Report NEP-RMG-2008-02-23This 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:
- Shigeaki Fujiwara, 8/02. "Credit Risk Assessment Considering Variations in Exposure: Application to Commitment Lines," IMES Discussion Paper Series 08-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
- Sjoerd van Bekkum & Enrico Pennings & Han Smit, 2007. "A Real Options Perspective on R&D Portfolio Diversification," Tinbergen Institute Discussion Papers 08-003/2, Tinbergen Institute, revised 15 May 2009.
- Kwamie Dunbar, 2008. "The Impact of the FOMC's Monetary Policy Actions on the growth of Credit Risk: the Monetary Policy - Liquidity Paradox," Working papers 2008-05, University of Connecticut, Department of Economics.
- Thomann, Christian & Pascalau, Razvan & Schulenburg, J.-Matthias Graf von der & Gas, Bruno, 2007. "Corporate Management of Highly Dynamic Risks: The Case of Terrorism Insurance in Germany," MPRA Paper 7221, University Library of Munich, Germany.
- Peter Carr & Christian-Oliver Ewald & Yajun Xiao, 2008. "On the Qualitative Effect of Volatility and Duration on Prices of Asian Options," CRIEFF Discussion Papers 0803, Centre for Research into Industry, Enterprise, Finance and the Firm.
- Petr Jakubík & Jaroslav Heřmánek, 8/02. "Stress testing of the Czech banking sector," Working Papers IES 2008/02, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised 2008/02.
- Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien, 2008. "Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield," Cahiers de recherche 0801, GREEN.