Report NEP-RMG-2007-06-23This 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:
- Cipollini, Andrea & Missaglia, Giuseppe, 2007. "Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling," MPRA Paper 3582, University Library of Munich, Germany.
- Chiara Pederzoli, 2007. "Default risk: Poisson mixture and the business cycle," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 07052, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Zoltan, Varsanyi, 2007. "Reconsidering the logit: the risk of individual names," MPRA Paper 3658, University Library of Munich, Germany.
- Lawrence A. Leger & Vitor Leone, 2007. "Changes in the risk structure of stock returns. Consumer Confidence and the Dotcom Bubble," Discussion Paper Series 2007_15, Department of Economics, Loughborough University, revised Jun 2007.
- Jonathan H. Wright & Hao Zhou, 2007. "Bond risk premia and realized jump volatility," Finance and Economics Discussion Series 2007-22, Board of Governors of the Federal Reserve System (U.S.).
- Ralf Becker & Adam Clements, 2007. "Forecasting stock market volatility conditional on macroeconomic conditions," NCER Working Paper Series 18, National Centre for Econometric Research.