assessing the influence of spot price predictability on electricity futures hedging," MPRA Paper 18892, University Library of Munich, Germany.
• Sébastien Laurent & Jeroen Rombouts & Francesco Violente, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," CIRANO Working Papers 2009s-45, CIRANO.