NEP-RMG-2007-10-20

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Report NEP-RMG-2007-10-20

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 anounced in this report:

Wilson Sy, 2007. "A Causal Framework for Credit Default Theory," Research Paper Series 204, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Loriano Mancini & Fabio Trojani, 2007. "Robust Value at Risk Prediction," University of St. Gallen Department of Economics working paper series 2007 2007-36, Department of Economics, University of St. Gallen. [Downloadable!]
Emily Watchorn, 2007. "Applying a Structured Approach to Operational Risk Scenario Analysis in Australia," Working Papers wp2007-02, Australian Prudential Regulation Authority. [Downloadable!]
Bandyopadhyay, Arindam, 2007. "Credit Risk Models for Managing Bank’s Agricultural Loan Portfolio," MPRA Paper 5358, University Library of Munich, Germany. [Downloadable!]
Philippe Ehlers & Philipp J. Schoenbucher, 2006. "Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk," Swiss Finance Institute Research Paper Series 07-07, Swiss Finance Institute. [Downloadable!]
Christian-Olivier Ewald & Rolf Poulsen & Klaus Reiner Schenk-Hoppe, 2007. "Stochastic Volatility: Risk Minimization and Model Risk," Swiss Finance Institute Research Paper Series 07-10, Swiss Finance Institute. [Downloadable!]
François Coppens & Fernando Gonzáles & Gerhard Winkler, 2007. "The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations," Research series 200710-12, National Bank of Belgium. [Downloadable!]
Alena Audzeyeva & Klaus Reiner Schenk-Hoppe, 2007. "Sovereign Rating Transitions And The Price Of Default Risk In Emerging Markets," Swiss Finance Institute Research Paper Series 07-18, Swiss Finance Institute. [Downloadable!]
Dirk Hackbarth & Erwan Morellec, 2006. "Stock Returns in Mergers and Acquisitions," Swiss Finance Institute Research Paper Series 06-01, Swiss Finance Institute. [Downloadable!]
Morgado, Pedro & Tavares, José, 2007. "Economic Integration and the Co-movement of Stock Returns," CEPR Discussion Papers 6519, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

This page was last updated on 2009-11-29.

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