Report NEP-RMG-2012-03-14

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:

• Dubecq, S. & Gourieroux, C., 2012. "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working papers 368, Banque de France.
• Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Documentos de Trabajo del ICAE 2012-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Luo Ping, 2011. "The Current State of the Financial Sector and the Regulatory Framework in Asian Economies—The Case of the People’s Republic of China," Finance Working Papers 23226, East Asian Bureau of Economic Research.
• Santanu Dey & Sandeep Juneja, 2012. "Incorporating fat tails in financial models using entropic divergence measures," Papers 1203.0643, arXiv.org.
• Jeroen Rombouts & Lars Stentoft & Francesco Violente, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options," CIRANO Working Papers 2012s-05, CIRANO.
• Carfì, David & Musolino, Francesco, 2012. "A coopetitive approach to financial markets stabilization and risk management," MPRA Paper 37098, University Library of Munich, Germany.
• Herz, Christian & Neunert, Daniela & Will, Sebastian & Wolf, Niko J. & Zwick, Tobias, 2012. "Portfolioallokation: Einbezug verschiedener Assetklassen," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-01, University of Bayreuth, Chair of Finance and Banking.
• Raffaella Calabrese, 2012. "Improving Classifier Performance Assessment of Credit Scoring Models," Working Papers 201204, Geary Institute, University College Dublin.