Report NEP-RMG-2009-08-30This 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:
- McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T., 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," Econometric Institute Report EI 2009-17, Erasmus University Rotterdam, Econometric Institute.
- Chen Zou, 2009. "Dependence structure of risk factors and diversification effects," DNB Working Papers 219, Netherlands Central Bank, Research Department.
- René Aïd, 2008. "Long-term risk management for utility companies: the next challenges," Working Papers hal-00409030, HAL.
- Tobias Adrian & Hyun Song Shin, 2009. "The shadow banking system: implications for financial regulation," Staff Reports 382, Federal Reserve Bank of New York.
- Bernardo Maggi & Marco Guida, 2009. "Modeling non performing loans probability in the commercial banking system: efficiency and effectiveness related to credit risk in Italy," Working Papers - Dipartimento di Economia 1, Dipartimento di Economia, Sapienza University of Rome, revised 2009.
- Julien Chevallier, 2009. "Energy Risk Management with Carbon Assets," Working Papers halshs-00410059, HAL.
- Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2009. "Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options," CIRANO Working Papers 2009s-34, CIRANO.
- Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2009. "Option-Implied Measures of Equity Risk," CIRANO Working Papers 2009s-33, CIRANO.
- Yannick Malevergne & Pedro Santa-Clara & Didier Sornette, 2009. "Professor Zipf goes to Wall Street," NBER Working Papers 15295, National Bureau of Economic Research, Inc.
- Salman, A. Khalik & von Friedrichs, Yvonne & Shukur, Ghazi, 2009. "Macroeconomic Factors and Swedish Small and Medium-Sized Manufacturing Firm Failure," Working Paper Series in Economics and Institutions of Innovation 185, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
- Lasse Heje Pedersen, 2009. "When Everyone Runs for the Exit," NBER Working Papers 15297, National Bureau of Economic Research, Inc.