Report NEP-RMG-2009-04-05This 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:
- Gonzales-Martínez, Rolando, 2009.
"La Gestión de Riesgo de Liquidez en Economías Emergentes: Un Modelo Valor-en-Riesgo (VaR) Paramétrico de Calibración Indirecta y una Aplicación al Sistema Financiero Boliviano
[Liquidity Risk Manag," MPRA Paper 14247, University Library of Munich, Germany.
- Eric Wong & Cho-Hoi Hui, 2009. "A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks," Working Papers 0906, Hong Kong Monetary Authority.
- Lönnbark, Carl, 2009. "Uncertainty of Multiple Period Risk Measures," Umeå Economic Studies 768, Umeå University, Department of Economics.
- Ingo Fender & Martin Scheicher, 2009. "The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices," BIS Working Papers 279, Bank for International Settlements.
- Item repec:hal:journl:inria-00370168_v2 is not listed on IDEAS anymore
- Ruiz, Esther & Romo, Juan & Alva, Kenedy, 2009. "Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market," DES - Working Papers. Statistics and Econometrics. WS ws092809, Universidad Carlos III de Madrid. Departamento de Estadística.
- Les Oxley & Marco Reale & Carl Scarrott & Xin Zhao, 4/01. "Extreme Value GARCH modelling with Bayesian Inference," Working Papers in Economics 09/05, University of Canterbury, Department of Economics and Finance.
- Patrick Bolton & Hui Chen & Neng Wang, 2009. "A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management," NBER Working Papers 14845, National Bureau of Economic Research, Inc.
- Lönnbark, Carl & Holmberg, Ulf & Brännäs, Kurt, 2009. "Value at Risk for Large Portfolios," Umeå Economic Studies 769, Umeå University, Department of Economics.
- Charles Goodhart & Miguel Segoviano, 2009. "Banking Stability Measures," FMG Discussion Papers dp627, Financial Markets Group.
- Item repec:dgr:kubcen:200920 is not listed on IDEAS anymore
- Hans Gersbach & Volker Hahn, 2009. "Banking-on-the-Average Rules," CER-ETH Economics working paper series 09/107, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.