Hidden Regular Variation: Detection and Estimation,
Abhimanyu Mitra and Sidney I. Resnick,
from arXiv.org
(2010)
The CFO’s Information Challenge in Managing Macroeconomic Risk,
Lars Oxelheim, Clas Wihlborg and Marcus Thorsheim,
from Research Institute of Industrial Economics
(2010)
Keywords: Risk Management Strategy; Macroeconomic Risk; Integrated Risk Management; Chief Financial Officer; Information Needs; Corporate Strategy; Financial Risk; Real Options
Understanding the Effect of Concentration Risk in the Banks’ Credit Portfolio: Indian Cases,
Arindam Bandyopadhyay,
from University Library of Munich, Germany
(2010)
Keywords: Credit Concentration, Portfolio Risk, Bank’s Economic Capital
Measures aimed at enhancing the loss absorbency of regulatory capital at the point of non viability,
Marianne Ojo,
from University Library of Munich, Germany
(2010)
Keywords: capital; insolvency; financial crises; moral hazard; Basel III; Investor Compensation Schemes Directive; bail outs; equity; liquidity
The joint distribution of stock returns is not elliptical,
R\'emy Chicheportiche and Jean-Philippe Bouchaud,
from arXiv.org
(2012)
Optimal Dividend and reinsurance strategy of a Property Insurance Company under Catastrophe Risk,
Zongxia Liang, Lin He and Jiaoling Wu,
from arXiv.org
(2010)
A Cholesky-MIDAS model for predicting stock portfolio volatility,
Ralf Becker, Adam Clements and Robert O'Neill,
from Economics, The University of Manchester
(2010)
Isobars and the Efficient Market Hypothesis,
Kristýna Ivanková,
from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
(2010)
Keywords: Isobars, Efficient market hypothesis, Nonparametric regression, Extreme value theory
Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index,
Katja Ignatieva, Eckhard Platen and Renata Rendek,
from Quantitative Finance Research Centre, University of Technology, Sydney
(2010)
Keywords: diversified world stock index; Student-t distribution; time-varying copula; Value-at-Risk; expected shortfall
It Pays to Violate: How Effective are the Basel Accord Penalties?,
Bernardo da Veiga, Felix Chan and Michael McAleer,
from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
(2009)
Realized Volatility Risk,
David Allen, Michael McAleer and Marcel Scharth,
from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
(2010)
Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns,
Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer,
from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
(2010)
Collateral Posting and Choice of Collateral Currency -Implications for Derivative Pricing and Risk Management-,
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi,
from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
(2010)
The Credit Default Swap Market and the Settlement of Large Defaults,
Virginie Coudert and Mathieu Gex,
from CEPII research center
(2010)
Keywords: Credit derivatives;bankruptcy;credit default swap;auction
Gold and Financial Assets: Are There Any Safe Havens in Bear Markets?,
Virginie Coudert and Helene Raymond,
from CEPII research center
(2010)
Keywords: GOLD;STOCK;SAFE HAVEN;HEDGE;NONLINEARITY