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, arXiv.org 1104.5272, arXiv.org, revised Jun 2011.
- Kiema , Ilkka & Jokivuolle, Esa, 2011. "Leverage ratio requirement, credit allocation and bank stability," Research Discussion Papers, Bank of Finland 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, Universidad Carlos III, Departamento de EconomÃa de la Empresa 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, Kyoto University, Institute of Economic Research 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, arXiv.org 1104.5326, arXiv.org, revised Oct 2011.
- Olesia Verchenko, 2011. "Testing option pricing models: complete and incomplete markets," Discussion Papers, Kyiv School of Economics 38, Kyiv School of Economics.