Report NEP-RMG-2011-11-28

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:

• Wayne Tarrant, 2011. "Historical risk measures on stock market indices and energy markets," Papers 1111.4421, arXiv.org.
• Dominique Gu'egan & Wayne Tarrant, 2011. "On the Necessity of Five Risk Measures," Papers 1111.4414, arXiv.org.
• Dominique Gu/'egan & Wayne Tarrant, 2011. "Viewing Risk Measures as Information," Papers 1111.4417, arXiv.org.
• Chia-Lin Chang & Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," Documentos de Trabajo del ICAE 2011-35, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Meilin Yan & Maximilian J. B. Hall & Paul Turner, 2011. "Estimating Liquidity Risk Using The Exposure-Based Cash-Flow-at-Risk Approach: An Application To the UK Banking Sector," Discussion Paper Series 2011_06, Department of Economics, Loughborough University, revised Nov 2011.
• Staszkiewicz, Piotr W., 2011. "Multi entry framework for financial and risk reporting," MPRA Paper 34903, University Library of Munich, Germany.
• Panayiotis P. Athanasoglou, 2011. "Bank capital and risk in the South Eastern European region," Working Papers 137, Bank of Greece.
• Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Subhani, Muhammad Imtiaz & Osman, Ms. Amber, 2011. "The Essence of Enterprise Risk Management in Today’s Business Enterprises in Developed and Developing Nations," MPRA Paper 34760, University Library of Munich, Germany.
• Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2011. "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE 2011-33, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Meilin Yan & Maximilian J. B. Hall & Paul Turner, 2011. "A Cost-Benefit Analysis of Basel III: Some Evidence from the UK," Discussion Paper Series 2011_05, Department of Economics, Loughborough University, revised Nov 2011.
• Jiří Witzany, 2011. "Estimating Correlated Jumps and Stochastic Volatilities," Working Papers IES 2011/35, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2011.
• Peresetsky, A. A. & Karminsky, A. M., 2011. "Models for Moody’s bank ratings," MPRA Paper 34864, University Library of Munich, Germany.