Report NEP-RMG-2007-01-14This 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.
The following items were announced in this report:
- Aragon, Aker, 2004. "Discriminant Analysys of Default Risk," MPRA Paper 1002, University Library of Munich, Germany, revised 29 Nov 2006.
- Alexandros E. Milionis, 2006. "An Alternative Definition of Market Efficiency and some Comments on its Empirical Testing," Working Papers 50, Bank of Greece.
- Delfiner, Miguel & Lippi, Claudia & Pailhé, Cristina, 2006.
"La administración del riesgo de liquidez en las entidades financieras: mejores prácticas internacionales y experiencias (In Spanish)
[Liquidity risk management in banks: international best practi," MPRA Paper 1168, University Library of Munich, Germany, revised Oct 2006.
- Varsanyi, Zoltan, 2006. "The Basel II IRB approach revisited: do we use the correct model?," MPRA Paper 1244, University Library of Munich, Germany.
- Situngkir, Hokky & Surya, Yohanes, 2006. "Kerangka Kerja Ekonofisika dalam Basel II," MPRA Paper 896, University Library of Munich, Germany.
- Enrique, Navarrete, 2006. "Practical Calculation of Expected and Unexpected Losses in Operational Risk by Simulation Methods," MPRA Paper 1369, University Library of Munich, Germany.
- Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2006. "Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility," The Warwick Economics Research Paper Series (TWERPS) 777, University of Warwick, Department of Economics.
- Richard K. Green & George M. Jabbour & Yi-Kang Liu, 2006. "The Performance of Default Risk Structural Models on Commercial Mortgages: An Empirical Investigation," Working Papers 0014, School of Business, The George Washington University.
- Lux, Thomas & Kaizoji, Taisei, 2006. "Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching," Economics Working Papers 2006,13, Christian-Albrechts-University of Kiel, Department of Economics.