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. Stan Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were announced in this report:

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