Report NEP-RMG-2009-01-03This 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:
- Tom Pak-wing Fong & Chun-shan Wong, 2008. "Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models," Working Papers 0813, Hong Kong Monetary Authority.
- Mager, Ferdinand & Schmieder, Christian, 2008. "Stress testing of real credit portfolios," Discussion Paper Series 2: Banking and Financial Studies 2008,17, Deutsche Bundesbank, Research Centre.
- Khalid Bichou, 2008. "Security and Risk-Based Models in Shipping and Ports: Review and Critical Analysis," OECD/ITF Joint Transport Research Centre Discussion Papers 2008/20, OECD Publishing.
- Item repec:pra:mprapa:12294 is not listed on IDEAS anymore
- Dinghai Xu & Tony S. Wirjanto, 2008. "An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility," Working Papers 08008, University of Waterloo, Department of Economics.
- Herwartz, Helmut, 2008. "Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device," Economics Working Papers 2008,16, Christian-Albrechts-University of Kiel, Department of Economics.
- Mathieu Gatumel, 2008. "Relevancy of the Cost-of-Capital Rate for the Insurance Companies," Post-Print halshs-00348881, HAL.
- Alberto Bennardo & Marco Pagano & Salvatore Piccolo, 2008. "Multiple-Bank Lending, Creditor Rights and Information Sharing," CSEF Working Papers 211, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 28 Jul 2010.
- Ron Alquist, 2008. "How Important Is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange," Working Papers 08-47, Bank of Canada.
- Michèle Cohen, 2008. "Risk Perception, Risk Attitude and Decision : a Rank-Dependent Approach," Post-Print halshs-00348810, HAL.
- Christian Calmès & Raymond Théoret, 2008. "Banking Deregulation and Financial Stability : is it Time to re-regulate in Canada ?," RePAd Working Paper Series UQO-DSA-wp042008, Département des sciences administratives, UQO.
- Manmohan Singh & Miguel A. Segoviano Basurto, 2008. "Counterparty Risk in the Over-The-Counter Derivatives Market," IMF Working Papers 08/258, International Monetary Fund.
- Franz R. Hahn, 2008. "A Primer on Financial System Meltdown. The Economists' View," WIFO Working Papers 333, WIFO.
- Koetter, Michael & Poghosyan, Tigran, 2008. "Real estate markets and bank distress," Discussion Paper Series 2: Banking and Financial Studies 2008,18, Deutsche Bundesbank, Research Centre.
- Alejandro Balbas, 2008. "Capital requirements: Are they the best solution?," Business Economics Working Papers wb087114, Universidad Carlos III, Departamento de Economía de la Empresa.
- Peter Gordon & Harry W. Richardson, 2008. "Economic Impact Analysis of Terrorism Events: Recent Methodological Advances and Findings," OECD/ITF Joint Transport Research Centre Discussion Papers 2008/22, OECD Publishing.