Report NEP-RMG-2008-04-29This 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:
- Mittnik, Stefan & Yener, Tina, 2008. "Value-at-Risk and expected shortfall for rare events," CFS Working Paper Series 2008/14, Center for Financial Studies (CFS).
- Jon Frye & Eduard A. Pelz, 2008. "BankCaR (Bank Capital-at-Risk): a credit risk model for U.S. commercial bank charge-offs," Working Paper Series WP-08-03, Federal Reserve Bank of Chicago.
- Wolfgang Härdle & Yuh-Jye Lee & Dorothea Schäfer & Yi-Ren Yeh, 2008. "The Default Risk of Firms Examined with Smooth Support Vector Machines," SFB 649 Discussion Papers SFB649DP2008-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Jiang, Danling, 2008. "Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns," MPRA Paper 8325, University Library of Munich, Germany.
- Enrique G. Mandoza & Vivian Z. Yue, 2008. "A solution to the default risk-business cycle disconnect," International Finance Discussion Papers 924, Board of Governors of the Federal Reserve System (U.S.).
- Mandira Sarma & Yuko Nikaido, 2007. "Capital Adequacy Regime in India: An Overview," Indian Council for Research on International Economic Relations, New Delhi Working Papers 196, Indian Council for Research on International Economic Relations, New Delhi, India.
- Maroš Servátka & George Theocharides, 2007. "Understanding Credit Risk: A Classroom Experiment," Working Papers in Economics 07/06, University of Canterbury, Department of Economics and Finance.
- Claudio Borio, 2008. "The financial turmoil of 2007-?: a preliminary assessment and some policy considerations," BIS Working Papers 251, Bank for International Settlements.
- Cao, Jin & Illing, Gerhard, 2008. "Endogenous Systemic Liquidity Risk," Discussion Papers in Economics 3358, University of Munich, Department of Economics.
- Robert J. Shiller, 2008. "Derivatives Markets for Home Prices," NBER Working Papers 13962, National Bureau of Economic Research, Inc.
- Jane Haltmaier, 2008. "Predicting cycles in economic activity," International Finance Discussion Papers 926, Board of Governors of the Federal Reserve System (U.S.).