Report NEP-RMG-2011-05-30

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:

• Düllmann, Klaus & Puzanova, Natalia, 2011. "Systemic risk contributions: a credit portfolio approach," Discussion Paper Series 2: Banking and Financial Studies 2011,08, Deutsche Bundesbank.
• Ricardo Schechtman & Wagner Piazza Gaglianone, 2011. "Macro Stress Testing of Credit Risk Focused on the Tails," Working Papers Series 241, Central Bank of Brazil, Research Department.
• Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers 775, Kyoto University, Institute of Economic Research.
• Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics 29, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Geurdes, Han / J. F., 2011. "On the mathematical form of CVA in Basel III," MPRA Paper 30955, University Library of Munich, Germany.
• Maarten R.C. van Oordt & Chen Zhou, 2011. "The simple econometrics of tail dependence," DNB Working Papers 296, Netherlands Central Bank, Research Department.
• Basak, Suleyman & Chabakauri, Georgy, 2011. "Dynamic Hedging in Incomplete Markets: A Simple Solution," CEPR Discussion Papers 8402, C.E.P.R. Discussion Papers.
• Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Racheva-Iotova, Boryana & Fabozzi, Frank J., 2011. "Fat-tailed models for risk estimation," Working Paper Series in Economics 30, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Helder Ferreira de Mendonça & Délio José Cordeiro Galvão & Renato Falci Villela Loures, 2011. "Economic Activity and Financial Institutional Risk: an empirical analysis for the Brazilian banking industry," Working Papers Series 243, Central Bank of Brazil, Research Department.
• Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2011. "Portfolio selection problems in practice: a comparison between linear and quadratic optimization models," Papers 1105.3594, arXiv.org.
• Xiaohong Chen, 2011. "Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review," Cowles Foundation Discussion Papers 1804, Cowles Foundation for Research in Economics, Yale University.
• Gaurab Aryal & Isabelle Perrigne & Quang Vuong, 2011. "Identification of Insurance Models with Multidimensional Screening," ANU Working Papers in Economics and Econometrics 2011-538, Australian National University, College of Business and Economics, School of Economics.