Report NEP-RMG-2010-09-11This 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:
- Marco Bee & Fabrizio Miorelli, 2010. "Dynamic VaR models and the Peaks over Threshold method for market risk measurement: an empirical investigation during a financial crisis," Department of Economics Working Papers 1009, Department of Economics, University of Trento, Italia.
- Item repec:hal:cesptp:halshs-00511995 is not listed on IDEAS anymore
- Benjamin Lorent, 2010. "Insurance Solvency Regulation: Regulatory Approaches Compared," Working Papers CEB 10-041, ULB -- Universite Libre de Bruxelles.
- Haase, Joerdis & Ilg, Melanie & Werner, Ralf, 2010. "Model-free bounds on bilateral counterparty valuation," MPRA Paper 24796, University Library of Munich, Germany.
- Kauko, Karlo, 2010. "The feasibility of through-the-cycle ratings," Research Discussion Papers 14/2010, Bank of Finland.
- Ghosh, Saibal, 2010. "Credit Growth, Bank Soundness and Financial Fragility: Evidence from Indian Banking Sector," MPRA Paper 24715, University Library of Munich, Germany.
- Ashcraft, A. & Goldsmith-Pinkham, P. & Vickery, J., 2010. "MBS Ratings and the Mortgage Credit Boom," Discussion Paper 2010-89S, Tilburg University, Center for Economic Research.
- Ojo, Marianne, 2010. "Measures aimed at mitigating pro cyclical effects of the Capital Requirements Framework: counter cyclical capital buffer proposals," MPRA Paper 24610, University Library of Munich, Germany.
- Item repec:eab:macroe:2252 is not listed on IDEAS anymore
- Item repec:cdl:agrebk:1326477 is not listed on IDEAS anymore
- Bent Jesper Christensen & Petra Posedel, 2010. "The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model," CREATES Research Papers 2010-50, School of Economics and Management, University of Aarhus.
- Masaaki Fukasawa, 2010. "Normalization for Implied Volatility," Papers 1008.5055, arXiv.org, revised Sep 2010.
- Claudio Borio & Bent Vale & Goetz von Peter, 2010. "Resolving the financial crisis: are we heeding the lessons from the Nordics?," Working Paper 2010/17, Norges Bank.