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, Bank of Greece 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), University of Warwick, Department of Economics 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, School of Business, The George Washington University 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, Christian-Albrechts-University of Kiel, Department of Economics 2006,13, Christian-Albrechts-University of Kiel, Department of Economics.