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Report NEP-RMG-2009-09-26
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:
- Sovan Mitra, 2009, "Risk Measures in Quantitative Finance," Papers, arXiv.org, number 0904.0870, Apr.
- Chollete, Loran & de la Pena , Victor & Lu, Ching-Chih, 2009, "International Diversification: An Extreme Value Approach," UiS Working Papers in Economics and Finance, University of Stavanger, number 2009/26, Jun.
- Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-667, Sep.
- Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009, "What Happened to Risk Management During the 2008-09 Financial Crisis?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-19.
- Ojo, Marianne, 2009, "Basel II and the Capital Requirements Directive: Responding to the 2008/09 Financial Crisis," MPRA Paper, University Library of Munich, Germany, number 17379, Sep.
- René M. Stulz, 2009, "Credit Default Swaps and the Credit Crisis," NBER Working Papers, National Bureau of Economic Research, Inc, number 15384, Sep.
- Josep J. Masdemont & Luis Ortiz-Gracia, 2009, "Haar Wavelets-Based Approach for Quantifying Credit Portfolio Losses," Papers, arXiv.org, number 0904.4620, Apr.
- Chollete, Loran & Pena, Victor de la & Lu, Ching-Chih, 2009, "International Diversification: A Copula Approach," UiS Working Papers in Economics and Finance, University of Stavanger, number 2009/27, Jun.
- K. Rajaratnam, 2009, "A Simplified Approach to modeling the credit-risk of CMO," Papers, arXiv.org, number 0903.1643, Mar, revised Jan 2012.
- Igor Halperin & Pascal Tomecek, 2009, "Climbing Down from the Top: Single Name Dynamics in Credit Top Down Models," Papers, arXiv.org, number 0901.3404, Jan.
- Juan-Pablo Ortega & Rainer Pullirsch & Josef Teichmann & Julian Wergieluk, 2009, "A new approach for scenario generation in Risk management," Papers, arXiv.org, number 0904.0624, Apr, revised Aug 2009.
- Jiří Witzany, 2009, "Estimating LGD Correlation," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2009/21, Sep, revised Sep 2009.
- Pavel V. Shevchenko, 2009, "Implementing Loss Distribution Approach for Operational Risk," Papers, arXiv.org, number 0904.1805, Apr, revised Jul 2009.
- Anca Gheorghiu & Ion Spanulescu, 2009, "Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions," Papers, arXiv.org, number 0907.5600, Jul.
- Asani Sarkar, 2009, "Liquidity risk, credit risk, and the Federal Reserve's responses to the crisis," Staff Reports, Federal Reserve Bank of New York, number 389.
- Didier Rulli`ere & Diana Dorobantu & Areski Cousin, 2009, "An extension of Davis and Lo's contagion model," Papers, arXiv.org, number 0904.1653, Apr, revised Feb 2010.
- Andreas Martin Lisewski, 2009, "Global risk minimization in financial markets," Papers, arXiv.org, number 0908.0682, Aug.
- Peter G. Shepard, 2009, "Second Order Risk," Papers, arXiv.org, number 0908.2455, Aug.
- V. Aquaro & M. Bardoscia & R. Bellotti & A. Consiglio & F. De Carlo & G. Ferri, 2009, "A Bayesian Networks Approach to Operational Risk," Papers, arXiv.org, number 0906.3968, Jun, revised Feb 2012.
- Alejandro Reveiz & Carlos L�on, 2009, "Operational Risk Management using a Fuzzy Logic Inference System," Borradores de Economia, Banco de la Republica, number 5841, Sep.
- Jaume Masoliver & Josep Perello, 2009, "First-passage and risk evaluation under stochastic volatility," Papers, arXiv.org, number 0902.2735, Feb.
- Xiaolin Luo & Pavel V. Shevchenko, 2009, "Computing Tails of Compound Distributions Using Direct Numerical Integration," Papers, arXiv.org, number 0904.0830, Apr, revised Feb 2010.