Report NEP-RMG-2011-07-02

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, 2011. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," Working Papers 200516, Geary Institute, University College Dublin.
• John Cotter & Jim Hanly, 2011. "Re-evaluating Hedging Performance," Working Papers 200518, Geary Institute, University College Dublin.
• John Cotter & Kevin Dowd, 2011. "Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach," Working Papers 200613, Geary Institute, University College Dublin.
• John Cotter & Kevin Dowd, 2011. "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," Working Papers 200616, Geary Institute, University College Dublin.
• Lidia Sanchis-Marco & Antonio Rubia Serrano, 2011. "On downside risk predictability through liquidity and trading activity: a quantile regression approach," Working Papers. Serie AD 2011-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
• John Cotter, 2011. "Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach," Working Papers 200515, Geary Institute, University College Dublin.
• Matthieu Chauvigny & Laurent Devineau & Stéphane Loisel & Véronique Maume-Deschamps, 2011. "Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management," Post-Print hal-00517766, HAL.
• John Cotter & Francois Longin, 2011. "Margin Requirements with Intraday Dynamics," Working Papers 200519, Geary Institute, University College Dublin.
• Kevin Dowd & John Cotter, 2011. "Intra-Day Seasonality in Foreign Market Transactions," Working Papers 200746, Geary Institute, University College Dublin.
• John Cotter & Kevin Dowd, 2011. "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," Working Papers 200743, Geary Institute, University College Dublin.
• Carlos Castro & Stijn Ferrari, 2011. "Measuring and testing for the systemically important financial institutions," Documentos de Trabajo 8779, Universidad del Rosario.
• John Cotter, 2011. "Modelling Long Memory in REITs," Working Papers 200614, Geary Institute, University College Dublin.
• Mario Genco, 2011. "Studio di un indicatore per la valutazione del rischio delprogetto nella metodologia dell’analisi costi benefici - Proposed risk indicators in the cost-benefit analisys methodology," Working Papers 201102, CSIL Centre for Industrial Studies.
• John Cotter & Simon Stevenson, 2011. "Multivariate Modelling of Daily REIT Volatility," Working Papers 200517, Geary Institute, University College Dublin.
• Tao Sun, 2011. "Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-Financial Linkages Framework," IMF Working Papers 11/111, International Monetary Fund.
• Ojo, Marianne, 2011. "Successfully implementing major financial stability regulatory reforms: the risk weighting based controversy (Basel v Dodd Frank) and the role of national supervisors," MPRA Paper 31777, University Library of Munich, Germany.
• David Blake & John Cotter & Kevin Dowd, 2011. "Financial Risks and the Pension Protection Fund:Can It Survive Them?," Working Papers 200615, Geary Institute, University College Dublin.