Report NEP-RMG-2009-05-09This 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:
- Herbertsson, Alexander & Jang, Jiwook & Schmidt, Thorsten, 2009. "Pricing basket default swaps in a tractable shot-noise model," Working Papers in Economics 359, University of Gothenburg, Department of Economics.
- Michel Fliess & Cédric Join, 2009. "Towards New Technical Indicators for Trading Systems and Risk Management," Post-Print inria-00370168, HAL.
- Michele Fratianni & Francesco Marchionne, 2009. "The Role of Banks in the Subprime Financial Crisis," Working Papers 2009-02, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy.
- Kerstin Bernoth & Andreas Pick, 2009. "Forecasting the Fragility of the Banking and Insurance Sector," Discussion Papers of DIW Berlin 882, DIW Berlin, German Institute for Economic Research.
- Peroni, Chiara, 2008. "A non-parametric investigation of risk premia," MPRA Paper 15010, University Library of Munich, Germany, revised 15 Apr 2009.
- Itoh, Yuki, 2008. "Recovery Process Model," Discussion Papers 2008-08, Graduate School of Economics, Hitotsubashi University.
- Söderberg, Jonas, 2008. "Test of the Gaussian Copula on the Swedish Stock Market," CAFO Working Papers 2009:9, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University.
- Kokholm, Thomas & Nicolato, Elisa, 2009. "Sato Processes in Default Modeling," Finance Research Group Working Papers F-2009-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Onour, Ibrahim, 2009. "Natural Gas markets:How Sensitive to Crude Oil Price Changes?," MPRA Paper 14937, University Library of Munich, Germany.