Report NEP-RMG-2007-08-14This 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:
- Nikola A. Tarashev & Haibin Zhu, 2007. "Modelling and calibration errors in measures of portfolio credit risk," BIS Working Papers 230, Bank for International Settlements.
- Luc, BAUWENS & G., STORTI, 2007. "A Component GARCH Model with Time Varying Weights," Discussion Papers (ECON - DÃ©partement des Sciences Economiques) 2007012, Université catholique de Louvain, Département des Sciences Economiques.
- Pornpinun Chantapacdepong, 2007. "Determinants of the time varying risk premia," Bristol Economics Discussion Papers 07/597, Department of Economics, University of Bristol, UK.
- Petr Teply & Milan Matejašák, 2007. "Regulation of Bank Capital and Behavior of Banks: Assessing the US and the EU-15 Region Banks in the 2000-2005 Period," Working Papers IES 2007/23, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2007.
- Jeannine Bailliu & Ali Dib & Takashi Kano & Lawrence Schembri, 2007. "Multilateral Adjustment and Exchange Rate Dynamics: The Case of Three Commodity Currencies," Working Papers 07-41, Bank of Canada.
- Peter Hoerdahl & Oreste Tristani, 2007. "Inflation risk premia in the term structure of interest rates," BIS Working Papers 228, Bank for International Settlements.
- Gómez-Sorzano, Gustavo, 2007. "Cycles of violence and terrorist attacks index for the State of Arizona," MPRA Paper 4360, University Library of Munich, Germany, revised 04 Aug 2007.