Report NEP-RMG-2007-12-01This 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:
- Bask, Mikael, 2007. "Measuring potential market risk," Research Discussion Papers 20/2007, Bank of Finland.
- Loriano Mancini & Fabio Trojani, 2007. "Robust Value at Risk Prediction," Swiss Finance Institute Research Paper Series 07-31, Swiss Finance Institute.
- Dimitris Politis & Dimitrios Thomakos, 2007. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," Working Papers 0005, University of Peloponnese, Department of Economics.
- Balázs Zsámboki, 2007. "Basel II and financial stability: An investigation of sensitivity and cyclicality of capital requirements based on QIS 5," MNB Occasional Papers 2007/67, Magyar Nemzeti Bank (Central Bank of Hungary).
- Fathi, Abid & Nader, Naifar, 2007. "Price Calibration of basket default swap: Evidence from Japanese market," MPRA Paper 6013, University Library of Munich, Germany.
- Fathi, Abid & Nader, Naifar, 2007. "Copula based simulation procedures for pricing basket Credit Derivatives," MPRA Paper 6014, University Library of Munich, Germany.
- Item repec:cpr:ceprdp:6584 is not listed on IDEAS anymore
- Ricardo Schechtman, 2007. "Joint Validation of Credit Rating PDs under Default Correlation," Working Papers Series 149, Central Bank of Brazil, Research Department.
- Pauline Barrieu & Henri Loubergé, 2007. "Hybrid Cat-bonds," Swiss Finance Institute Research Paper Series 07-27, Swiss Finance Institute.
- Kateryna Shapovalova & Alexander Subbotin, 2007. "Investigating value and growth: what labels hide?," Documents de travail du Centre d'Economie de la Sorbonne b07066, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Dominique Guégan, 2007. "Global and local stationary modelling in finance: theory and empirical evidence," Documents de travail du Centre d'Economie de la Sorbonne b07053, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Alan Cosme Rodrigues da Silva & Eduardo Facó Lemgruber & José Alberto Rebello Baranowski & Renato da Silva Carvalho, 2007. "Análise da Coerência de Medidas de Risco no Mercado Brasileiro de Ações e Desenvolvimento de uma Metodologia Híbrida para o Expected Shortfall," Working Papers Series 142, Central Bank of Brazil, Research Department.
- Dale F. Gray & Robert C. Merton & Zvi Bodie, 2007. "New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability," NBER Working Papers 13607, National Bureau of Economic Research, Inc.
- Item repec:gra:fegper:02/07 is not listed on IDEAS anymore
- Benjamin Miranda Tabak & Solange Maria Guerra & Eduardo José Araújo Lima & Eui Jung Chang, 2007. "The Stability-Concentration Relationship in the Brazilian Banking System," Working Papers Series 145, Central Bank of Brazil, Research Department.