Report NEP-RMG-2010-05-22

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:

• Berstein, Solange & Chumacero, Rómulo, 2010. "VaR Limits for Pension Funds: An Evaluation," MPRA Paper 22574, University Library of Munich, Germany.
• Bec, Frédérique & Gollier, Christian, 2009. "Cyclicality and Term Structure of Value-at-Risk in Europe," TSE Working Papers 09-035, Toulouse School of Economics (TSE).
• Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi, 2010. "Collateral Posting and Choice of Collateral Currency - Implications for Derivative Pricing and Risk Management-," CIRJE F-Series CIRJE-F-743, CIRJE, Faculty of Economics, University of Tokyo.
• Wei Chen & J L Ford, 2010. "Volatility and the Hedging Effectiveness of China Fuel Oil Futures," Discussion Papers 10-15, Department of Economics, University of Birmingham.
• Item repec:hum:wpaper:sfb649dp2010-026 is not listed on IDEAS anymore

• Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
• Simone Varotto, 2010. "Stress Testing Credit Risk: The Great Depression Scenario," ICMA Centre Discussion Papers in Finance icma-dp2010-03, Henley Business School, University of Reading.
• Matthias Koenig & Joern Meissner, 2010. "Value-At-Risk Optimal Policies for Revenue Management Problems," Working Papers MRG/0018, Department of Management Science, Lancaster University, revised Dec 2014.
• Dijkman, Miquel, 2010. "A framework for assessing systemic risk," Policy Research Working Paper Series 5282, The World Bank.
• Wall, Larry D., 2009. "Prudential Discipline for Financial Firms: Micro, Macro, and Market Structures," ADBI Working Papers 176, Asian Development Bank Institute.
• Charlotte Christiansen, 2010. "Intertemporal Risk-Return Trade-off in Foreign Exchange Rates," CREATES Research Papers 2010-20, Department of Economics and Business Economics, Aarhus University.
• Dorothee Franzen, 2010. "Managing Investment Risk in Defined Benefit Pension Funds," OECD Working Papers on Insurance and Private Pensions 38, OECD Publishing.
• Rocha, Roberto & Vittas, Dimitri, 2010. "Designing the payout Phase of pension systems : policy issues, constraints and options," Policy Research Working Paper Series 5289, The World Bank.
• Ameseder, Christoph & Haas, Rainer & Fritz, Melanie & Schiefer, Gerhard, 2009. "Risk Analysis in Selected European and International Food Chains," 2009 International European Forum, February 15-20, 2009, Innsbruck-Igls, Austria 58708, International European Forum on System Dynamics and Innovation in Food Networks.
• Tara Deelchand & Carol Padgett, 2009. "The Relationship between Risk, Capital and Efficiency: Evidence from Japanese Cooperative Banks," ICMA Centre Discussion Papers in Finance icma-dp2009-12, Henley Business School, University of Reading.
• Tirole, Jean, 2009. "Illiquidity and All Its Friends," TSE Working Papers 09-083, Toulouse School of Economics (TSE), revised Feb 2010.
• Antonio Francisco A. Silva Jr., 2010. "Brazilian Strategy for Managing the Risk of Foreign Exchange Rate Exposure During a Crisis," Working Papers Series 207, Central Bank of Brazil, Research Department.
• Rocha, Roberto & Vittas, Dimitri & Rudolph, Heinz P., 2010. "The payout phase of pension systems : a comparison of five countries," Policy Research Working Paper Series 5288, The World Bank.
• Pomerleano, Michael, 2009. "What Is the Impact of the Global Financial Crisis on the Banking System in East Asia?," ADBI Working Papers 146, Asian Development Bank Institute.