Report NEP-RMG-2009-12-11This 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:
- Item repec:dgr:eureir:1765017309 is not listed on IDEAS anymore
- Andre A. P. & Francisco J. Nogales & Esther Ruiz, 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," Statistics and Econometrics Working Papers ws097222, Universidad Carlos III, Departamento de Estadística y Econometría.
- Dominique Guegan & Bertrand Hassani, 2009. "A new algorithm for the loss distribution function with applications to Operational Risk Management," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00384398, HAL.
- Jokivuolle, Esa & Viren , Matti & Vähämaa, Oskari, 2009. "Transmission of macro shocks to loan losses in a deep crisis: the case of Finland," Research Discussion Papers 26/2009, Bank of Finland.
- Milne, Alistair & Onorato, Mario, 2009. "Risk-adjusted measures of value creation in financial institutions," Research Discussion Papers 25/2009, Bank of Finland.
- Vauhkonen, Jukka, 2009. "Bank safety under Basel II capital requirements," Research Discussion Papers 29/2009, Bank of Finland.
- Nathalie Rey, 2009. "Credit derivatives: instruments of hedging and factors of instability. The example of “Credit Default Swaps” on French reference entities," Working Papers hal-00433883, HAL.
- Klaus, Benjamin & Rzepkowski, Bronka, 2009. "Risk spillover among hedge funds: The role of redemptions and fund failures," Working Paper Series 1112, European Central Bank.