Report NEP-RMG-2012-06-25

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:

• Iacob, Constanta & Zaharia, Stefan, 2012. "Risk management – a new priority system customs and its consequences," MPRA Paper 39352, University Library of Munich, Germany.
• Alexandros Gabrielsen & Paolo Zagaglia & Axel Kirchner & Zhuoshi Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Working Paper series 34_12, Rimini Centre for Economic Analysis.
• Mandal, Maitreyi & Lagerkvist, Carl Johan, 2012. "A Comparison of Traditional and Copula based VaR with Agricultural portfolio," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124387, Agricultural and Applied Economics Association.
• Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading," Working Papers hal-00705056, HAL.
• António Rua & Luís Catela Nunes, 2012. "A wavelet-based assessment of market risk: The emerging markets case," Working Papers w201203, Banco de Portugal, Economics and Research Department.
• Daniel Alai & Zinoviy Landsman & Michael Sherris, 2012. "Lifetime Dependence Modelling using the Truncated Multivariate Gamma Distribution," Working Papers 201211, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
• Item repec:hhs:bofitp:2012_012 is not listed on IDEAS anymore

• Vic Norton, 2012. "An algorithm for the orthogonal decomposition of financial return data," Papers 1206.2333, arXiv.org, revised Nov 2014.
• Joseph Tracy & Joshua Wright, 2012. "Payment changes and default risk: theimpact of refinancing on expected credit losses," Staff Reports 562, Federal Reserve Bank of New York.
• K. Milanov & O. Kounchev, 2012. "Binomial Tree Model for Convertible Bond Pricing within Equity to Credit Risk Framework," Papers 1206.1400, arXiv.org.
• Elena Veprauskaite & Michael Sherris, 2012. "An Analysis of Reinsurance Optimisation in Life," Working Papers 201204, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
• Daniel Heller & Nicholas Vause, 2012. "Collateral requirements for mandatory central clearing of over-the-counter derivatives," BIS Working Papers 373, Bank for International Settlements.
• Carlos González-Aguado & Enrique Moral-Benito, 2012. "Determinants of corporate default: a BMA approach," Working Papers 1221, Banco de España.
• Christian Calmès & Raymond Théoret, 2012. "The procyclicality of Basel III leverage: Elasticity-based indicators and the Kalman filter," RePAd Working Paper Series UQO-DSA-wp012012, Département des sciences administratives, UQO.
• Christian Calmès & Raymond Théoret, 2012. "Bank systemic risk and the business cycle: Canadian and U.S. evidence," RePAd Working Paper Series UQO-DSA-wp022012, Département des sciences administratives, UQO.
• Ahmedov, Zafarbek & Woodard, Joshua D., 2012. "Do RIN Mandates and Blender's Tax Credit Affect Blenders' Hedging Strategies?," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124980, Agricultural and Applied Economics Association.
• Elena Andreou & Eric Ghysels & Constantinos Kourouyiannis, 2012. "Robust volatility forecasts in the presence of structural breaks," University of Cyprus Working Papers in Economics 08-2012, University of Cyprus Department of Economics.
• Dominique Guegan & Fatima Jouad, 2012. "Aggregation of Market Risks using Pair-Copulas," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00706689, HAL.
• Howard Kunreuther & Geoffrey Heal, 2012. "Managing Catastrophic Risk," NBER Working Papers 18136, National Bureau of Economic Research, Inc.
• Fraser, Rob W., 2012. "Price Insurance, Moral Hazard and Agri-environmental Policy," 2012 Conference (56th), February 7-10, 2012, Fremantle, Australia 124305, Australian Agricultural and Resource Economics Society.