Report NEP-RMG-2011-05-14This 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:
- Alexandra Schwarz, 2011. "Measurement, Monitoring, and Forecasting of Consumer Credit Default Risk - An Indicator Approach Based on Individual Payment Histories," Schumpeter Discussion Papers sdp11004, Universitätsbibliothek Wuppertal, University Library.
- Christian Schmieder & Maher Hasan & Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 11/83, International Monetary Fund.
- International Monetary Fund, 2011. "Fat Tails and their (Un)happy Endings: Correlation Bias and its Implications for Systemic Risk and Prudential Regulation," IMF Working Papers 11/82, International Monetary Fund.
- Wiechers, Christof, 2011. "Construction of uncertainty sets for portfolio selection problems," Discussion Papers in Statistics and Econometrics 4/11, University of Cologne, Department for Economic and Social Statistics.
- Orth, Walter, 2011. "Multi-period credit default prediction with time-varying covariates," Discussion Papers in Statistics and Econometrics 3/11, University of Cologne, Department for Economic and Social Statistics.
- di Iasio, Giovanni & Quagliariello, Mario, 2011. "Incentives through the cycle: microfounded macroprudential regulation," MPRA Paper 30769, University Library of Munich, Germany.
- Miguel A. Segoviano Basurto & Raphael A. Espinoza, 2011. "Probabilities of Default and the Market Price of Risk in a Distressed Economy," IMF Working Papers 11/75, International Monetary Fund.
- Stevens, R.S.P. & De Waegenaere, A.M.B. & Melenberg, B., 2011. "Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products: The Effect of Investment Risk," Discussion Paper 2011-036, Tilburg University, Center for Economic Research.
- Leonard Nakamura, 2011. "Durable Financial Regulation: Monitoring Financial Instruments as a Counterpart to Regulating Financial Institutions," NBER Working Papers 17006, National Bureau of Economic Research, Inc.
- Onour, Ibrahim, 2011.
"الخيارات وإدارة المخاطر فى أسواق السلع: دعوة لرؤية جديدة
[Options as Islamic Financial Derivative: Thoughts provoking discussion]," MPRA Paper 30707, University Library of Munich, Germany.
- Francois Gourio, 2011. "Credit Risk and Disaster Risk," NBER Working Papers 17026, National Bureau of Economic Research, Inc.
- Stéphane Loisel & Xavier Milhaud, 2011. "From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital," Post-Print hal-00502847, HAL.
- Romney B. Duffey, 2011. "The Quantification of Systemic Risk and Stability: New Methods and Measures," NBER Working Papers 17022, National Bureau of Economic Research, Inc.
- Frahm, Gabriel & Wiechers, Christof, 2011. "On the diversification of portfolios of risky assets," Discussion Papers in Statistics and Econometrics 2/11, University of Cologne, Department for Economic and Social Statistics.
- Shin Kanaya & Taisuke Otsu, 2011. "Large Deviations of Realized Volatility," Cowles Foundation Discussion Papers 1798, Cowles Foundation for Research in Economics, Yale University.