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

Subscribe to this report: email, RSS, or Mastodon.

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 1745, Cowles Foundation for Research in Economics, Yale University.
• Bec, Frédérique & Gollier, Christian, 2009. "Cyclicality and Term Structure of Value-at-Risk in Europe," IDEI Working Papers 587, Institut d'Économie Industrielle (IDEI), Toulouse.
• Janda, Karel & Svárovská, Barbora, 2009. "The Problems of Correlation in the Financial Risk Management – the Contribution of Microfinance," MPRA Paper 19486, University Library of Munich, Germany.
• Nathan Foley-Fisher & Bernardo Guimaraes, 2009. "US Real Interest Rates and Default Risk in Emerging Economies," CEP Discussion Papers dp0952, Centre for Economic Performance, LSE.
• Grau-Carles, Pilar & Sainz, Jorge & Otamendi, Javier & Doncel, Luis Miguel, 2009. "Different risk-adjusted fund performance measures: a comparison," Economics Discussion Papers 2009-54, Kiel Institute for the World Economy (IfW Kiel).
• Li, Hui, 2009. "Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery," MPRA Paper 19684, University Library of Munich, Germany.
• Tom Fong & Laurence Fung & Lillie Lam & Ip-wing Yu, 2009. "Measuring the Interdependence of Banks in Hong Kong," Working Papers 0919, Hong Kong Monetary Authority.
• Item repec:hal:cesptp:halshs-00443846_v1 is not listed on IDEAS anymore

• Garita, Gus, 2009. "Risk-Factor Portfolios and Financial Stability," MPRA Paper 19611, University Library of Munich, Germany, revised 11 Dec 2009.
• Arthur M. Berd & Robert F. Engle & Artem Voronov, 2010. "The Underlying Dynamics of Credit Correlations," Papers 1001.0786, arXiv.org.
• Al Janabi, Mazin A. M., 2009. "Asset Market Liquidity Risk Management: A Generalized Theoretical Modeling Approach for Trading and Fund Management Portfolios," MPRA Paper 19498, University Library of Munich, Germany.
• Bennani, Norddine & Maetz, Jerome, 2009. "A Spot Stochastic Recovery Extension of the Gaussian Copula," MPRA Paper 19736, University Library of Munich, Germany.
• Saibal, Ghosh, 2009. "Charter Value and Risk-taking: Evidence from Indian Banks," MPRA Paper 19543, University Library of Munich, Germany.
• Étienne Bordeleau & Allan Crawford & Christopher Graham, 2009. "Regulatory Constraints on Bank Leverage: Issues and Lessons from the Canadian Experience," Discussion Papers 09-15, Bank of Canada.
• Arthur M. Berd & Roy Mashal & Peili Wang, 2009. "Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures," Papers 0912.4614, arXiv.org.
• Luigi Zingales & Oliver Hart, 2009. "A New Capital Regulation For Large Financial Institutions," Working Papers 2009.124, Fondazione Eni Enrico Mattei.
• 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 19482, University Library of Munich, Germany.
• Mitropoulos, Atanasios & Zaidi, Rida, 2009. "Relative indicators of default risk among UK residential mortgages," MPRA Paper 19619, University Library of Munich, Germany.
• Delia Coculescu, 2009. "From the decompositions of a stopping time to risk premium decompositions," Papers 0912.4312, arXiv.org, revised May 2010.
• Ulrich Kirchner, 2010. "A Subjective and Probabilistic Approach to Derivatives," Papers 1001.1616, arXiv.org.
• Lall, Somik V. & Deichmann, Uwe, 2009. "Density and disasters: economics of urban hazard risk," Policy Research Working Paper Series 5161, The World Bank.
• Thomas Conlon & Heather J. Ruskin & Martin Crane, 2010. "Multiscaled Cross-Correlation Dynamics in Financial Time-Series," Papers 1001.0497, arXiv.org.