Report NEP-RMG-2011-07-27

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:

• John Cotter, 2011. "Varying the VaR for Unconditional and Conditional Environments," Working Papers 200419, Geary Institute, University College Dublin.
• Michael McAleer & Roberto Casarin & Chia-Lin Chang & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," KIER Working Papers 784, Kyoto University, Institute of Economic Research.
• Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Documentos de Trabajo del ICAE 2011-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• John Cotter & Jim Hanly, 2011. "Hedging Effectiveness under Conditions of Asymmetry," Working Papers 200843, Geary Institute, University College Dublin.
• John Cotter & Francois Longin, 2011. "Implied Correlation from VaR," Working Papers 200618, Geary Institute, University College Dublin.
• John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Working Papers 200418, Geary Institute, University College Dublin.
• John Cotter, 2011. "Tail Behaviour of the Euro," Working Papers 200417, Geary Institute, University College Dublin.
• Angelo Baglioni & Umberto Cherubini, 2011. "Marking-to-Market Government Guarantees to Financial Systems.Theory and Evidence for Europe," DISCE - Quaderni dell'Istituto di Economia e Finanza ief0103, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).