Report NEP-RMG-2010-07-10This 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:
- Jakub Seidler & Petr Jakubik, 2009. "The Merton Approach to Estimating Loss Given Default: Application to the Czech Republic," Working Papers, Czech National Bank, Research Department 2009/13, Czech National Bank, Research Department.
- Hui Chen, 2010. "Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure," NBER Working Papers 16151, National Bureau of Economic Research, Inc.
- Stein, Jerome L., 2010. "Alan Greenspan, the quants and stochastic optimal control," Economics Discussion Papers 2010-17, Kiel Institute for the World Economy.
- Cappa, Leonardo & Pereira, Pedro Luiz Valls, 2010. "Modelando a volatilidade dos retornos de PetrobrÃ¡s usando dados de alta frequÃªncia," Textos para discussÃ£o 258, Escola de Economia de SÃ£o Paulo, Getulio Vargas Foundation (Brazil).
- Shubhabrata Das & Marie Kratz, 2010. "Alarm System for Insurance Companies: A Strategy for Capital Allocation," Papers 1006.5473, arXiv.org.
- Chiara Pederzoli & Costanza Torricelli, 2010. "A parsimonious default prediction model for Italian SMEs," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, FacoltÃ di Economia "Marco Biagi" 10061, Universita di Modena e Reggio Emilia, FacoltÃ di Economia "Marco Biagi".
- Marie Lambert & George Hübner, 2010. "How to Construct Fundamental Risk Factors?," LSF Research Working Paper Series 10-01, Luxembourg School of Finance, University of Luxembourg.
- Schuetz, Sebastian Alexander, 2010. "Structured Finance Influence on Financial Market Stability – Evaluation of Current Regulatory Developments," MPRA Paper 23574, University Library of Munich, Germany.
- Marie Lambert & George Hübner, 2010. "Comoment Risk and Stock Returns," LSF Research Working Paper Series 10-02, Luxembourg School of Finance, University of Luxembourg.
- Marco Bardoscia & Roberto Bellotti, 2010. "A Dynamical Model for Forecasting Operational Losses," Papers 1007.0026, arXiv.org, revised Feb 2012.
- Eric Tymoigne, 2010. "Detecting Ponzi Finance: An Evolutionary Approach to the Measure of Financial Fragility," Economics Working Paper Archive wp_605, Levy Economics Institute.