Report NEP-RMG-2010-11-27

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:

• Benavides Guillermo, 2010. "Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective," Working Papers 2010-12, Banco de México.
• Matti Koivu & Teemu Pennanen, 2010. "Reduced form models of bond portfolios," Papers 1011.3246, arXiv.org.
• Damiano Brigo & Massimo Morini, 2010. "Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions," Papers 1011.3355, arXiv.org.
• Item repec:brd:wpaper:4 is not listed on IDEAS anymore

• Rapisarda, Grazia & Echeverry, David, 2010. "A Non-parametric Approach to Incorporating Incomplete Workouts Into Loss Given Default Estimates," MPRA Paper 26797, University Library of Munich, Germany, revised 16 Nov 2010.
• Ramosaj, Berim, 2010. "Challenges to Solvency II Reform in Insurance Industry," MPRA Paper 26739, University Library of Munich, Germany.
• Yuhong Xu, 2010. "Multidimensional dynamic risk measure via conditional g-expectation," Papers 1011.3685, arXiv.org, revised Mar 2012.
• Dion Harmon & Blake Stacey & Yavni Bar-Yam & Yaneer Bar-Yam, 2010. "Networks of Economic Market Interdependence and Systemic Risk," Papers 1011.3707, arXiv.org, revised Nov 2010.
• Manabu Asai & Michael McAleer, 2010. "Alternative Asymmetric Stochastic Volatility Models," Working Papers in Economics 10/70, University of Canterbury, Department of Economics and Finance.