Report NEP-RMG-2007-01-23This 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:
- ilya, gikhman, 2006. "Some critical comments on credit risk modeling," MPRA Paper 1451, University Library of Munich, Germany, revised Jul 2006.
- Filip Žikeš, 2007. "Dependence Structure and Portfolio Diversification on Central European Stock Markets," Working Papers IES 2007/02, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2007.
- Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.
- Roman Kraeussl, "undated". "A Critique on the Proposed Use of External Sovereign Credit Ratings in Basel II," Working Papers 0315, University of Crete, Department of Economics.
- Ying Chen & Vladimir Spokoiny, 2007. "Robust Risk Management. Accounting for Nonstationarity and Heavy Tails," SFB 649 Discussion Papers SFB649DP2007-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helena Suvova & Eva Kozelkova & David Zeman & Jaroslava Bauerova, 2005. "Eligibility of External Credit Assessment Institutions," Research and Policy Notes 2005/03, Czech National Bank, Research Department.
- Zoltán Varsányi, 2006. "Pillar I treatment of concentrations in the banking book – a multifactor approach," MNB Working Papers 2006/11, Magyar Nemzeti Bank (Central Bank of Hungary).
- Jokivuolle, Esa & Peura, Samu, 2006. "Rating targeting and the confidence levels implicit in bank capital," Research Discussion Papers 27/2006, Bank of Finland.