Report NEP-RMG-2012-01-18
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-RMG
The following items were announced in this report:
- Davide La Torre & Marco Maggis, 2012. "A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification," Papers 1201.1783, arXiv.org, revised Sep 2012.
- Marco Frittelli & Marco Maggis & Ilaria Peri, 2012. "Risk Measures on $\mathcal{P}(\mathbb{R})$ and Value At Risk with Probability/Loss function," Papers 1201.2257, arXiv.org, revised Sep 2012.
- Buncic, Daniel & Melecky, Martin, 2012. "Macroprudential stress testing of credit risk : a practical approach for policy makers," Policy Research Working Paper Series 5936, The World Bank.
- E. Bruyland & W. De Maeseneire, 2011. "The risk effects of acquiring distressed firms," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/742, Ghent University, Faculty of Economics and Business Administration.
- Item repec:ner:tilbur:urn:nbn:nl:ui:12-5241367 is not listed on IDEAS anymore
- Marco Frittelli & Marco Maggis, 2012. "Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type," Papers 1201.1788, arXiv.org, revised Sep 2012.
- Rania Hentati & Jean-Luc Prigent, 2012. "Structured portfolio analysis under SharpeOmega ratio," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00657327, HAL.
- Alvise De Col & Alessandro Gnoatto & Martino Grasselli, 2012. "Smiles all around: FX joint calibration in a multi-Heston model," Papers 1201.1782, arXiv.org, revised Jun 2013.
- Mynor Meza & Fernando L Delgado, 2011. "Developments in Financial Supervision and the Use of Macroprudential Measures in Central America," IMF Working Papers 11/299, International Monetary Fund.
- Paul Mizen & Serafeim Tsoukas, 2011. "Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model," Working Papers 2011_19, Business School - Economics, University of Glasgow.
- Andras Fulop & Junye Li & Jun Yu, 2012. "Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility," Working Papers 03-2012, Singapore Management University, School of Economics.
- Waikei R Lam & Kiichi Tokuoka, 2011. "Assessing the Risks to the Japanese Government Bond (JGB) Market," IMF Working Papers 11/292, International Monetary Fund.
- Bertrand Candelon & Rabah Arezki & Amadou N Sy, 2011. "Are there Spillover Effects From Munis?," IMF Working Papers 11/290, International Monetary Fund.