Report NEP-RMG-2009-11-27This 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:
- Repullo, Rafael & Saurina, Jesús & Trucharte, Carlos, 2009. "Mitigating the Procyclicality of Basel II," CEPR Discussion Papers 7382, C.E.P.R. Discussion Papers.
- Kurt Hess & Arthur Grimes, 2009. "Commercial Bank Loan Loss Recoveries," Working Papers in Economics 09/09, University of Waikato, Department of Economics.
- Agur, Itai, 2009. "Regulatory Competition and Bank Risk Taking," CEPR Discussion Papers 7524, C.E.P.R. Discussion Papers.
- Cyril Coste & Raphael Douady & Ilija I. Zovko, 2009. "The StressVaR: A New Risk Concept for Superior Fund Allocation," Papers 0911.4030, arXiv.org.
- Brenda Gonzalez-Hermosillo & Heiko Hesse, 2009. "Global Market Conditions and Systemic Risk," IMF Working Papers 09/230, International Monetary Fund.
- Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CIRJE F-Series CIRJE-F-683, CIRJE, Faculty of Economics, University of Tokyo.
- Pedersen, Lasse Heje, 2009. "When Everyone Runs for the Exit," CEPR Discussion Papers 7436, C.E.P.R. Discussion Papers.
- Olga Bourachnikova & Nurmukhammad Yusupov, 2009. "Symmetric vs. Downside Risk: Does It Matter for Portfolio Choice?," Working Papers of LaRGE Research Center 2009-13, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
- Demirguc-Kunt, Asli & Detragiache, Enrica, 2009. "Basel core principles and bank soundness : does compliance matter ?," Policy Research Working Paper Series 5129, The World Bank.
- John Kiff & Jennifer A. Elliott & Elias G. Kazarian & Jodi G. Scarlata & Carolyne Spackman, 2009. "Credit Derivatives; Systemic Risks and Policy Options?," IMF Working Papers 09/254, International Monetary Fund.
- Huizinga, Harry & Laeven, Luc, 2009. "Accounting discretion of banks during a financial crisis," CEPR Discussion Papers 7381, C.E.P.R. Discussion Papers.
- Andréas Georgiou, 2009. "Excessive Lending, Leverage, and Risk-Taking in the Presence of Bailout Expectations," IMF Working Papers 09/233, International Monetary Fund.
- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruwirth-Scnatter, 2009. "Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form," IMES Discussion Paper Series 09-E-32, Institute for Monetary and Economic Studies, Bank of Japan.
- Onur Olgun & Ý. Hakan Yetkiner, 2009. "The Superiority of Time-Varying Hedge Ratios in Turkish Futures," Working Papers 0907, Izmir University of Economics.
- Eduardo Borensztein & Damiano Sandri & Olivier D Jeanne, 2009. "Macro-Hedging for Commodity Exporters," IMF Working Papers 09/229, International Monetary Fund.