Report NEP-RMG-2012-04-23This 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:
- Sofiya Avramova & Vanessa Le LeslÃ©, 2012. "Revisiting Risk-Weighted Assets," IMF Working Papers, International Monetary Fund 12/90, International Monetary Fund.
- Adi Ben-Meir & Jeremy Schiff, 2012. "The Variance of Standard Option Returns," Papers, arXiv.org 1204.3452, arXiv.org.
- Zuzana Fungáèová & Petr Jakubík, 2012. "Bank Stress Tests as an Information Device for Emerging Markets: The Case of Russia," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies 2012/04, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2012.
- Wahyu Yuwana Hidayat & Makoto Kakinaka & Hiroaki Miyamoto, 2012. "Bank Risk and Non-Interest Income Activities in the Indonesian Banking Industry," Working Papers, Research Institute, International University of Japan EMS_2012_03, Research Institute, International University of Japan.
- Lingfei Li & Vadim Linetsky, 2012. "Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models," Papers, arXiv.org 1204.3679, arXiv.org.
- Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2012. "Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach," Working Papers, Fondazione Eni Enrico Mattei 2012.23, Fondazione Eni Enrico Mattei.