Report NEP-RMG-2007-06-18

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:

• Georges Dionne & Robert Gagné & Abdelhakim Nouira, 2007. "Determinants of Insurers’ Performance in Risk Pooling, Risk Management, and Financial Intermediation Activities," Cahiers de recherche 07-03, HEC Montréal, Institut d'économie appliquée.
• Cotter, John, 2007. "Extreme risk in Asian equity markets," MPRA Paper 3536, University Library of Munich, Germany.
• Cotter, John & Dowd, Kevin, 2007. "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," MPRA Paper 3504, University Library of Munich, Germany.
• Nikola A. Tarashev & Haibin Zhu, 2006. "The pricing of portfolio credit risk," BIS Working Papers 214, Bank for International Settlements.
• Nikola A. Tarashev, 2005. "An empirical evaluation of structural credit risk models," BIS Working Papers 179, Bank for International Settlements.
• Rikhardsson, Pall & Best, Peter & Green, Peter & Rosemann, Michael, 2006. "Business Process Risk Management, Compliance and Internal Control: A Research Agenda," Management Accounting Research Group Working Papers M-2006-05, University of Aarhus, Aarhus School of Business, Department of Business Studies.
• Cotter, John & Hanly, James, 2007. "Hedging Effectiveness under Conditions of Asymmetry," MPRA Paper 3501, University Library of Munich, Germany.
• Cotter, John & Dowd, Kevin, 2007. "Estimating financial risk measures for futures positions: a non-parametric approach," MPRA Paper 3503, University Library of Munich, Germany.
• Jesús Saurina & Carlos Trucharte, 2007. "An assessment of Basel II procyclicality in mortgage portfolios," Working Papers 0712, Banco de España.
• Cotter, John & Dowd, Kevin, 2007. "Exponential Spectral Risk Measures," MPRA Paper 3499, University Library of Munich, Germany.
• Claudio E. V. Borio & Kostas Tsatsaronis, 2006. "Risk in financial reporting: status, challenges and suggested directions," BIS Working Papers 213, Bank for International Settlements.
• Cotter, John & Stevenson, Simon, 2007. "Modeling Long Memory in REITs," MPRA Paper 3500, University Library of Munich, Germany.
• Cotter, John & Dowd, Kevin, 2007. "Intra-Day Seasonality in Foreign Exchange Market Transactions," MPRA Paper 3502, University Library of Munich, Germany.
• Cotter, John & Dowd, Kevin, 2007. "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," MPRA Paper 3493, University Library of Munich, Germany.
• Jessica A. Wachter & Missaka Warusawitharana, 2007. "Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?," NBER Working Papers 13165, National Bureau of Economic Research, Inc.