Report NEP-RMG-2008-02-09

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:

• Monica Billio & Mila Getmansky & Loriana Pelizzon, 2007. "Dynamic Risk Exposure in Hedge Funds," Working Papers 2007_17, Department of Economics, University of Venice "Ca' Foscari".
• Stuart Turnbull & Jun Yang, 2008. "Default Dependence: The Equity Default Relationship," Staff Working Papers 08-1, Bank of Canada.
• Härdle, Wolfgang Karl & Moro, Rouslan A. & Schäfer, Dorothea, 2007. "Estimating probabilities of default with support vector machines," Discussion Paper Series 2: Banking and Financial Studies 2007,18, Deutsche Bundesbank.
• Item repec:apr:aprewp:wp2007-03 is not listed on IDEAS anymore

• Pausch, Thilo, 2007. "Endogenous credit derivatives and bank behavior," Discussion Paper Series 2: Banking and Financial Studies 2007,16, Deutsche Bundesbank.
• Maria Socorro Gochoco-Bautista, 2008. "Asset prices and monetary policy: booms and fat tails in East Asia," BIS Working Papers 243, Bank for International Settlements.
• Item repec:apr:aprewp:wp2008-01 is not listed on IDEAS anymore

• Thomas Nitschka, 2007. "International evidence for return predictability and the implications for long-run covariation of the G7 stock markets," IEW - Working Papers 338, Institute for Empirical Research in Economics - University of Zurich.
• Chen, Shiyi & Jeong, Kiho & Härdle, Wolfgang Karl, 2008. "Support vector regression based GARCH model with application to forecasting volatility of financial returns," SFB 649 Discussion Papers 2008-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Mathieu Gatumel & Dominique Guegan, 2008. "Towards an understanding approach of the insurance linked securities market," Post-Print halshs-00235354, HAL.
• Peroni, Chiara, 2007. "A non-parametric investigation of risk premia," MPRA Paper 5126, University Library of Munich, Germany, revised 01 Dec 2007.
• Jonas Dovern & Christina Ziegler, 2008. "Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators Under Real-Time Conditions," Kiel Working Papers 1397, Kiel Institute for the World Economy.
• Patrick McGuire & Ilhyock Nikola Tarashev, 2008. "Global monitoring with the BIS international banking statistics," BIS Working Papers 244, Bank for International Settlements.