Report NEP-RMG-2012-04-17

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.

Other reports in NEP-RMG

The following items were announced in this report:

• Gunnar Grass, 2012. "Model Implied Credit Spreads," Cahiers de recherche 1219, CIRPEE.
• Volker Kratschmer & Alexander Schied & Henryk Zahle, 2012. "Comparative and qualitative robustness for law-invariant risk measures," Papers 1204.2458, arXiv.org, revised Jan 2014.
• Carl Chiarella & Chi-Fai Lo & Ming Xi Huang, 2012. "Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios," Research Paper Series 304, Quantitative Finance Research Centre, University of Technology, Sydney.
• Michael McAleer & Manabu Asai & Massimiliano Caporin, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," KIER Working Papers 812, Kyoto University, Institute of Economic Research.
• Frank Schmielewski & Thomas Wein, 2012. "Are private banks the better banks? An insight into the principal-agent structure and risk-taking behavior of German banks," Working Paper Series in Economics 236, University of Lüneburg, Institute of Economics.
• Jacky Mallett, 2012. "Description of the Operational Mechanics of a Basel Regulated Banking System," Papers 1204.1583, arXiv.org.