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Report NEP-RMG-2008-07-20
This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-RMG
The following items were announced in this report:
- C. F. Lo & T. C. Wong & C. H. Hui & M. X. Huang, 2008, "Assessing Credit Risk of Companies with Mean-Reverting Leverage Ratios," Working Papers, Hong Kong Institute for Monetary Research, number 042008, Apr.
- Hillebrand, Martin & Böcker, Klaus, 2008, "Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2008,11.
- Scheicher, Martin & Raunig, Burkhard, 2008, "A value at risk analysis of credit default swaps," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2008,12.
- Zhu, Haibin & Tarashev, Nikola A., 2008, "The pricing of correlated default risk: evidence from the credit derivatives market," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2008,09.
- Güttler, André & Raupach, Peter, 2008, "The impact of downward rating momentum on credit portfolio risk," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2008,16.
- Tang, Dragon Yongjun & Yan, Hong, 2008, "Market conditions, default risk and credit spreads," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2008,08.
- Chiara Pederzoli & Costanza Torricelli & Dimitrios P. Tsomocos, 2008, "Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework," OFRC Working Papers Series, Oxford Financial Research Centre, number 2008fe27.
- Franco Peracchi & Andrei V. Tanase, 2008, "On estimating the conditional expected shortfall," CEIS Research Paper, Tor Vergata University, CEIS, number 122, Jul, revised 14 Jul 2008.
- Hardy Hulley & Thomas A. McWalter, 2008, "Quadratic Hedging of Basis Risk," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 225, Jun.