Report NEP-RMG-2011-12-19This 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:
- I. Garcia & J. Jimenez, 2011. "Estimating financial risk using piecewise Gaussian processes," Papers 1112.2889, arXiv.org.
- Liliana Schumacher & Theodore M. Barnhill, 2011. "Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information," IMF Working Papers 11/263, International Monetary Fund.
- Patrick Slovik, 2012. "Systemically Important Banks and Capital Regulation Challenges," OECD Economics Department Working Papers 916, OECD Publishing.
- Xin Zhang & Bernd Schwaab & Andre Lucas, 2011. "Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk," Tinbergen Institute Discussion Papers 11-176/2/DSF29, Tinbergen Institute, revised 28 Jun 2012.
- Adam Gersl & Jakub Seidler, 2011. "Credit Growth and Capital Buffers: Empirical Evidence from Central and Eastern European Countries," Research and Policy Notes 2011/02, Czech National Bank, Research Department.
- Peter Christoffersen & Hugues Langlois, 2011. "The Joint Dynamics of Equity Market Factors," CREATES Research Papers 2011-45, School of Economics and Management, University of Aarhus.
- Robert Vermeulen, 2011. "International Diversification During the Financial Crisis: A Blessing for Equity Investors?," DNB Working Papers 324, Netherlands Central Bank, Research Department.
- Acharya, Viral V & Skeie, David, 2011. "A Model of Liquidity Hoarding and Term Premia in Inter-Bank Markets," CEPR Discussion Papers 8705, C.E.P.R. Discussion Papers.
- Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2011. "Options introduction and volatility in the EU ETS," Working Papers 1107, Chaire Economie du Climat.