Report NEP-RMG-2009-12-19This 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:
- Ojo, Marianne, 2009. "The growing importance of risk in financial regulation," MPRA Paper 19117, University Library of Munich, Germany.
- Hamerle, Alfred & Liebig, Thilo & Schropp, Hans-Jochen, 2009. "Systematic risk of CDOs and CDO arbitrage," Discussion Paper Series 2: Banking and Financial Studies 2009,13, Deutsche Bundesbank, Research Centre.
- Damiano Brigo & Marco Tarenghi, 2009. "Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model," Papers 0912.3031, arXiv.org.
- Damiano Brigo & Marco Tarenghi, 2009. "Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model," Papers 0912.3028, arXiv.org.
- Karl Whelan, 2009. "Containing Systemic Risk," Working Papers 200927, School of Economics, University College Dublin.
- Kousky, Carolyn & Cooke, Roger, 2009. "Climate Change and Risk Management: Challenges for Insurance, Adaptation, and Loss Estimation," Discussion Papers dp-09-03-rev, Resources For the Future.
- Ying Jiao, 2009. "Multiple defaults and contagion risks," Papers 0912.3132, arXiv.org.
- Ojo, Marianne, 2009. "Beyond the Financial Crisis: Addressing risk challenges in a changing financial environment," MPRA Paper 19118, University Library of Munich, Germany.
- Agénor, P.-R. & Alper, K. & Pereira da Silva, L., 2009. "Capital requirements and business cycles with credit market imperfections," Policy Research Working Paper Series 5151, The World Bank.
- Brice Franke & Michael Stolz, 2009. "A duality approach to the worst case value at risk for a sum of dependent random variables with known covariances," Papers 0912.1841, arXiv.org.
- Randall S. Jones & Masahiko Tsutsumi, 2009. "Financial Stability: Overcoming the Crisis and Improving the Efficiency of the Banking Sector," OECD Economics Department Working Papers 738, OECD Publishing.