Report NEP-RMG-2011-04-09

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:

• John Cotter & Kevin Dowd & Wyn Morgan, 2011. "Extreme Measures of Agricultural Financial Risk," Papers 1103.5962, arXiv.org.
• Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," KIER Working Papers 767, Kyoto University, Institute of Economic Research.
• John Cotter & Kevin Dowd, 2011. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," Papers 1103.5653, arXiv.org.
• john cotter & kevin dowd, 2011. "Estimating financial risk measures for futures positions: a non-parametric approach," Papers 1103.5666, arXiv.org.
• John Cotter, 2011. "Varying the VaR for Unconditional and Conditional Environments," Papers 1103.5649, arXiv.org.
• Kevin Dowd & John Cotter, 2011. "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," Papers 1103.5665, arXiv.org.
• John Cotter & Jim Hanly, 2011. "Hedging Effectiveness under Conditions of Asymmetry," Papers 1103.5411, arXiv.org.
• John Cotter & Kevin Dowd, 2011. "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," Papers 1103.5408, arXiv.org.
• Kevin Dowd & John Cotter, 2011. "Exponential Spectral Risk Measures," Papers 1103.5409, arXiv.org.
• john cotter, 2011. "Modelling catastrophic risk in international equity markets: An extreme value approach," Papers 1103.5656, arXiv.org.
• John Cotter & Jim Hanly, 2011. "Time Varying Risk Aversion: An Application to Energy Hedging," Papers 1103.5968, arXiv.org.
• Michiel Bijlsma & Sander Muns, 2011. "Systemic risk across sectors; Are banks different?," CPB Discussion Paper 175, CPB Netherlands Bureau for Economic Policy Analysis.
• John Cotter & Franc{c}ois Longin, 2011. "Implied correlation from VaR," Papers 1103.5655, arXiv.org.
• John Cotter, 2011. "Uncovering Long Memory in High Frequency UK Futures," Papers 1103.5651, arXiv.org.
• John Cotter, 2011. "Absolute Return Volatility," Papers 1103.5976, arXiv.org.
• Kevin Dowd & John Cotter & Ghulam Sorwar, 2011. "Spectral Risk Measures: Properties and Limitations," Papers 1103.5674, arXiv.org.
• kevin dowd & john cotter, 2011. "Spectral Risk Measures and the Choice of Risk Aversion Function," Papers 1103.5668, arXiv.org.
• John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Papers 1103.5416, arXiv.org.
• John Cotter & Simon Stevenson, 2011. "Modeling Long Memory in REITs," Papers 1103.5414, arXiv.org.
• John Cotter & Jim Hanly, 2011. "A Utility Based Approach to Energy Hedging," Papers 1103.5973, arXiv.org.
• Item repec:dgr:kubcen:2011031 is not listed on IDEAS anymore

• John Cotter, 2011. "Tail Behaviour of the Euro," Papers 1103.5418, arXiv.org.
• Item repec:ner:dauphi:urn:hdl:123456789/5385 is not listed on IDEAS anymore

• John Cotter & Simon Stevenson, 2011. "Multivariate Modeling of Daily REIT Volatility," Papers 1103.5660, arXiv.org.
• Item repec:dgr:kubcen:2011032 is not listed on IDEAS anymore

• John Cotter, 2011. "Scaling conditional tail probability and quantile estimators," Papers 1103.5965, arXiv.org.
• Item repec:hal:wpaper:hal-00580624 is not listed on IDEAS anymore

• Item repec:dgr:kubcen:2011013 is not listed on IDEAS anymore

• John Cotter & Jim Hanly, 2011. "Hedging: Scaling and the Investor Horizon," Papers 1103.5966, arXiv.org.
• john cotter & kevin dowd, 2011. "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," Papers 1103.5661, arXiv.org.
• John Cotter & Franc{c}ois Longin, 2011. "Margin setting with high-frequency data1," Papers 1103.5412, arXiv.org.
• John Cotter & Simon Stevenson, 2011. "Uncovering Volatility Dynamics in Daily REIT Returns," Papers 1103.5417, arXiv.org.
• Item repec:ner:dauphi:urn:hdl:123456789/5528 is not listed on IDEAS anymore

• Kevin Dowd & John Cotter & Chris Humphrey & Margaret Woods, 2011. "How Unlucky is 25-Sigma?," Papers 1103.5672, arXiv.org.