Printed from https://ideas.repec.org/n/nep-rmg/2009-09-05.html
Report NEP-RMG-2009-09-05
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:
- Michael McAleer, 2009, "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-652, Aug.
- Marcos Souto & Benjamin M. Tabak & Francisco Vazquez, 2009, "Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks," Working Papers Series, Central Bank of Brazil, Research Department, number 189, Jul.
- Bunea-Bontaş, Cristina Aurora, 2009, "Basic Principles of Hedge Accounting," MPRA Paper, University Library of Munich, Germany, number 17072, Aug.
- Alan Cosme Rodrigues da Silva & Antônio Carlos Magalhães da Silva & Jaqueline Terra Moura Marins & Myrian Beatriz Eiras da Neves & Giovani Antonio Silva Brito, 2009, "The Influence of Collateral on Capital Requirements in the Brazilian Financial System: an approach through historical average and logistic regression on probability of default," Working Papers Series, Central Bank of Brazil, Research Department, number 187, Jun.
- Düllmann, Klaus & Erdelmeier, Martin, 2009, "Stress testing German banks in a downturn in the automobile industry," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,02.
- Gaisser, Sandra & Memmel, Christoph & Schmidt, Rafael & Wehn, Carsten, 2009, "Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,07.
- Blank, Sven & Buch, Claudia M. & Neugebauer, Katja, 2009, "Shocks at large banks and banking sector distress: the Banking Granular Residual," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,04.
- Columba, Francesco & Gambacorta, Leonardo & Mistrulli, Paolo Emilio, 2009, "The effects of mutual guarantee consortia on the quality of bank lending," MPRA Paper, University Library of Munich, Germany, number 17052, Apr, revised Mar 2009.
- Völz, Manja & Wedow, Michael, 2009, "Does banks size distort market prices? Evidence for too-big-to-fail in the CDS market," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,06.
- Elizondo Rocío & Padilla Pablo & Bladt Mogens, 2009, "An Alternative Formula to Price American Options," Working Papers, Banco de México, number 2009-06, Aug.
- Item repec:kie:kieliw:1542 is not listed on IDEAS anymore
- Frahm, Gabriel & Memmel, Christoph, 2009, "Dominating estimators for the global minimum variance portfolio," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,01.
- Akihiko Takahashi & Kohta Takehara, 2009, "Asymptotic Expansion Approaches in Finance: Applications to Currency Options," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-654, Aug.
- Item repec:san:crieff:0910 is not listed on IDEAS anymore
- Claudio Henrique da Silveira Barbedo & José Valentim Machado Vicente & Octávio Manuel Bessada Lion, 2009, "Pricing Asian Interest Rate Options with a Three-Factor HJM Model," Working Papers Series, Central Bank of Brazil, Research Department, number 188, Jun.