Report NEP-RMG-2012-11-17This 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:
- Bams, Dennis & Pisa, Magdalena & Wolff, Christian C, 2012. "Modeling default correlation in a US retail loan portfolio," CEPR Discussion Papers 9205, C.E.P.R. Discussion Papers.
- Mardi Dungey & Matteo Luciani & David Veredas, 2012. "Ranking Systemically Important Financial Institutions," Tinbergen Institute Discussion Papers 12-115/IV/DSF44, Tinbergen Institute.
- Item repec:hum:wpaper:sfb649dp2012-051 is not listed on IDEAS anymore
- Kartik Anand & James Chapman & Prasanna Gai, 2012. "Covered bonds, core markets, and financial stability," SFB 649 Discussion Papers SFB649DP2012-065, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Tobias Adrian & Adam B. Ashcraft, 2012. "Shadow banking: a review of the literature," Staff Reports 580, Federal Reserve Bank of New York.
- Item repec:idb:brikps:76678 is not listed on IDEAS anymore
- Lorenzo Giada & Claudio Nordio, 2012. "Funded Bilateral Valuation Adjustment," Science & Finance (CFM) working paper archive 1211.1564, Science & Finance, Capital Fund Management.
- Roberto Savona & Marika Vezzoli, 2012. "Fitting and Forecasting Sovereign Defaults Using Multiple Risk Signals," Working Papers 2012_26, Department of Economics, University of Venice "Ca' Foscari".
- Shinichiro Shirota & Takayuki Hizu & Yasuhiro Omori, 2012. "Realized stochastic volatility with leverage and long memory," CIRJE F-Series CIRJE-F-869, CIRJE, Faculty of Economics, University of Tokyo.
- Eduardo Rossi & Dean Fantazzini, 2012. "Long memory and Periodicity in Intraday Volatility," DEM Working Papers Series 015, University of Pavia, Department of Economics and Management.
- Eugenio Cerutti & Stijn Claessens & Patrick McGuire, 2012. "Systemic Risks in Global Banking: What Available Data can tell us and What More Data are Needed?," NBER Working Papers 18531, National Bureau of Economic Research, Inc.