Printed from https://ideas.repec.org/n/nep-rmg/2010-01-16.html
Report NEP-RMG-2010-01-16
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:
- Stefan Thurner & J. Doyne Farmer & John Geanakoplos, 2010, "Leverage Causes Fat Tails and Clustered Volatility," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1745, Jan.
- Bec, Frédérique & Gollier, Christian, 2009, "Cyclicality and Term Structure of Value-at-Risk in Europe," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 587, May.
- Janda, Karel & Svárovská, Barbora, 2009, "The Problems of Correlation in the Financial Risk Management – the Contribution of Microfinance," MPRA Paper, University Library of Munich, Germany, number 19486, Dec.
- Nathan Foley-Fisher & Bernardo Guimaraes, 2009, "US Real Interest Rates and Default Risk in Emerging Economies," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp0952, Oct.
- Grau-Carles, Pilar & Sainz, Jorge & Otamendi, Javier & Doncel, Luis Miguel, 2009, "Different risk-adjusted fund performance measures: a comparison," Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel), number 2009-54.
- Li, Hui, 2009, "Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery," MPRA Paper, University Library of Munich, Germany, number 19684, Dec.
- Tom Fong & Laurence Fung & Lillie Lam & Ip-wing Yu, 2009, "Measuring the Interdependence of Banks in Hong Kong," Working Papers, Hong Kong Monetary Authority, number 0919, Dec.
- Item repec:hal:cesptp:halshs-00443846_v1 is not listed on IDEAS anymore
- Garita, Gus, 2009, "Risk-Factor Portfolios and Financial Stability," MPRA Paper, University Library of Munich, Germany, number 19611, Dec, revised 11 Dec 2009.
- Arthur M. Berd & Robert F. Engle & Artem Voronov, 2010, "The Underlying Dynamics of Credit Correlations," Papers, arXiv.org, number 1001.0786, Jan.
- Al Janabi, Mazin A. M., 2009, "Asset Market Liquidity Risk Management: A Generalized Theoretical Modeling Approach for Trading and Fund Management Portfolios," MPRA Paper, University Library of Munich, Germany, number 19498, May.
- Bennani, Norddine & Maetz, Jerome, 2009, "A Spot Stochastic Recovery Extension of the Gaussian Copula," MPRA Paper, University Library of Munich, Germany, number 19736, Jul.
- Saibal, Ghosh, 2009, "Charter Value and Risk-taking: Evidence from Indian Banks," MPRA Paper, University Library of Munich, Germany, number 19543, Aug.
- Étienne Bordeleau & Allan Crawford & Christopher Graham, 2009, "Regulatory Constraints on Bank Leverage: Issues and Lessons from the Canadian Experience," Discussion Papers, Bank of Canada, number 09-15, DOI: 10.34989/sdp-2009-15.
- Arthur M. Berd & Roy Mashal & Peili Wang, 2009, "Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures," Papers, arXiv.org, number 0912.4614, Dec.
- Luigi Zingales & Oliver Hart, 2009, "A New Capital Regulation For Large Financial Institutions," Working Papers, Fondazione Eni Enrico Mattei, number 2009.124, Dec.
- El Bouhadi, Abdelhamid & Achibane, Khalid, 2009, "The Predictive Power of Conditional Models: What Lessons to Draw with Financial Crisis in the Case of Pre-Emerging Capital Markets?," MPRA Paper, University Library of Munich, Germany, number 19482, Dec.
- Mitropoulos, Atanasios & Zaidi, Rida, 2009, "Relative indicators of default risk among UK residential mortgages," MPRA Paper, University Library of Munich, Germany, number 19619, Dec.
- Delia Coculescu, 2009, "From the decompositions of a stopping time to risk premium decompositions," Papers, arXiv.org, number 0912.4312, Dec, revised May 2010.
- Ulrich Kirchner, 2010, "A Subjective and Probabilistic Approach to Derivatives," Papers, arXiv.org, number 1001.1616, Jan.
- Lall, Somik V. & Deichmann, Uwe, 2009, "Density and disasters: economics of urban hazard risk," Policy Research Working Paper Series, The World Bank, number 5161, Dec.
- Thomas Conlon & Heather J. Ruskin & Martin Crane, 2010, "Multiscaled Cross-Correlation Dynamics in Financial Time-Series," Papers, arXiv.org, number 1001.0497, Jan.