Report NEP-RMG-2011-05-07This 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:
- Younes Kchia & Martin Larsson, 2011. "Credit contagion and risk management with multiple non-ordered defaults," Papers 1104.5272, arXiv.org, revised Jun 2011.
- Kiema , Ilkka & Jokivuolle, Esa, 2011. "Leverage ratio requirement, credit allocation and bank stability," Research Discussion Papers 10/2011, Bank of Finland.
- Clara Cardone Riportella & Antonio Trujillo & Anahí Briozzo, 2011. "What do Basel Capital Accords mean for SMEs?," Business Economics Working Papers wb111004, Universidad Carlos III, Departamento de Economía de la Empresa.
- Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011. "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," KIER Working Papers 772, Kyoto University, Institute of Economic Research.
- Orth, Walter, 2011. "Multi-period credit default prediction with time-varying covariates," MPRA Paper 30507, University Library of Munich, Germany.
- Viral V. Acharya & Sergei A. Davydenko & Ilya A. Strebulaev, 2011. "Cash Holdings and Credit Risk," NBER Working Papers 16995, National Bureau of Economic Research, Inc.
- Damir Filipovi\'c & Eberhard Mayerhofer & Paul Schneider, 2011. "Density Approximations for Multivariate Affine Jump-Diffusion Processes," Papers 1104.5326, arXiv.org, revised Oct 2011.
- Olesia Verchenko, 2011. "Testing option pricing models: complete and incomplete markets," Discussion Papers 38, Kyiv School of Economics.