Report NEP-RMG-2013-10-02

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:

• De Luca, Giovanni & Zuccolotto, Paola, 2013. "A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering," MPRA Paper 50129, University Library of Munich, Germany.
• Alfred Wong & Tom Fong, 2013. "Gauging the Safehavenness of Currencies," Working Papers 132013, Hong Kong Institute for Monetary Research.
• International Monetary Fund, 2013. "Belgium; Technical Note on Crisis Management and Bank Resolution Framework," IMF Staff Country Reports 13/135, International Monetary Fund.
• Dimitrios P. Louzis & Angelos T. Vouldis, 2013. "A financial systemic stress index for Greece," Working Papers 155, Bank of Greece.
• Sessi Tokpavi, 2013. "Testing for the Systemically Important Financial Institutions: a Conditional Approach," EconomiX Working Papers 2013-27, University of Paris Nanterre, EconomiX.
• Brian Lucey & Britta Berghöfer, 2013. "Fuel Hedging, Operational Hedging and Risk Exposure– Evidence from the Global Airline Industry," The Institute for International Integration Studies Discussion Paper Series iiisdp433, IIIS.
• Hans Follmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.
• Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2013. "Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach," EconomiX Working Papers 2013-28, University of Paris Nanterre, EconomiX.
• Kerry W. Fendick, 2013. "Pricing and Hedging Derivative Securities with Unknown Local Volatilities," Papers 1309.6164, arXiv.org, revised Oct 2013.